REGN vs XLV: returns, Sharpe ratio and drawdown
Performance
REGN+29.77%XLV+16.62%
Summary
REGN vs XLV
Over the past year, REGN returned +29.77% against +16.62% for XLV. Over five years, REGN averaged +5.99% a year, compared with +5.63% for XLV. REGN had the higher Sharpe ratio over the past year (0.83 vs 0.78), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.84% for XLV and -26.05% for REGN.
Current Drawdown
REGN-13.20%XLV-4.28%
Rolling Volatility
REGN+1.62%XLV+0.68%
METRICS
Correlation Matrix
Metrics
Risk Indicators
REGNXLV
Alpha
REGN
22.01%
XLV
9.42%
Beta
REGN
0.48x
XLV
0.27x
Sharpe
REGN
0.83
XLV
0.78
Sortino
REGN
1.28
XLV
1.26
Omega
REGN
1.16
XLV
1.14
Calmar
REGN
1.14
XLV
1.53
Martin
REGN
2.42
XLV
2.59
Comparisons