GMED vs MDT: returns, Sharpe ratio and drawdown
Performance
GMED+24.57%MDT-1.22%
Summary
GMED vs MDT
Over the past year, GMED returned +24.57% against -1.22% for MDT. Over five years, GMED averaged -0.12% a year, compared with -4.62% for MDT. GMED had the higher Sharpe ratio over the past year (0.58 vs -0.12), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -24.26% for GMED and -30.00% for MDT.
Current Drawdown
GMED-20.77%MDT-10.06%
Rolling Volatility
GMED+1.54%MDT+1.54%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GMEDMDT
Alpha
GMED
22.02%
MDT
-4.17%
Beta
GMED
0.68x
MDT
0.15x
Sharpe
GMED
0.58
MDT
-0.12
Sortino
GMED
1.22
MDT
-0.17
Omega
GMED
1.14
MDT
0.98
Calmar
GMED
1.01
MDT
-0.04
Martin
GMED
2.15
MDT
-0.18
Comparisons