GOOG vs MSFT: returns, Sharpe ratio and drawdown
Performance
GOOG+46.47%MSFT+4.72%
Summary
GOOG vs MSFT
Over the past year, GOOG returned +46.47% against +4.72% for MSFT. Over five years, GOOG averaged +19.74% a year, compared with +11.99% for MSFT. GOOG had the higher Sharpe ratio over the past year (1.25 vs 0.17), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.81% for GOOG and -34.91% for MSFT.
Current Drawdown
GOOG-12.83%MSFT-1.29%
Rolling Volatility
GOOG+1.43%MSFT+1.36%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GOOGMSFT
Alpha
GOOG
19.60%
MSFT
-8.60%
Beta
GOOG
1.37x
MSFT
1.00x
Sharpe
GOOG
1.25
MSFT
0.17
Sortino
GOOG
2.02
MSFT
0.26
Omega
GOOG
1.24
MSFT
1.03
Calmar
GOOG
2.23
MSFT
0.14
Martin
GOOG
4.02
MSFT
0.28
Comparisons