REGN vs VRTX: returns, Sharpe ratio and drawdown
Performance
REGN+29.77%VRTX+21.31%
Summary
REGN vs VRTX
Over the past year, REGN returned +29.77% against +21.31% for VRTX. Over five years, VRTX averaged +22.66% a year, compared with +5.99% for REGN. REGN had the higher Sharpe ratio over the past year (0.83 vs 0.67), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.21% for VRTX and -26.05% for REGN.
Current Drawdown
REGN-13.20%VRTX-9.81%
Rolling Volatility
REGN+1.62%VRTX+0.96%
METRICS
Correlation Matrix
Metrics
Risk Indicators
REGNVRTX
Alpha
REGN
22.01%
VRTX
13.77%
Beta
REGN
0.48x
VRTX
0.49x
Sharpe
REGN
0.83
VRTX
0.67
Sortino
REGN
1.28
VRTX
1.09
Omega
REGN
1.16
VRTX
1.12
Calmar
REGN
1.14
VRTX
1.40
Martin
REGN
2.42
VRTX
2.54
Comparisons