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^NYA vs. WTKWY
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^NYA and WTKWY 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

^NYA vs. WTKWY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NYSE Composite (^NYA) and Wolters Kluwer NV (WTKWY). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.23%
1.94%
^NYA
WTKWY

Key characteristics

Sharpe Ratio

^NYA:

1.20

WTKWY:

1.11

Sortino Ratio

^NYA:

1.70

WTKWY:

1.61

Omega Ratio

^NYA:

1.21

WTKWY:

1.21

Calmar Ratio

^NYA:

1.98

WTKWY:

2.06

Martin Ratio

^NYA:

7.07

WTKWY:

6.37

Ulcer Index

^NYA:

1.82%

WTKWY:

3.11%

Daily Std Dev

^NYA:

10.68%

WTKWY:

17.87%

Max Drawdown

^NYA:

-59.01%

WTKWY:

-55.98%

Current Drawdown

^NYA:

-6.48%

WTKWY:

-4.43%

Returns By Period

In the year-to-date period, ^NYA achieves a 12.49% return, which is significantly lower than WTKWY's 20.14% return. Over the past 10 years, ^NYA has underperformed WTKWY with an annualized return of 5.68%, while WTKWY has yielded a comparatively higher 21.10% annualized return.


^NYA

YTD

12.49%

1M

-3.85%

6M

5.23%

1Y

14.66%

5Y*

6.44%

10Y*

5.68%

WTKWY

YTD

20.14%

1M

3.43%

6M

1.98%

1Y

19.68%

5Y*

20.15%

10Y*

21.10%

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Risk-Adjusted Performance

^NYA vs. WTKWY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NYSE Composite (^NYA) and Wolters Kluwer NV (WTKWY). 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 ^NYA, currently valued at 1.20, compared to the broader market-1.000.001.002.001.201.10
The chart of Sortino ratio for ^NYA, currently valued at 1.70, compared to the broader market-1.000.001.002.003.001.701.60
The chart of Omega ratio for ^NYA, currently valued at 1.21, compared to the broader market0.800.901.001.101.201.301.401.211.21
The chart of Calmar ratio for ^NYA, currently valued at 1.98, compared to the broader market0.001.002.003.004.001.982.05
The chart of Martin ratio for ^NYA, currently valued at 7.07, compared to the broader market0.005.0010.0015.007.076.31
^NYA
WTKWY

The current ^NYA Sharpe Ratio is 1.20, which is comparable to the WTKWY Sharpe Ratio of 1.11. The chart below compares the historical Sharpe Ratios of ^NYA and WTKWY, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.20
1.10
^NYA
WTKWY

Drawdowns

^NYA vs. WTKWY - Drawdown Comparison

The maximum ^NYA drawdown since its inception was -59.01%, which is greater than WTKWY's maximum drawdown of -55.98%. Use the drawdown chart below to compare losses from any high point for ^NYA and WTKWY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.48%
-4.43%
^NYA
WTKWY

Volatility

^NYA vs. WTKWY - Volatility Comparison

The current volatility for NYSE Composite (^NYA) is 3.38%, while Wolters Kluwer NV (WTKWY) has a volatility of 4.56%. This indicates that ^NYA experiences smaller price fluctuations and is considered to be less risky than WTKWY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.38%
4.56%
^NYA
WTKWY
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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.

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