Performance

HUM+33.21%UNH+0.89%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
HUM	-2.37%	+46.37%	+33.21%	-2.58%	-44.56%	0.77
UNH	-1.34%	+10.27%	+0.89%	-2.83%	-29.58%	0.07

Summary

HUM vs UNH

Over the past year, HUM returned +33.21% against +0.89% for UNH. Over five years, HUM averaged -2.58% a year, compared with -2.83% for UNH. HUM had the higher Sharpe ratio over the past year (0.77 vs 0.07), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -29.58% for UNH and -44.56% for HUM.

Current Drawdown

HUM-5.53%UNH-14.99%

Rolling Volatility

HUM+2.07%UNH+1.16%

METRICS

Correlation Matrix

	HUM	UNH
HUM	1.00	0.65
UNH	0.65	1.00

Metrics

Risk Indicators

HUMUNH

Alpha

29.14%

-2.17%

Beta

0.58x

0.44x

Sharpe

0.77

0.07

Sortino

1.07

0.10

Omega

1.15

1.01

Calmar

0.75

0.03

Martin

1.74

0.20

Comparisons

More HUM comparisons

HUM vs XLV
HUM vs SPY
HUM vs ELV
HUM vs CVS
HUM vs CNC

More UNH comparisons

UNH vs ELV
UNH vs XLV
UNH vs SPY
UNH vs CVS
UNH vs CNC

HUM vs UNH: returns, Sharpe ratio and drawdown

HUM vs UNH

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More UNH comparisons