MEDP vs RGEN: returns, Sharpe ratio and drawdown
Performance
MEDP+13.60%RGEN+13.51%
Summary
MEDP vs RGEN
Over the past year, MEDP returned +13.60% against +13.51% for RGEN. Over five years, MEDP averaged +22.41% a year, compared with -9.66% for RGEN. MEDP had the higher Sharpe ratio over the past year (0.42 vs 0.41), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -36.61% for MEDP and -40.28% for RGEN.
Current Drawdown
MEDP-1.86%RGEN-9.84%
Rolling Volatility
MEDP+1.74%RGEN+3.66%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MEDPRGEN
Alpha
MEDP
12.78%
RGEN
8.05%
Beta
MEDP
0.63x
RGEN
1.18x
Sharpe
MEDP
0.42
RGEN
0.41
Sortino
MEDP
0.55
RGEN
0.60
Omega
MEDP
1.09
RGEN
1.07
Calmar
MEDP
0.37
RGEN
0.34
Martin
MEDP
1.07
RGEN
0.98
Comparisons