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KIE vs. PEP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


KIEPEP
YTD Return32.43%-1.03%
1Y Return38.31%1.47%
3Y Return (Ann)15.20%3.21%
5Y Return (Ann)13.19%7.30%
10Y Return (Ann)12.54%8.44%
Sharpe Ratio2.730.12
Sortino Ratio3.580.29
Omega Ratio1.471.03
Calmar Ratio4.760.13
Martin Ratio15.380.41
Ulcer Index2.58%4.70%
Daily Std Dev14.53%15.86%
Max Drawdown-75.30%-40.41%
Current Drawdown0.00%-12.42%

Correlation

-0.50.00.51.00.4

The correlation between KIE and PEP is 0.42, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

KIE vs. PEP - Performance Comparison

In the year-to-date period, KIE achieves a 32.43% return, which is significantly higher than PEP's -1.03% return. Over the past 10 years, KIE has outperformed PEP with an annualized return of 12.54%, while PEP has yielded a comparatively lower 8.44% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
17.18%
-7.78%
KIE
PEP

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Risk-Adjusted Performance

KIE vs. PEP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Insurance ETF (KIE) and PepsiCo, Inc. (PEP). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


KIE
Sharpe ratio
The chart of Sharpe ratio for KIE, currently valued at 2.73, compared to the broader market-2.000.002.004.006.002.73
Sortino ratio
The chart of Sortino ratio for KIE, currently valued at 3.58, compared to the broader market0.005.0010.003.58
Omega ratio
The chart of Omega ratio for KIE, currently valued at 1.47, compared to the broader market1.001.502.002.503.001.47
Calmar ratio
The chart of Calmar ratio for KIE, currently valued at 4.76, compared to the broader market0.005.0010.0015.004.76
Martin ratio
The chart of Martin ratio for KIE, currently valued at 15.38, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.38
PEP
Sharpe ratio
The chart of Sharpe ratio for PEP, currently valued at 0.12, compared to the broader market-2.000.002.004.006.000.12
Sortino ratio
The chart of Sortino ratio for PEP, currently valued at 0.29, compared to the broader market0.005.0010.000.29
Omega ratio
The chart of Omega ratio for PEP, currently valued at 1.03, compared to the broader market1.001.502.002.503.001.03
Calmar ratio
The chart of Calmar ratio for PEP, currently valued at 0.13, compared to the broader market0.005.0010.0015.000.13
Martin ratio
The chart of Martin ratio for PEP, currently valued at 0.41, compared to the broader market0.0020.0040.0060.0080.00100.00120.000.41

KIE vs. PEP - Sharpe Ratio Comparison

The current KIE Sharpe Ratio is 2.73, which is higher than the PEP Sharpe Ratio of 0.12. The chart below compares the historical Sharpe Ratios of KIE and PEP, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
2.73
0.12
KIE
PEP

Dividends

KIE vs. PEP - Dividend Comparison

KIE's dividend yield for the trailing twelve months is around 1.28%, less than PEP's 3.20% yield.


TTM20232022202120202019201820172016201520142013
KIE
SPDR S&P Insurance ETF
1.28%1.45%1.90%1.95%1.85%1.76%1.83%1.56%1.55%1.65%1.81%1.38%
PEP
PepsiCo, Inc.
3.20%2.92%2.51%2.45%2.71%2.78%3.25%2.64%2.83%2.76%2.68%2.70%

Drawdowns

KIE vs. PEP - Drawdown Comparison

The maximum KIE drawdown since its inception was -75.30%, which is greater than PEP's maximum drawdown of -40.41%. Use the drawdown chart below to compare losses from any high point for KIE and PEP. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-12.42%
KIE
PEP

Volatility

KIE vs. PEP - Volatility Comparison

SPDR S&P Insurance ETF (KIE) has a higher volatility of 6.13% compared to PepsiCo, Inc. (PEP) at 3.22%. This indicates that KIE's price experiences larger fluctuations and is considered to be riskier than PEP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
6.13%
3.22%
KIE
PEP