KEY vs USB: returns, Sharpe ratio and drawdown
Performance
KEY+10.56%USB+21.08%
Summary
KEY vs USB
Over the past year, USB returned +21.08% against +10.56% for KEY. Over five years, USB averaged -1.09% a year, compared with -2.68% for KEY. USB had the higher Sharpe ratio over the past year (0.78 vs 0.36), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.21% for USB and -18.57% for KEY.
Current Drawdown
KEY-16.22%USB-12.82%
Rolling Volatility
KEY+1.32%USB+1.24%
METRICS
Correlation Matrix
Metrics
Risk Indicators
KEYUSB
Alpha
KEY
-0.55%
USB
9.51%
Beta
KEY
0.85x
USB
0.73x
Sharpe
KEY
0.36
USB
0.78
Sortino
KEY
0.48
USB
1.09
Omega
KEY
1.06
USB
1.14
Calmar
KEY
0.57
USB
1.30
Martin
KEY
1.10
USB
2.49
Comparisons