INGR vs KHC: returns, Sharpe ratio and drawdown
Performance
INGR-19.43%KHC-7.90%
Summary
INGR vs KHC
Over the past year, KHC returned -7.90% against -19.43% for INGR. Over five years, INGR averaged +0.56% a year, compared with -8.03% for KHC. KHC had the higher Sharpe ratio over the past year (-0.35 vs -1.37), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -20.93% for KHC and -22.45% for INGR.
Current Drawdown
INGR-19.43%KHC-14.27%
Rolling Volatility
INGR+0.97%KHC+1.35%
METRICS
Correlation Matrix
Metrics
Risk Indicators
INGRKHC
Alpha
INGR
-25.57%
KHC
-8.62%
Beta
INGR
0.09x
KHC
-0.07x
Sharpe
INGR
-1.37
KHC
-0.35
Sortino
INGR
-1.80
KHC
-0.47
Omega
INGR
0.80
KHC
0.95
Calmar
INGR
-0.87
KHC
-0.38
Martin
INGR
-1.89
KHC
-0.99
Comparisons