MSFT vs GOOGL: returns, Sharpe ratio and drawdown
Performance
MSFT+4.72%GOOGL+48.65%
Summary
MSFT vs GOOGL
Over the past year, GOOGL returned +48.65% against +4.72% for MSFT. Over five years, GOOGL averaged +20.05% a year, compared with +11.99% for MSFT. GOOGL had the higher Sharpe ratio over the past year (1.28 vs 0.17), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -21.09% for GOOGL and -34.91% for MSFT.
Current Drawdown
MSFT-1.29%GOOGL-12.66%
Rolling Volatility
MSFT+1.36%GOOGL+1.47%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MSFTGOOGL
Alpha
MSFT
-8.60%
GOOGL
21.06%
Beta
MSFT
1.00x
GOOGL
1.39x
Sharpe
MSFT
0.17
GOOGL
1.28
Sortino
MSFT
0.26
GOOGL
2.05
Omega
MSFT
1.03
GOOGL
1.25
Calmar
MSFT
0.14
GOOGL
2.31
Martin
MSFT
0.28
GOOGL
4.20
Comparisons