GOOG vs GOOGL: returns, Sharpe ratio and drawdown
Performance
GOOG+31.08%GOOGL+32.76%
Summary
GOOG vs GOOGL
Over the past year, GOOGL returned +32.76% against +31.08% for GOOG. Over five years, GOOGL averaged +18.26% a year, compared with +17.97% for GOOG. GOOGL had the higher Sharpe ratio over the past year (0.92 vs 0.89), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.81% for GOOG and -21.09% for GOOGL.
Current Drawdown
GOOG-15.57%GOOGL-15.41%
Rolling Volatility
GOOG+1.34%GOOGL+1.37%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GOOGGOOGL
Alpha
GOOG
14.97%
GOOGL
16.26%
Beta
GOOG
1.37x
GOOGL
1.38x
Sharpe
GOOG
0.89
GOOGL
0.92
Sortino
GOOG
1.42
GOOGL
1.45
Omega
GOOG
1.17
GOOGL
1.17
Calmar
GOOG
1.49
GOOGL
1.55
Martin
GOOG
2.79
GOOGL
2.95
Comparisons