As Knowledge Graphs (KGs) continue to gain widespread momentum for use in different domains, storing the relevant KG content and efficiently executing queries over them are becoming increasingly important. A range of Data Management Systems (DMSs) have been employed to process KGs. This paper aims to provide an in-depth analysis of query performance across diverse DMSs and KG query types. Our aim is to provide a fine-grained, comparative analysis of four major DMS types, namely, row-, column-, graph-, and document-stores, against major query types, namely, subject-subject, subject-object, tree-like, and optional joins. In particular, we analyzed the performance of row-store Virtuoso, column-store Virtuoso, Blazegraph (i.e., graph-store), and MongoDB (i.e., document-store) using five well-known benchmarks, namely, BSBM, WatDiv, FishMark, BowlognaBench, and BioBench-Allie. Our results show that no single DMS displays superior query performance across the four query types. In particular, row- and column-store Virtuoso are a factor of 3-8 faster for tree-like joins, Blazegraph performs around one order of magnitude faster for subject-object joins, and MongoDB performs over one order of magnitude faster for high-selective queries.