DOC vs KIM: returns, Sharpe ratio and drawdown
Performance
DOC+0.38%KIM+4.05%
Summary
DOC vs KIM
Over the past year, KIM returned +4.05% against +0.38% for DOC. Over five years, KIM averaged -0.38% a year, compared with -11.80% for DOC. KIM had the higher Sharpe ratio over the past year (0.06 vs -0.00), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.17% for KIM and -18.84% for DOC.
Current Drawdown
DOC-18.84%KIM-16.26%
Rolling Volatility
DOC+1.18%KIM+0.75%
METRICS
Correlation Matrix
Metrics
Risk Indicators
DOCKIM
Alpha
DOC
-4.83%
KIM
-0.21%
Beta
DOC
0.44x
KIM
0.12x
Sharpe
DOC
-0.00
KIM
0.06
Sortino
DOC
-0.00
KIM
0.09
Omega
DOC
1.00
KIM
1.01
Calmar
DOC
0.02
KIM
0.24
Martin
DOC
-0.00
KIM
0.16
Comparisons