Performance

IQV+27.53%XLV+16.62%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
IQV	+0.30%	+14.87%	+27.53%	+0.80%	-35.87%	0.70
XLV	-0.39%	+8.13%	+16.62%	+5.63%	-10.84%	0.78

Summary

IQV vs XLV

Over the past year, IQV returned +27.53% against +16.62% for XLV. Over five years, XLV averaged +5.63% a year, compared with +0.80% for IQV. XLV had the higher Sharpe ratio over the past year (0.78 vs 0.70), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.84% for XLV and -35.87% for IQV.

Current Drawdown

IQV-5.87%XLV-4.28%

Rolling Volatility

IQV+1.50%XLV+0.68%

METRICS

Correlation Matrix

	IQV	XLV
IQV	1.00	0.45
XLV	0.45	1.00

Metrics

Risk Indicators

IQVXLV

Alpha

19.97%

9.42%

Beta

0.78x

0.27x

Sharpe

0.70

0.78

Sortino

1.05

1.26

Omega

1.14

Calmar

0.77

1.53

Martin

1.48

2.59

Comparisons

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IQV vs XLV: returns, Sharpe ratio and drawdown

IQV vs XLV

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