KMI vs TRP: returns, Sharpe ratio and drawdown
Performance
KMI+24.27%TRP+19.79%
Summary
KMI vs TRP
Over the past year, KMI returned +24.27% against +19.79% for TRP. Over five years, KMI averaged +15.46% a year, compared with +4.65% for TRP. KMI had the higher Sharpe ratio over the past year (0.92 vs 0.80), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -12.12% for KMI and -18.52% for TRP.
Current Drawdown
KMI-0.32%TRP-12.93%
Rolling Volatility
KMI+1.47%TRP+1.43%
METRICS
Correlation Matrix
Metrics
Risk Indicators
KMITRP
Alpha
KMI
21.78%
TRP
16.45%
Beta
KMI
-0.21x
TRP
-0.08x
Sharpe
KMI
0.92
TRP
0.80
Sortino
KMI
1.35
TRP
1.21
Omega
KMI
1.16
TRP
1.14
Calmar
KMI
2.00
TRP
1.07
Martin
KMI
3.60
TRP
2.34
Comparisons