LULU vs NKE: returns, Sharpe ratio and drawdown
Performance
LULU-43.59%NKE-46.78%
Summary
LULU vs NKE
Over the past year, LULU returned -43.59% against -46.78% for NKE. Over five years, LULU averaged -25.26% a year, compared with -26.21% for NKE. LULU had the higher Sharpe ratio over the past year (-1.16 vs -1.75), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -51.39% for NKE and -57.44% for LULU.
Current Drawdown
LULU-56.23%NKE-50.19%
Rolling Volatility
LULU+1.91%NKE+1.44%
METRICS
Correlation Matrix
Metrics
Risk Indicators
LULUNKE
Alpha
LULU
-69.79%
NKE
-71.37%
Beta
LULU
1.26x
NKE
0.67x
Sharpe
LULU
-1.16
NKE
-1.75
Sortino
LULU
-1.45
NKE
-2.16
Omega
LULU
0.82
NKE
0.74
Calmar
LULU
-0.76
NKE
-0.91
Martin
LULU
-1.55
NKE
-2.02
Comparisons