MCHP vs SWKS: returns, Sharpe ratio and drawdown
Performance
MCHP+14.67%SWKS+9.66%
Summary
MCHP vs SWKS
Over the past year, MCHP returned +14.67% against +9.66% for SWKS. Over five years, MCHP averaged +0.74% a year, compared with -12.87% for SWKS. MCHP had the higher Sharpe ratio over the past year (0.43 vs 0.35), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -32.38% for MCHP and -34.59% for SWKS.
Current Drawdown
MCHP-26.62%SWKS-11.70%
Rolling Volatility
MCHP+2.51%SWKS+5.11%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MCHPSWKS
Alpha
MCHP
-1.53%
SWKS
2.42%
Beta
MCHP
2.18x
SWKS
1.45x
Sharpe
MCHP
0.43
SWKS
0.35
Sortino
MCHP
0.69
SWKS
0.52
Omega
MCHP
1.08
SWKS
1.06
Calmar
MCHP
0.45
SWKS
0.28
Martin
MCHP
1.36
SWKS
0.87
Comparisons