MDT vs RMD: returns, Sharpe ratio and drawdown
Performance
MDT-9.07%RMD-18.41%
Summary
MDT vs RMD
Over the past year, MDT returned -9.07% against -18.41% for RMD. Over five years, RMD averaged -2.37% a year, compared with -7.26% for MDT. MDT had the higher Sharpe ratio over the past year (-0.47 vs -0.75), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -30.00% for MDT and -34.21% for RMD.
Current Drawdown
MDT-16.71%RMD-18.41%
Rolling Volatility
MDT+1.38%RMD+1.16%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MDTRMD
Alpha
MDT
-13.06%
RMD
-25.40%
Beta
MDT
0.16x
RMD
0.40x
Sharpe
MDT
-0.47
RMD
-0.75
Sortino
MDT
-0.70
RMD
-1.00
Omega
MDT
0.92
RMD
0.88
Calmar
MDT
-0.30
RMD
-0.54
Martin
MDT
-0.72
RMD
-1.13
Comparisons