Performance

SNY-18.34%XLV+22.05%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
SNY	+0.79%	-15.80%	-18.34%	-4.27%	-25.26%	-0.97
XLV	-0.27%	+13.63%	+22.05%	+5.76%	-10.84%	1.05

Summary

SNY vs XLV

Over the past year, XLV returned +22.05% against -18.34% for SNY. Over five years, XLV averaged +5.76% a year, compared with -4.27% for SNY. XLV had the higher Sharpe ratio over the past year (1.05 vs -0.97), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.84% for XLV and -25.26% for SNY.

Current Drawdown

SNY-22.41%XLV-0.27%

Rolling Volatility

SNY+1.15%XLV+0.99%

METRICS

Correlation Matrix

	SNY	XLV
SNY	1.00	0.51
XLV	0.51	1.00

Metrics

Risk Indicators

SNYXLV

Alpha

-25.12%

14.72%

Beta

0.30x

0.24x

Sharpe

-0.97

1.05

Sortino

-1.29

1.73

Omega

0.85

1.19

Calmar

-0.73

2.03

Martin

-1.60

3.57

Comparisons

More SNY comparisons

SNY vs SPY
SNY vs AZN
SNY vs NVS
SNY vs GSK
SNY vs PFE

More XLV comparisons

XLV vs VHT
XLV vs XBI
XLV vs VOO
XLV vs IYH
XLV vs IBB
XLV vs IHI

SNY vs XLV: returns, Sharpe ratio and drawdown

SNY vs XLV

More SNY comparisons

More XLV comparisons