KBWB vs KRE: returns, Sharpe ratio and drawdown
Performance
KBWB+14.38%KRE+15.31%
Summary
KBWB vs KRE
Over the past year, KRE returned +15.31% against +14.38% for KBWB. Over five years, KBWB averaged +4.00% a year, compared with -0.31% for KRE. KRE had the higher Sharpe ratio over the past year (0.59 vs 0.56), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -14.95% for KRE and -16.38% for KBWB.
Current Drawdown
KBWB-12.95%KRE-10.42%
Rolling Volatility
KBWB+0.94%KRE+0.96%
METRICS
Correlation Matrix
Metrics
Risk Indicators
KBWBKRE
Alpha
KBWB
2.66%
KRE
6.26%
Beta
KBWB
0.91x
KRE
0.61x
Sharpe
KBWB
0.56
KRE
0.59
Sortino
KBWB
0.78
KRE
0.86
Omega
KBWB
1.10
KRE
1.10
Calmar
KBWB
0.88
KRE
1.02
Martin
KBWB
1.76
KRE
2.03
Comparisons