PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^GSPC vs. ONEQ
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^GSPC and ONEQ is 0.91, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

^GSPC vs. ONEQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 (^GSPC) and Fidelity NASDAQ Composite Index Tracking Stock (ONEQ). The values are adjusted to include any dividend payments, if applicable.

400.00%600.00%800.00%1,000.00%1,200.00%JulyAugustSeptemberOctoberNovemberDecember
482.47%
1,197.93%
^GSPC
ONEQ

Key characteristics

Sharpe Ratio

^GSPC:

2.10

ONEQ:

1.89

Sortino Ratio

^GSPC:

2.80

ONEQ:

2.46

Omega Ratio

^GSPC:

1.39

ONEQ:

1.34

Calmar Ratio

^GSPC:

3.09

ONEQ:

2.53

Martin Ratio

^GSPC:

13.49

ONEQ:

9.53

Ulcer Index

^GSPC:

1.94%

ONEQ:

3.51%

Daily Std Dev

^GSPC:

12.52%

ONEQ:

17.75%

Max Drawdown

^GSPC:

-56.78%

ONEQ:

-55.09%

Current Drawdown

^GSPC:

-2.62%

ONEQ:

-2.80%

Returns By Period

In the year-to-date period, ^GSPC achieves a 24.34% return, which is significantly lower than ONEQ's 31.26% return. Over the past 10 years, ^GSPC has underperformed ONEQ with an annualized return of 11.06%, while ONEQ has yielded a comparatively higher 16.40% annualized return.


^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

ONEQ

YTD

31.26%

1M

3.37%

6M

11.28%

1Y

31.83%

5Y*

18.25%

10Y*

16.40%

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

^GSPC vs. ONEQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 (^GSPC) and Fidelity NASDAQ Composite Index Tracking Stock (ONEQ). 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 ^GSPC, currently valued at 2.10, compared to the broader market0.001.002.002.101.89
The chart of Sortino ratio for ^GSPC, currently valued at 2.80, compared to the broader market-1.000.001.002.003.002.802.46
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.901.001.101.201.301.401.391.34
The chart of Calmar ratio for ^GSPC, currently valued at 3.09, compared to the broader market0.001.002.003.003.092.53
The chart of Martin ratio for ^GSPC, currently valued at 13.49, compared to the broader market0.005.0010.0015.0020.0013.499.53
^GSPC
ONEQ

The current ^GSPC Sharpe Ratio is 2.10, which is comparable to the ONEQ Sharpe Ratio of 1.89. The chart below compares the historical Sharpe Ratios of ^GSPC and ONEQ, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.10
1.89
^GSPC
ONEQ

Drawdowns

^GSPC vs. ONEQ - Drawdown Comparison

The maximum ^GSPC drawdown since its inception was -56.78%, roughly equal to the maximum ONEQ drawdown of -55.09%. Use the drawdown chart below to compare losses from any high point for ^GSPC and ONEQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.62%
-2.80%
^GSPC
ONEQ

Volatility

^GSPC vs. ONEQ - Volatility Comparison

The current volatility for S&P 500 (^GSPC) is 3.79%, while Fidelity NASDAQ Composite Index Tracking Stock (ONEQ) has a volatility of 5.06%. This indicates that ^GSPC experiences smaller price fluctuations and is considered to be less risky than ONEQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.79%
5.06%
^GSPC
ONEQ
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