EL vs KDP: returns, Sharpe ratio and drawdown
Performance
EL+0.37%KDP+20.93%
Summary
EL vs KDP
Over the past year, KDP returned +20.93% against +0.37% for EL. Over five years, KDP averaged -2.41% a year, compared with -21.77% for EL. KDP had the higher Sharpe ratio over the past year (0.68 vs 0.16), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.43% for KDP and -43.79% for EL.
Current Drawdown
EL-21.14%KDP-6.69%
Rolling Volatility
EL+1.91%KDP+1.73%
METRICS
Correlation Matrix
Metrics
Risk Indicators
ELKDP
Alpha
EL
-7.70%
KDP
17.36%
Beta
EL
1.43x
KDP
0.10x
Sharpe
EL
0.16
KDP
0.68
Sortino
EL
0.22
KDP
1.04
Omega
EL
1.03
KDP
1.12
Calmar
EL
0.01
KDP
1.14
Martin
EL
0.33
KDP
2.39
Comparisons