ELAN vs ZTS: returns, Sharpe ratio and drawdown
Performance
ELAN+8.43%ZTS-45.28%
Summary
ELAN vs ZTS
Over the past year, ELAN returned +8.43% against -45.28% for ZTS. Over five years, ELAN averaged -6.50% a year, compared with -18.27% for ZTS. ELAN had the higher Sharpe ratio over the past year (0.30 vs -1.50), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -26.23% for ELAN and -53.16% for ZTS.
Current Drawdown
ELAN-12.26%ZTS-46.19%
Rolling Volatility
ELAN+1.56%ZTS+1.69%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ELANZTS
Alpha
ELAN
0.25%
ZTS
-62.61%
Beta
ELAN
1.32x
ZTS
0.54x
Sharpe
ELAN
0.30
ZTS
-1.50
Sortino
ELAN
0.42
ZTS
-1.73
Omega
ELAN
1.05
ZTS
0.73
Calmar
ELAN
0.32
ZTS
-0.85
Martin
ELAN
1.18
ZTS
-1.64
Comparisons