Performance

Big Pharma +29.70%

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RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe	Div. Yield
Big Pharma	-1.42%	+17.66%	+29.70%	+15.17%	-9.89%	1.21	—

LLY	-2.54%	+18.44%	+55.07%	+38.43%	-23.18%	1.31	0.53%
JNJ	-1.42%	+29.28%	+41.75%	+13.26%	-10.96%	1.58	2.00%
NVO	-0.96%	-21.87%	-22.61%	-5.10%	-43.67%	-0.43	4.60%
ABBV	+0.16%	+28.29%	+29.01%	+24.00%	-15.74%	0.95	2.42%
AZN	-0.63%	-6.36%	+2.00%	+8.25%	-25.71%	0.05	—
MRK	-1.34%	+39.28%	+69.93%	+15.82%	-11.37%	1.80	2.34%
NVS	-3.30%	+12.38%	+20.56%	+18.24%	-16.20%	0.67	3.14%
PFE	-1.28%	+25.42%	+29.74%	-4.44%	-15.72%	1.14	5.73%

Summary

Big Pharma at a glance

Big Pharma returned +29.70% over the past year and +15.17% a year over five years. Its worst drop in that year was -9.89%, smaller than 32% of portfolios on Redstone, and its Sharpe ratio of 1.21 beats 87% of portfolios on Redstone.

Ranking

How Big Pharma ranks

1Y Return Rank

5Y Return Rank

Sharpe Ratio Rank

Max Drawdown Rank

Volatility Rank

—

Dividend Yield Rank

Current Drawdown

-2.05%

Rolling Volatility

+1.31%

METRICS

Correlation Matrix

	ABBV	AZN	JNJ	LLY	MRK	NVO	NVS	PFE
ABBV	1.00	0.42	0.51	0.39	0.42	0.26	0.51	0.36
AZN	0.42	1.00	0.49	0.46	0.50	0.26	0.58	0.45
JNJ	0.51	0.49	1.00	0.46	0.49	0.12	0.52	0.36
LLY	0.39	0.46	0.46	1.00	0.40	0.20	0.48	0.43
MRK	0.42	0.50	0.49	0.40	1.00	0.10	0.49	0.45
NVO	0.26	0.26	0.12	0.20	0.10	1.00	0.30	0.27
NVS	0.51	0.58	0.52	0.48	0.49	0.30	1.00	0.52
PFE	0.36	0.45	0.36	0.43	0.45	0.27	0.52	1.00

Actions

Portfolio

Allocation

8 Assets

LLY

JNJ

NVO

ABBV

AZN

MRK

NVS

PFE

Metrics

Risk Indicators

Alpha22.00%

Beta0.22x

Sharpe1.21

Sortino1.93

Omega1.21

Calmar3.00

Martin5.52

Portfolios

Big Pharma: returns, risk and holdings

Big Pharma at a glance

How Big Pharma ranks

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