KBR vs TTEK: returns, Sharpe ratio and drawdown
Performance
KBR-16.41%TTEK+4.01%
Summary
KBR vs TTEK
Over the past year, TTEK returned +4.01% against -16.41% for KBR. Over five years, TTEK averaged -0.24% a year, compared with -3.05% for KBR. TTEK had the higher Sharpe ratio over the past year (0.17 vs -0.51), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -33.17% for KBR and -38.56% for TTEK.
Current Drawdown
KBR-19.12%TTEK-18.52%
Rolling Volatility
KBR+1.65%TTEK+1.61%
METRICS
Correlation Matrix
Metrics
Risk Indicators
KBRTTEK
Alpha
KBR
-22.35%
TTEK
3.29%
Beta
KBR
0.57x
TTEK
0.32x
Sharpe
KBR
-0.51
TTEK
0.17
Sortino
KBR
-0.71
TTEK
0.25
Omega
KBR
0.92
TTEK
1.03
Calmar
KBR
-0.49
TTEK
0.10
Martin
KBR
-1.02
TTEK
0.30
Comparisons