PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
KRYS vs. FXAIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between KRYS and FXAIX is 0.36, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

KRYS vs. FXAIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Krystal Biotech, Inc. (KRYS) and Fidelity 500 Index Fund (FXAIX). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
-8.00%
8.07%
KRYS
FXAIX

Key characteristics

Sharpe Ratio

KRYS:

0.60

FXAIX:

1.97

Sortino Ratio

KRYS:

1.54

FXAIX:

2.63

Omega Ratio

KRYS:

1.18

FXAIX:

1.37

Calmar Ratio

KRYS:

1.31

FXAIX:

2.93

Martin Ratio

KRYS:

3.15

FXAIX:

12.99

Ulcer Index

KRYS:

11.10%

FXAIX:

1.90%

Daily Std Dev

KRYS:

58.72%

FXAIX:

12.58%

Max Drawdown

KRYS:

-53.42%

FXAIX:

-33.79%

Current Drawdown

KRYS:

-24.73%

FXAIX:

-3.62%

Returns By Period

In the year-to-date period, KRYS achieves a 29.64% return, which is significantly higher than FXAIX's 24.65% return.


KRYS

YTD

29.64%

1M

-9.57%

6M

-6.06%

1Y

42.40%

5Y*

23.00%

10Y*

N/A

FXAIX

YTD

24.65%

1M

-0.72%

6M

7.90%

1Y

26.58%

5Y*

14.57%

10Y*

12.79%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

KRYS vs. FXAIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Krystal Biotech, Inc. (KRYS) and Fidelity 500 Index Fund (FXAIX). 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.


Sharpe ratio
The chart of Sharpe ratio for KRYS, currently valued at 0.60, compared to the broader market-4.00-2.000.002.000.601.97
The chart of Sortino ratio for KRYS, currently valued at 1.54, compared to the broader market-4.00-2.000.002.004.001.542.63
The chart of Omega ratio for KRYS, currently valued at 1.18, compared to the broader market0.501.001.502.001.181.37
The chart of Calmar ratio for KRYS, currently valued at 1.31, compared to the broader market0.002.004.006.001.312.93
The chart of Martin ratio for KRYS, currently valued at 3.15, compared to the broader market0.0010.0020.003.1512.99
KRYS
FXAIX

The current KRYS Sharpe Ratio is 0.60, which is lower than the FXAIX Sharpe Ratio of 1.97. The chart below compares the historical Sharpe Ratios of KRYS and FXAIX, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.60
1.97
KRYS
FXAIX

Dividends

KRYS vs. FXAIX - Dividend Comparison

KRYS has not paid dividends to shareholders, while FXAIX's dividend yield for the trailing twelve months is around 0.89%.


TTM20232022202120202019201820172016201520142013
KRYS
Krystal Biotech, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FXAIX
Fidelity 500 Index Fund
0.89%1.45%1.69%1.22%1.60%1.95%2.07%1.81%2.01%2.56%2.63%1.84%

Drawdowns

KRYS vs. FXAIX - Drawdown Comparison

The maximum KRYS drawdown since its inception was -53.42%, which is greater than FXAIX's maximum drawdown of -33.79%. Use the drawdown chart below to compare losses from any high point for KRYS and FXAIX. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-24.73%
-3.62%
KRYS
FXAIX

Volatility

KRYS vs. FXAIX - Volatility Comparison

Krystal Biotech, Inc. (KRYS) has a higher volatility of 15.92% compared to Fidelity 500 Index Fund (FXAIX) at 3.62%. This indicates that KRYS's price experiences larger fluctuations and is considered to be riskier than FXAIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
15.92%
3.62%
KRYS
FXAIX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab