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

Correlation

The correlation between KTOS and SPYG is 0.37, 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

KTOS vs. SPYG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Kratos Defense & Security Solutions, Inc. (KTOS) and SPDR Portfolio S&P 500 Growth ETF (SPYG). The values are adjusted to include any dividend payments, if applicable.

-100.00%0.00%100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
-95.52%
379.83%
KTOS
SPYG

Key characteristics

Sharpe Ratio

KTOS:

0.71

SPYG:

2.25

Sortino Ratio

KTOS:

1.36

SPYG:

2.89

Omega Ratio

KTOS:

1.16

SPYG:

1.41

Calmar Ratio

KTOS:

0.30

SPYG:

3.08

Martin Ratio

KTOS:

3.29

SPYG:

12.14

Ulcer Index

KTOS:

8.90%

SPYG:

3.24%

Daily Std Dev

KTOS:

41.02%

SPYG:

17.49%

Max Drawdown

KTOS:

-99.81%

SPYG:

-67.79%

Current Drawdown

KTOS:

-98.36%

SPYG:

-2.45%

Returns By Period

In the year-to-date period, KTOS achieves a 27.50% return, which is significantly lower than SPYG's 37.65% return. Over the past 10 years, KTOS has outperformed SPYG with an annualized return of 18.05%, while SPYG has yielded a comparatively lower 15.23% annualized return.


KTOS

YTD

27.50%

1M

2.58%

6M

25.28%

1Y

27.82%

5Y*

7.37%

10Y*

18.05%

SPYG

YTD

37.65%

1M

3.29%

6M

11.66%

1Y

37.77%

5Y*

17.47%

10Y*

15.23%

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

KTOS vs. SPYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Kratos Defense & Security Solutions, Inc. (KTOS) and SPDR Portfolio S&P 500 Growth ETF (SPYG). 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 KTOS, currently valued at 0.71, compared to the broader market-4.00-2.000.002.000.712.25
The chart of Sortino ratio for KTOS, currently valued at 1.36, compared to the broader market-4.00-2.000.002.004.001.362.89
The chart of Omega ratio for KTOS, currently valued at 1.16, compared to the broader market0.501.001.502.001.161.41
The chart of Calmar ratio for KTOS, currently valued at 0.30, compared to the broader market0.002.004.006.000.303.08
The chart of Martin ratio for KTOS, currently valued at 3.29, compared to the broader market-5.000.005.0010.0015.0020.0025.003.2912.14
KTOS
SPYG

The current KTOS Sharpe Ratio is 0.71, which is lower than the SPYG Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of KTOS and SPYG, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.71
2.25
KTOS
SPYG

Dividends

KTOS vs. SPYG - Dividend Comparison

KTOS has not paid dividends to shareholders, while SPYG's dividend yield for the trailing twelve months is around 0.40%.


TTM20232022202120202019201820172016201520142013
KTOS
Kratos Defense & Security Solutions, 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%
SPYG
SPDR Portfolio S&P 500 Growth ETF
0.40%1.15%1.03%0.62%0.90%1.36%1.51%1.41%1.55%1.57%1.37%1.42%

Drawdowns

KTOS vs. SPYG - Drawdown Comparison

The maximum KTOS drawdown since its inception was -99.81%, which is greater than SPYG's maximum drawdown of -67.79%. Use the drawdown chart below to compare losses from any high point for KTOS and SPYG. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-95.87%
-2.45%
KTOS
SPYG

Volatility

KTOS vs. SPYG - Volatility Comparison

Kratos Defense & Security Solutions, Inc. (KTOS) has a higher volatility of 13.97% compared to SPDR Portfolio S&P 500 Growth ETF (SPYG) at 4.80%. This indicates that KTOS's price experiences larger fluctuations and is considered to be riskier than SPYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
13.97%
4.80%
KTOS
SPYG
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