MU vs NVDA: returns, Sharpe ratio and drawdown
Performance
MU+466.63%NVDA+25.18%
Summary
MU vs NVDA
Over the past year, MU returned +466.63% against +25.18% for NVDA. Over five years, MU averaged +72.60% a year, compared with +60.21% for NVDA. MU had the higher Sharpe ratio over the past year (2.52 vs 0.67), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.22% for NVDA and -39.10% for MU.
Current Drawdown
MU-15.21%NVDA-4.16%
Rolling Volatility
MU+2.89%NVDA+1.51%
METRICS
Correlation Matrix
Metrics
Risk Indicators
MUNVDA
Alpha
MU
158.34%
NVDA
-1.37%
Beta
MU
3.24x
NVDA
1.88x
Sharpe
MU
2.52
NVDA
0.67
Sortino
MU
4.24
NVDA
1.00
Omega
MU
1.52
NVDA
1.11
Calmar
MU
11.93
NVDA
1.25
Martin
MU
15.09
NVDA
2.48
Comparisons