ASML vs TSM: returns, Sharpe ratio and drawdown
Performance
ASML+57.51%TSM+38.60%
Summary
ASML vs TSM
Over the past year, ASML returned +57.51% against +38.60% for TSM. Over five years, TSM averaged +29.63% a year, compared with +15.20% for ASML. ASML had the higher Sharpe ratio over the past year (1.13 vs 0.93), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -21.55% for TSM and -22.05% for ASML.
Current Drawdown
ASML-17.49%TSM-15.07%
Rolling Volatility
ASML+1.95%TSM+1.80%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ASMLTSM
Alpha
ASML
31.50%
TSM
16.46%
Beta
ASML
2.22x
TSM
2.11x
Sharpe
ASML
1.13
TSM
0.93
Sortino
ASML
1.72
TSM
1.39
Omega
ASML
1.20
TSM
1.17
Calmar
ASML
2.61
TSM
1.79
Martin
ASML
5.91
TSM
4.53
Comparisons