KRKNF vs SPY: returns, Sharpe ratio and drawdown
Performance
KRKNF-22.97%SPY+15.31%
Summary
KRKNF vs SPY
Over the past year, SPY returned +15.31% against -22.97% for KRKNF. Over five years, KRKNF averaged +65.90% a year, compared with +11.69% for SPY. SPY had the higher Sharpe ratio over the past year (0.83 vs -0.08), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -61.51% for KRKNF.
Current Drawdown
KRKNF-56.08%SPY-0.66%
Rolling Volatility
KRKNF+4.02%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
KRKNFSPY
Alpha
KRKNF
-31.45%
SPY
0.00%
Beta
KRKNF
2.28x
SPY
1.00x
Sharpe
KRKNF
-0.08
SPY
0.83
Sortino
KRKNF
-0.13
SPY
1.19
Omega
KRKNF
0.99
SPY
1.15
Calmar
KRKNF
-0.37
SPY
1.68
Martin
KRKNF
-0.19
SPY
4.84
Comparisons