KOF vs KO: returns, Sharpe ratio and drawdown
Performance
KOF+36.15%KO+39.73%
Summary
KOF vs KO
Over the past year, KO returned +39.73% against +36.15% for KOF. Over five years, KOF averaged +21.28% a year, compared with +14.31% for KO. KO had the higher Sharpe ratio over the past year (1.68 vs 1.24), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.87% for KO and -18.13% for KOF. Dividends over the past year came to 3.64% of KOF's price, against 2.19% for KO. Their daily returns had a correlation of 0.29 over the past year, which is low.
Ranking
How KOF and KO rank
KOFKO
Current Drawdown
KOF-1.88%KO0.00%
Rolling Volatility
KOF24.16%KO21.10%
METRICS
Correlation Matrix
Dividends
KOF and KO dividends
KOFKOYield3.64%2.19%Paid, past year$4.28$2.10PaysQuarterlyQuarterlyGrowth a year+12.9%+5.0%Return with dividends+21.28%+14.31%Return, price only+16.53%+11.03%
Over five years, reinvested dividends added 4.75 points a year to KOF's return and 3.28 to KO's.
Metrics
Risk Indicators
KOFKO
Alpha
KOF
25.62%
KO
33.92%
Beta
KOF
0.47x
KO
-0.23x
Sharpe
KOF
1.24
KO
1.68
Sortino
KOF
1.95
KO
2.84
Omega
KOF
1.23
KO
1.33
Calmar
KOF
1.99
KO
5.05
Martin
KOF
4.67
KO
9.17
Comparisons