KO vs MDLZ: returns, Sharpe ratio and drawdown
Performance
KO+32.24%MDLZ-0.54%
Summary
KO vs MDLZ
Over the past year, KO returned +32.24% against -0.54% for MDLZ. Over five years, KO averaged +10.04% a year, compared with +0.17% for MDLZ. KO had the higher Sharpe ratio over the past year (1.34 vs -0.10), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.50% for KO and -17.99% for MDLZ.
Current Drawdown
KO-4.59%MDLZ-6.65%
Rolling Volatility
KO+0.89%MDLZ+1.15%
METRICS
Correlation Matrix
Metrics
Risk Indicators
KOMDLZ
Alpha
KO
28.24%
MDLZ
-0.09%
Beta
KO
-0.24x
MDLZ
-0.21x
Sharpe
KO
1.34
MDLZ
-0.10
Sortino
KO
2.24
MDLZ
-0.15
Omega
KO
1.25
MDLZ
0.98
Calmar
KO
3.79
MDLZ
-0.03
Martin
KO
6.70
MDLZ
-0.31