BLK vs KKR: returns, Sharpe ratio and drawdown
Performance
BLK-8.74%KKR-27.81%
Summary
BLK vs KKR
Over the past year, BLK returned -8.74% against -27.81% for KKR. Over five years, KKR averaged +6.25% a year, compared with +3.27% for BLK. BLK had the higher Sharpe ratio over the past year (-0.36 vs -0.78), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -23.26% for BLK and -41.25% for KKR.
Current Drawdown
BLK-11.41%KKR-37.27%
Rolling Volatility
BLK+1.24%KKR+1.59%
METRICS
Correlation Matrix
Metrics
Risk Indicators
BLKKKR
Alpha
BLK
-23.08%
KKR
-46.17%
Beta
BLK
1.22x
KKR
1.50x
Sharpe
BLK
-0.36
KKR
-0.78
Sortino
BLK
-0.50
KKR
-1.04
Omega
BLK
0.94
KKR
0.88
Calmar
BLK
-0.38
KKR
-0.67
Martin
BLK
-0.81
KKR
-1.13
Comparisons