BG vs KR: returns, Sharpe ratio and drawdown
Performance
BG+32.67%KR-9.10%
Summary
BG vs KR
Over the past year, BG returned +32.67% against -9.10% for KR. Over five years, KR averaged +9.77% a year, compared with +4.73% for BG. BG had the higher Sharpe ratio over the past year (0.91 vs -0.34), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.18% for BG and -26.24% for KR.
Current Drawdown
BG-17.95%KR-18.77%
Rolling Volatility
BG+1.55%KR+1.95%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BGKR
Alpha
BG
29.70%
KR
-3.34%
Beta
BG
-0.05x
KR
-0.61x
Sharpe
BG
0.91
KR
-0.34
Sortino
BG
1.45
KR
-0.47
Omega
BG
1.17
KR
0.95
Calmar
BG
1.62
KR
-0.35
Martin
BG
3.39
KR
-0.67