UTHR vs XLV: returns, Sharpe ratio and drawdown
Performance
UTHR+23.21%XLV+22.05%
Summary
UTHR vs XLV
Over the past year, UTHR returned +23.21% against +22.05% for XLV. Over five years, UTHR averaged +22.99% a year, compared with +5.76% for XLV. XLV had the higher Sharpe ratio over the past year (1.05 vs 0.64), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -10.84% for XLV and -20.87% for UTHR.
Current Drawdown
UTHR-10.66%XLV-0.27%
Rolling Volatility
UTHR+3.48%XLV+0.99%
METRICS
Correlation Matrix
Metrics
Risk Indicators
UTHRXLV
Alpha
UTHR
20.40%
XLV
14.72%
Beta
UTHR
0.25x
XLV
0.24x
Sharpe
UTHR
0.64
XLV
1.05
Sortino
UTHR
1.24
XLV
1.73
Omega
UTHR
1.14
XLV
1.19
Calmar
UTHR
1.11
XLV
2.03
Martin
UTHR
2.66
XLV
3.57
Comparisons