CAG vs KR: returns, Sharpe ratio and drawdown
Performance
CAG-26.65%KR-9.10%
Summary
CAG vs KR
Over the past year, KR returned -9.10% against -26.65% for CAG. Over five years, KR averaged +9.77% a year, compared with -16.45% for CAG. KR had the higher Sharpe ratio over the past year (-0.34 vs -1.05), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -26.24% for KR and -37.49% for CAG.
Current Drawdown
CAG-32.57%KR-18.77%
Rolling Volatility
CAG+1.71%KR+1.95%
METRICS
Correlation Matrix
Metrics
Risk Indicators
CAGKR
Alpha
CAG
-28.95%
KR
-3.34%
Beta
CAG
-0.23x
KR
-0.61x
Sharpe
CAG
-1.05
KR
-0.34
Sortino
CAG
-1.41
KR
-0.47
Omega
CAG
0.85
KR
0.95
Calmar
CAG
-0.71
KR
-0.35
Martin
CAG
-1.44
KR
-0.67
Comparisons