PFE vs SNY: returns, Sharpe ratio and drawdown
Performance
PFE+19.81%SNY-18.34%
Summary
PFE vs SNY
Over the past year, PFE returned +19.81% against -18.34% for SNY. Over five years, SNY averaged -4.27% a year, compared with -7.57% for PFE. PFE had the higher Sharpe ratio over the past year (0.75 vs -0.97), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.09% for PFE and -25.26% for SNY.
Current Drawdown
PFE+0.00%SNY-22.41%
Rolling Volatility
PFE+1.04%SNY+1.15%
METRICS
Correlation Matrix
Metrics
Risk Indicators
PFESNY
Alpha
PFE
13.71%
SNY
-25.12%
Beta
PFE
0.26x
SNY
0.30x
Sharpe
PFE
0.75
SNY
-0.97
Sortino
PFE
1.12
SNY
-1.29
Omega
PFE
1.13
SNY
0.85
Calmar
PFE
1.16
SNY
-0.73
Martin
PFE
2.38
SNY
-1.60
Comparisons