GMED vs SOLV: returns, Sharpe ratio and drawdown
Performance
GMED+24.57%SOLV+17.76%
Summary
GMED vs SOLV
Over the past year, GMED returned +24.57% against +17.76% for SOLV. GMED had the higher Sharpe ratio over the past year (0.58 vs 0.55), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -24.26% for GMED and -27.46% for SOLV.
Current Drawdown
GMED-20.77%SOLV-7.17%
Rolling Volatility
GMED+1.54%SOLV+1.06%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GMEDSOLV
Alpha
GMED
22.02%
SOLV
11.27%
Beta
GMED
0.68x
SOLV
0.55x
Sharpe
GMED
0.58
SOLV
0.55
Sortino
GMED
1.22
SOLV
0.84
Omega
GMED
1.14
SOLV
1.10
Calmar
GMED
1.01
SOLV
0.65
Martin
GMED
2.15
SOLV
1.39
Comparisons