LEN.B vs NVR: returns, Sharpe ratio and drawdown
Performance
LEN.B-34.79%NVR-22.93%
Summary
LEN.B vs NVR
Over the past year, NVR returned -22.93% against -34.79% for LEN.B. Over five years, NVR averaged +3.90% a year, compared with -1.35% for LEN.B. NVR had the higher Sharpe ratio over the past year (-0.99 vs -1.04), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -31.40% for NVR and -41.88% for LEN.B.
Current Drawdown
LEN.B-38.87%NVR-27.01%
Rolling Volatility
LEN.B+3.14%NVR+1.53%
METRICS
Correlation Matrix
Metrics
Risk Indicators
LEN.BNVR
Alpha
LEN.B
-50.17%
NVR
-32.09%
Beta
LEN.B
1.06x
NVR
0.54x
Sharpe
LEN.B
-1.04
NVR
-0.99
Sortino
LEN.B
-1.46
NVR
-1.35
Omega
LEN.B
0.84
NVR
0.85
Calmar
LEN.B
-0.83
NVR
-0.73
Martin
LEN.B
-1.48
NVR
-1.52
Comparisons