What is Coca-Cola's risk, return, and volatility like?
Coca-Cola returned +17.6% over the 1Y window. On the 5Y lens, Sharpe ratio is 0.48, annualized volatility is 16.0%, and max drawdown is -17.3%.
Cite This Comparison
"Coca-Cola (KO): Returns, Risk & Drawdowns." Gale Finance, May 12, 2026. https://www.gale.finance/assets/coca-cola/ Free to use with attribution. Please link back to this page or gale.finance.
Trade KO
Access this asset on trusted platforms.
Price history
Coca-Cola price over the past 5Y
Track Coca-Cola's standalone price path with macro and asset-specific events enabled by default.
Coca-Cola price over the past 5Y
Key takeaways
- Total Return: KO returned +17.6% over the 1Y window and +69.2% over the 5Y window ; annualized return over 5Y was +11.1%.
- Risk-adjusted return: Sharpe was 0.48 and Sortino was 0.69 over 5Y. Sharpe counts total volatility; Sortino focuses on downside volatility.
- Volatility & drawdown: Annualized volatility was 16.1% over 1Y and 16.0% over 5Y ; max drawdown was -8.5% over 1Y and -17.3% over 5Y .
- Tail risk (Expected Shortfall): Over 5Y, daily VaR (5%) was -1.6% and Expected Shortfall was -2.2%. VaR is the cutoff; Expected Shortfall is the average move inside the worst 5% of daily returns.
- Skew & kurtosis: Over 5Y, skew was -0.27 and excess kurtosis was 3.91. Skew shows return asymmetry; excess kurtosis shows how fat the tails were versus a Normal distribution.
- Risk ratios: Sortino Ratio: 0.69 , Calmar Ratio: 0.64 , Sterling Ratio: 0.42 , Treynor Ratio: 0.26 , Ulcer Index: 5.96% .
Coca-Cola Drawdown
Max drawdown shows the deepest peak-to-trough decline Coca-Cola suffered in each research window. 1Y: -8.5%; 5Y: -17.3%.
Coca-Cola is currently -1.9% below its prior peak, with the high-water mark at $81.56. 5Y low is $46.21.
5Y drawdown episodes
Coca-Cola Volatility
Volatility Coca-Cola's annualized volatility shows how widely daily closes moved over 1Y and 5Y. Higher values mean a noisier path, not automatically a better or worse investment. 1Y: 16.1%; 5Y: 16.0%.
Benchmark context
Where KO fits relative to other lenses
Benchmark links are secondary on this page. Use them when you want to place the asset against a specific market, factor, or historical counterpart.
Default benchmark
S&P 500
Broad equity benchmark
Nasdaq 100
Growth and tech benchmark
Bitcoin
Cross-asset crypto benchmark
Gold
Store-of-value benchmark
Risk-adjusted ratios
These ratios compare return against different definitions of risk: total volatility, downside volatility, drawdowns, benchmark beta, and time spent underwater.
Coca-Cola Sharpe Ratio
KO Sharpe Ratio (5Y)
Return per total volatilityThe dot sits at (Coca-Cola's annualized volatility, its excess annualized return). The slope from the origin to the dot is the Sharpe ratio — steeper means the asset converted risk into return more efficiently.
Sharpe ratio Coca-Cola's Sharpe ratio measures excess return per unit of total volatility. Higher readings mean the asset converted risk into return more efficiently over the same window. 1Y: 0.84; 5Y: 0.48.
A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).
Coca-Cola Sortino Ratio
KO Sortino Ratio (5Y)
Return per downside volatilityCoca-Cola's daily-return distribution over the long window. Days left of the target line are the only ones Sortino penalizes in the denominator — so a distribution with a fat left tail produces a smaller Sortino even at the same mean return.
Sortino ratio Coca-Cola's Sortino ratio isolates downside volatility instead of all volatility. It is the cleaner lens when you care more about bad downside moves than upside noise. 1Y: 1.36; 5Y: 0.69.
A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).
Coca-Cola Calmar Ratio
KO Calmar Ratio (5Y)
CAGR per worst drawdownCoca-Cola's CAGR bar sits above zero, the max drawdown bar sits below. Calmar is the ratio of those two magnitudes — a shallow drawdown bar with a tall CAGR bar produces a strong Calmar.
Calmar ratio Coca-Cola's Calmar ratio measures return per unit of max drawdown. It is useful when the path of losses matters as much as the final return. 1Y: 2.08; 5Y: 0.64.
Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.
Coca-Cola Sterling Ratio
KO Sterling Ratio (5Y)
Return per average drawdownThe underwater curve shows Coca-Cola's drawdowns over the long window. Sterling averages every event deeper than the 10% threshold instead of taking only the worst one — so an asset with many mid-size drawdowns scores worse here than on Calmar.
Sterling ratio Coca-Cola's Sterling ratio compares return against deep drawdown pressure. It gives a harsher read on assets that compound well but suffer ugly declines along the way. 1Y: N/A; 5Y: 0.42.
Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.
