PEP vs KO: returns, Sharpe ratio and drawdown
Performance
PEP-16.06%KO+31.34%
Summary
PEP vs KO
Over the past year, KO returned +31.34% against -16.06% for PEP. Over five years, KO averaged +10.11% a year, compared with -4.54% for PEP. KO had the higher Sharpe ratio over the past year (1.31 vs -0.99), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.50% for KO and -27.43% for PEP.
Current Drawdown
PEP-26.11%KO-4.28%
Rolling Volatility
PEP+1.29%KO+0.89%
METRICS
Correlation Matrix
Metrics
Risk Indicators
PEPKO
Alpha
PEP
-18.30%
KO
28.29%
Beta
PEP
-0.13x
KO
-0.24x
Sharpe
PEP
-0.99
KO
1.31
Sortino
PEP
-1.38
KO
2.18
Omega
PEP
0.85
KO
1.25
Calmar
PEP
-0.59
KO
3.69
Martin
PEP
-1.55
KO
6.50
Comparisons