AVGO vs NVDA: returns, Sharpe ratio and drawdown
Performance
AVGO+11.37%NVDA+25.18%
Summary
AVGO vs NVDA
Over the past year, NVDA returned +25.18% against +11.37% for AVGO. Over five years, NVDA averaged +60.21% a year, compared with +48.51% for AVGO. NVDA had the higher Sharpe ratio over the past year (0.67 vs 0.37), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.22% for NVDA and -29.55% for AVGO.
Current Drawdown
AVGO-24.92%NVDA-4.16%
Rolling Volatility
AVGO+2.27%NVDA+1.51%
METRICS
Correlation Matrix
Metrics
Risk Indicators
AVGONVDA
Alpha
AVGO
-13.20%
NVDA
-1.37%
Beta
AVGO
2.16x
NVDA
1.88x
Sharpe
AVGO
0.37
NVDA
0.67
Sortino
AVGO
0.53
NVDA
1.00
Omega
AVGO
1.07
NVDA
1.11
Calmar
AVGO
0.38
NVDA
1.25
Martin
AVGO
0.99
NVDA
2.48
Comparisons