ELV vs UNH: returns, Sharpe ratio and drawdown
Performance
ELV+16.83%UNH+7.00%
Summary
ELV vs UNH
Over the past year, ELV returned +16.83% against +7.00% for UNH. Over five years, UNH averaged -2.40% a year, compared with -3.75% for ELV. ELV had the higher Sharpe ratio over the past year (0.50 vs 0.25), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -26.49% for ELV and -29.58% for UNH.
Current Drawdown
ELV-3.30%UNH-13.07%
Rolling Volatility
ELV+1.27%UNH+1.25%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ELVUNH
Alpha
ELV
12.21%
UNH
2.77%
Beta
ELV
0.37x
UNH
0.40x
Sharpe
ELV
0.50
UNH
0.25
Sortino
ELV
0.68
UNH
0.33
Omega
ELV
1.09
UNH
1.05
Calmar
ELV
0.64
UNH
0.24
Martin
ELV
1.64
UNH
0.66
Comparisons