COST vs PEP: returns, Sharpe ratio and drawdown
Performance
COST+0.53%PEP-11.31%
Summary
COST vs PEP
Over the past year, COST returned +0.53% against -11.31% for PEP. Over five years, COST averaged +15.99% a year, compared with -4.18% for PEP. COST had the higher Sharpe ratio over the past year (-0.10 vs -0.71), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.33% for COST and -27.43% for PEP.
Current Drawdown
COST-13.38%PEP-24.72%
Rolling Volatility
COST+1.01%PEP+1.24%
METRICS
Correlation Matrix
Metrics
Risk Indicators
COSTPEP
Alpha
COST
-0.83%
PEP
-12.57%
Beta
COST
-0.11x
PEP
-0.18x
Sharpe
COST
-0.10
PEP
-0.71
Sortino
COST
-0.14
PEP
-1.00
Omega
COST
0.98
PEP
0.89
Calmar
COST
0.03
PEP
-0.41
Martin
COST
-0.21
PEP
-1.13
Comparisons