NVST vs ZTS: returns, Sharpe ratio and drawdown
Performance
NVST+13.70%ZTS-45.28%
Summary
NVST vs ZTS
Over the past year, NVST returned +13.70% against -45.28% for ZTS. Over five years, NVST averaged -10.21% a year, compared with -18.27% for ZTS. NVST had the higher Sharpe ratio over the past year (0.41 vs -1.50), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -25.97% for NVST and -53.16% for ZTS.
Current Drawdown
NVST-24.32%ZTS-46.19%
Rolling Volatility
NVST+1.47%ZTS+1.69%
METRICS
Correlation Matrix
Metrics
Risk Indicators
NVSTZTS
Alpha
NVST
4.66%
ZTS
-62.61%
Beta
NVST
1.16x
ZTS
0.54x
Sharpe
NVST
0.41
ZTS
-1.50
Sortino
NVST
0.66
ZTS
-1.73
Omega
NVST
1.08
ZTS
0.73
Calmar
NVST
0.53
ZTS
-0.85
Martin
NVST
1.19
ZTS
-1.64
Comparisons