GOOG vs MTCH: returns, Sharpe ratio and drawdown
Performance
GOOG+39.26%MTCH+11.86%
Summary
GOOG vs MTCH
Over the past year, GOOG returned +38.80% against +8.25% for MTCH. Over five years, GOOG averaged +19.41% a year, compared with -24.22% for MTCH. GOOG had the higher Sharpe ratio over the past year (1.07 vs 0.27), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.81% for GOOG and -20.82% for MTCH.
Current Drawdown
GOOG-15.01%MTCH-11.01%
Rolling Volatility
GOOG+1.57%MTCH+1.81%
METRICS
Correlation Matrix
Metrics
Risk Indicators
GOOGMTCH
Alpha
GOOG
18.95%
MTCH
-1.09%
Beta
GOOG
1.35x
MTCH
0.90x
Sharpe
GOOG
1.07
MTCH
0.27
Sortino
GOOG
1.72
MTCH
0.38
Omega
GOOG
1.20
MTCH
1.05
Calmar
GOOG
1.86
MTCH
0.40
Martin
GOOG
3.60
MTCH
0.86
Comparisons