Analysis period: 2024-12-30 to 2025-12-26
Relative Performance (Normalized to 100)
Normalized to 100 at start date for comparison
Key Takeaways
- Raw returns: GOOG outperformed with 64.1% total return vs 38.6% for NVDA.
- Risk-adjusted (Sharpe): GOOG had better risk-adjusted returns with a Sharpe ratio of 1.6 vs 0.83 for NVDA.
- Volatility: GOOG was less volatile at 32.1% annualized vs 49.9% for NVDA.
- Max drawdown: GOOG had a shallower max drawdown of -29.3% vs -36.9% for NVDA.
Correlation Analysis
NVDA and GOOG are moderately correlated over the past 6 months. With a correlation of 0.39, these assets show some independence, offering moderate diversification when held together.
| Metric | Metric | Value |
|---|---|---|
| Current (30-day) | 0.33 | |
| Average (full period) | 0.39 | |
| Minimum | -0.09 | |
| Maximum | 0.91 |
Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement.
Investment Comparison
If you invested $10,000 in each asset on December 30, 2024:
Difference: $2,548.46 (GOOG ahead)
Risk Analysis
NVDA experienced its maximum drawdown of -36.9% from 2025-01-06 to 2025-04-04. It took 82 days to recover.
GOOG experienced its maximum drawdown of -29.3% from 2025-02-04 to 2025-04-08. It took 139 days to recover.
Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.
Sharpe Ratio
The Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. GOOG delivered 1.9x more return per unit of risk than NVDA.
A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate.
Sortino Ratio
The Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only penalizes negative volatility. GOOG had better downside-adjusted returns.
A higher Sortino is better. It's particularly useful for assets with asymmetric volatility (big gains, smaller losses). Downside volatility: NVDA 38.1% vs GOOG 20.8%.
Understanding Volatility
NVDA's annualized volatility of 49.9% means it typically moves ±3.14% on any given day.
GOOG's annualized volatility of 32.1% means it typically moves ±2.02% on any given day.
For comparison, the S&P 500 typically has 15-18% annualized volatility, translating to roughly ±1% daily moves. Higher volatility means larger potential gains but also larger potential losses.
Performance Over Time
| Metric | NVDA | GOOG |
|---|---|---|
| 30 Days | 5.7% | -1.6% |
| 90 Days | 6.9% | 27.5% |
| 180 Days | 20.8% | 77% |
| 1 Year | N/A | N/A |
Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.
Full Comparison
| Metric | NVDA | GOOG |
|---|---|---|
| Total Return | 38.6% | 64.1% |
| Annualized Volatility | 49.9% | 32.1% |
| Sharpe Ratio | 0.83 | 1.60 |
| Sortino Ratio | 1.09 | 2.47 |
| Max Drawdown | -36.9% | -29.3% |
| Avg Correlation to S&P 500 | 0.70 | 0.57 |