NVS vs TAK: returns, Sharpe ratio and drawdown
Performance
NVS+14.29%TAK+39.70%
Summary
NVS vs TAK
Over the past year, TAK returned +39.70% against +14.29% for NVS. Over five years, NVS averaged +14.04% a year, compared with +7.05% for TAK. TAK had the higher Sharpe ratio over the past year (1.49 vs 0.47), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.66% for NVS and -20.05% for TAK.
Current Drawdown
NVS-10.67%TAK+0.00%
Rolling Volatility
NVS+1.17%TAK+1.31%
METRICS
Correlation Matrix
Metrics
Risk Indicators
NVSTAK
Alpha
NVS
9.78%
TAK
30.37%
Beta
NVS
0.32x
TAK
0.13x
Sharpe
NVS
0.47
TAK
1.49
Sortino
NVS
0.63
TAK
2.29
Omega
NVS
1.09
TAK
1.28
Calmar
NVS
0.77
TAK
1.98
Martin
NVS
1.41
TAK
4.13
Comparisons