Performance

KMB-18.24%PG+0.01%

RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe
KMB	+1.31%	-3.61%	-18.24%	-6.04%	-23.38%	-0.76
PG	+1.87%	+6.21%	+0.01%	+0.84%	-16.15%	-0.13

Summary

KMB vs PG

Over the past year, PG returned +0.01% against -18.24% for KMB. Over five years, PG averaged +0.84% a year, compared with -6.04% for KMB. PG had the higher Sharpe ratio over the past year (-0.13 vs -0.76), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.15% for PG and -23.38% for KMB.

Current Drawdown

KMB-19.52%PG-9.93%

Rolling Volatility

KMB+1.07%PG+1.04%

METRICS

Correlation Matrix

	KMB	PG
KMB	1.00	0.54
PG	0.54	1.00

Metrics

Risk Indicators

KMBPG

Alpha

-21.83%

-2.25%

Beta

0.08x

-0.03x

Sharpe

-0.76

-0.13

Sortino

-0.93

-0.18

Omega

0.87

0.98

Calmar

-0.78

0.00

Martin

-1.35

-0.25

Comparisons

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KMB vs CLX
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PG vs JNJ
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PG vs KO
PG vs XLP
PG vs CL
PG vs CHD

KMB vs PG: returns, Sharpe ratio and drawdown

KMB vs PG

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