BAI vs COCO: returns, Sharpe ratio and drawdown
Performance
BAI+4.91%COCO+53.15%
Summary
BAI vs COCO
Over the past year, COCO returned +53.15% against +4.91% for BAI. COCO had the higher Sharpe ratio over the past year (0.96 vs 0.26), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -39.72% for COCO and -40.03% for BAI. Dividends over the past year came to 1.65% of BAI's price, while COCO paid none. Their daily returns had a correlation of 0.12 over the past year, which is low.
Ranking
How BAI and COCO rank
BAICOCO
4783
1Y Return Rank—96
5Y Return Rank4573
Sharpe Ratio Rank1738
Max Drawdown Rank1729
Volatility Rank420
Dividend Yield RankCurrent Drawdown
BAI-33.75%COCO-23.24%
Rolling Volatility
BAI69.30%COCO54.99%
METRICS
Correlation Matrix
Fees and dividends
What BAI and COCO cost and pay
BAICOCOExpense ratio0.55%—Yield1.65%0.00%Paid, past year$0.59NonePaysTwice a year—Growth a year——Return with dividends+4.91%1Y—Return, price only+3.04%1Y—
Metrics
Risk Indicators
BAICOCO
Alpha
BAI
-13.96%
COCO
47.57%
Beta
BAI
2.70x
COCO
0.70x
Sharpe
BAI
0.26
COCO
0.96
Sortino
BAI
0.36
COCO
1.59
Omega
BAI
1.05
COCO
1.20
Calmar
BAI
0.12
COCO
1.34
Martin
BAI
1.01
COCO
3.04
Comparisons