KKR vs SPY: returns, Sharpe ratio and drawdown
Performance
KKR-22.81%SPY+19.23%
Summary
KKR vs SPY
Over the past year, SPY returned +19.23% against -22.81% for KKR. Over five years, SPY averaged +11.83% a year, compared with +6.57% for KKR. SPY had the higher Sharpe ratio over the past year (1.11 vs -0.61), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -41.25% for KKR.
Current Drawdown
KKR-36.30%SPY-0.07%
Rolling Volatility
KKR+1.56%SPY+0.62%
METRICS
Correlation Matrix
Metrics
Risk Indicators
KKRSPY
Alpha
KKR
-44.37%
SPY
0.00%
Beta
KKR
1.49x
SPY
1.00x
Sharpe
KKR
-0.61
SPY
1.11
Sortino
KKR
-0.82
SPY
1.64
Omega
KKR
0.90
SPY
1.20
Calmar
KKR
-0.55
SPY
2.11
Martin
KKR
-0.88
SPY
6.38
Comparisons