Performance

HCA+6.24%MDT-9.07%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
HCA	+1.33%	-5.40%	+6.24%	+12.54%	-33.72%	0.21
MDT	+2.62%	-8.64%	-9.07%	-7.26%	-30.00%	-0.47

Summary

HCA vs MDT

Over the past year, HCA returned +6.24% against -9.07% for MDT. Over five years, HCA averaged +12.54% a year, compared with -7.26% for MDT. HCA had the higher Sharpe ratio over the past year (0.21 vs -0.47), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -30.00% for MDT and -33.72% for HCA.

Current Drawdown

HCA-18.37%MDT-16.71%

Rolling Volatility

HCA+1.39%MDT+1.38%

METRICS

Correlation Matrix

	HCA	MDT
HCA	1.00	0.32
MDT	0.32	1.00

Metrics

Risk Indicators

HCAMDT

Alpha

4.44%

-13.06%

Beta

0.19x

0.16x

Sharpe

0.21

-0.47

Sortino

0.30

-0.70

Omega

1.04

0.92

Calmar

0.19

-0.30

Martin

0.36

-0.72

Comparisons

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HCA vs XLV
HCA vs SPY
HCA vs UHS
HCA vs SYK
HCA vs MCK

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MDT vs BSX
MDT vs XLV
MDT vs SPY
MDT vs SYK
MDT vs ABT
MDT vs STE

HCA vs MDT: returns, Sharpe ratio and drawdown

HCA vs MDT

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