KRMN vs SPY: returns, Sharpe ratio and drawdown
Performance
KRMN-55.68%SPY+13.70%
Summary
KRMN vs SPY
Over the past year, SPY returned +13.70% against -55.68% for KRMN. SPY had the higher Sharpe ratio over the past year (0.73 vs -0.79), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -73.86% for KRMN.
Current Drawdown
KRMN-69.92%SPY-2.03%
Rolling Volatility
KRMN+4.40%SPY+0.63%
METRICS
Correlation Matrix
Metrics
Risk Indicators
KRMNSPY
Alpha
KRMN
-81.27%
SPY
0.00%
Beta
KRMN
2.40x
SPY
1.00x
Sharpe
KRMN
-0.79
SPY
0.73
Sortino
KRMN
-1.08
SPY
1.07
Omega
KRMN
0.88
SPY
1.13
Calmar
KRMN
-0.75
SPY
1.50
Martin
KRMN
-1.37
SPY
4.19
Comparisons