Coca-Cola Ulcer Index
KO Ulcer Index (5Y)
Drawdown painThe underwater curve shows how deep and how long Coca-Cola's drawdowns were. Ulcer is the root-mean-square of that curve — both depth and persistence count, so lower is better.
Ulcer Index Coca-Cola's Ulcer Index measures both the depth and persistence of drawdowns. Lower is better because it means fewer and shallower underwater periods. 1Y: 4.13; 5Y: 5.96.
Ulcer Index is computed from each asset's drawdown series over the full lookback window.
Coca-Cola Treynor Ratio
KO Treynor Ratio (5Y)
Excess return per beta vs SPYThe line's slope is Coca-Cola's beta to SPY — steeper means more market-sensitive. Treynor divides excess return by that slope, so an asset can look efficient with a shallow beta and a small return, or inefficient with a steep beta and a big return.
Treynor ratio measures excess return per unit of market beta versus SPY. A high Treynor means the asset compensated its market exposure well over this window. A low or negative Treynor means the asset's market risk wasn't rewarded.
Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.
Coca-Cola Tail Risk
Tail-risk stats use daily return distributions rather than simple end-point returns. They show how ugly the left tail has been, how severe the worst 5% of days were, and whether returns were skewed toward outsized upside or downside shocks.
The histogram shows the shape of Coca-Cola's daily log returns over the 5Y window. Bars left of the 5% VaR marker are the worst 5% of days; the ES marker is the average loss inside that tail. Skew and excess kurtosis describe whether the distribution is symmetric around zero and whether extreme days are more common than a Normal distribution predicts.
KO daily return distribution (5Y)
KO daily return distribution (5Y)Log-return histogram with Value-at-Risk and Expected Shortfall markers at the 5% left tail.
| Metric | 1Y | 5Y |
|---|---|---|
| VaR (5%) | -1.4% Historical daily threshold | -1.6% Historical daily threshold |
| Expected shortfall (5%) | -1.7% Beyond the VaR threshold | -2.2% Beyond the VaR threshold |
| Skew | 0.66 | -0.27 |
| Excess kurtosis | 1.24 | 3.91 |
Less negative daily VaR and Expected Shortfall values mean the left tail was less violent. Skew and excess kurtosis help distinguish between steady compounding and a path dominated by occasional extreme moves.
Full stats table
Every window-consistent research metric
Each column keeps the same horizon across returns, ratios, drawdowns, and tail-risk metrics.
| Metric | 1Y Recent window | 5Y Deeper research window |
|---|---|---|
| Total return | +17.6% | +69.2% |
| Annualized return | +17.7% | +11.1% |
| Volatility | 16.1% Annualized daily closes | 16.0% Annualized daily closes |
| Sharpe ratio | 0.84 | 0.48 |
| Sortino ratio | 1.36 | 0.69 |
| Calmar ratio | 2.08 | 0.64 |
| Sterling ratio | N/A | 0.42 |
| Ulcer Index | 4.13 | 5.96 |
| Max drawdown | -8.5% 2026-02-27 to 2026-04-22 | -17.3% 2022-04-21 to 2023-10-05 |
| VaR (5%) | -1.4% Historical daily threshold | -1.6% Historical daily threshold |
| Expected shortfall (5%) | -1.7% Beyond the VaR threshold | -2.2% Beyond the VaR threshold |
| Skew | 0.66 | -0.27 |
| Excess kurtosis | 1.24 | 3.91 |
What viewers usually ask next
What is Coca-Cola's 5Y CAGR?
Coca-Cola's 5y cagr is +11.1% on Gale using the past 5 years.
What is Coca-Cola's 1-year volatility?
Annualized volatility is 16.1% over the past year.
What is Coca-Cola's 5-year Sharpe ratio?
Coca-Cola's Sharpe ratio is 0.48 using the past 5 years.
What is Coca-Cola's 5-year Sortino ratio?
Coca-Cola's Sortino ratio is 0.69 using the past 5 years.
What is Coca-Cola's 5-year Calmar ratio?
Coca-Cola's Calmar ratio is 0.64 using the past 5 years.
What is Coca-Cola's 5-year Sterling ratio?
Coca-Cola's Sterling ratio is 0.42 using the past 5 years.
What is Coca-Cola's 5-year Ulcer Index?
Coca-Cola's Ulcer Index is 5.96 using the past 5 years. Lower is better because it means shallower and less persistent drawdowns.
What is Coca-Cola's 5-year max drawdown?
Max drawdown is -17.3% over the past 5 years from 2022-04-21 to 2023-10-05.
What is Coca-Cola's 5-year daily Value at Risk?
Using historical daily returns, Gale estimates a 5% Value at Risk of -1.55% over the past 5 years.
What is Coca-Cola's 5-year Expected Shortfall?
Expected Shortfall is -2.20% over the past 5 years, which captures the average outcome inside the worst 5% of daily returns.
Is Coca-Cola still below its all-time high?
Current drawdown is -1.9% versus the all-time high of $81.56 reached on 2026-02-27.
Which benchmark should viewers open first for Coca-Cola?
S&P 500 is the default benchmark lens on Gale because it gives the cleanest context for Coca-Cola's recent behavior.