IQV vs MEDP: returns, Sharpe ratio and drawdown
Performance
IQV+25.87%MEDP+13.60%
Summary
IQV vs MEDP
Over the past year, IQV returned +25.87% against +13.60% for MEDP. Over five years, MEDP averaged +22.41% a year, compared with +0.42% for IQV. IQV had the higher Sharpe ratio over the past year (0.67 vs 0.42), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -35.87% for IQV and -36.61% for MEDP.
Current Drawdown
IQV-2.95%MEDP-1.86%
Rolling Volatility
IQV+1.62%MEDP+1.74%
METRICS
Correlation Matrix
Metrics
Risk Indicators
IQVMEDP
Alpha
IQV
20.19%
MEDP
12.78%
Beta
IQV
0.72x
MEDP
0.63x
Sharpe
IQV
0.67
MEDP
0.42
Sortino
IQV
1.00
MEDP
0.55
Omega
IQV
1.14
MEDP
1.09
Calmar
IQV
0.72
MEDP
0.37
Martin
IQV
1.40
MEDP
1.07
Comparisons