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^OEX vs. SPOT
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^OEX and SPOT is 0.48, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

^OEX vs. SPOT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 100 Index (^OEX) and Spotify Technology S.A. (SPOT). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
154.38%
209.29%
^OEX
SPOT

Key characteristics

Sharpe Ratio

^OEX:

2.35

SPOT:

4.01

Sortino Ratio

^OEX:

3.07

SPOT:

4.99

Omega Ratio

^OEX:

1.44

SPOT:

1.64

Calmar Ratio

^OEX:

3.25

SPOT:

2.98

Martin Ratio

^OEX:

14.30

SPOT:

37.59

Ulcer Index

^OEX:

2.24%

SPOT:

3.84%

Daily Std Dev

^OEX:

13.66%

SPOT:

36.00%

Max Drawdown

^OEX:

-61.31%

SPOT:

-80.51%

Current Drawdown

^OEX:

-2.08%

SPOT:

-8.26%

Returns By Period

In the year-to-date period, ^OEX achieves a 30.39% return, which is significantly lower than SPOT's 145.27% return.


^OEX

YTD

30.39%

1M

1.96%

6M

10.34%

1Y

30.81%

5Y*

15.26%

10Y*

12.26%

SPOT

YTD

145.27%

1M

-2.09%

6M

45.05%

1Y

143.09%

5Y*

25.17%

10Y*

N/A

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Risk-Adjusted Performance

^OEX vs. SPOT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 100 Index (^OEX) and Spotify Technology S.A. (SPOT). 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 ^OEX, currently valued at 2.35, compared to the broader market0.001.002.002.354.01
The chart of Sortino ratio for ^OEX, currently valued at 3.07, compared to the broader market-1.000.001.002.003.003.074.99
The chart of Omega ratio for ^OEX, currently valued at 1.44, compared to the broader market0.901.001.101.201.301.401.441.64
The chart of Calmar ratio for ^OEX, currently valued at 3.25, compared to the broader market0.001.002.003.003.252.98
The chart of Martin ratio for ^OEX, currently valued at 14.30, compared to the broader market0.005.0010.0015.0020.0014.3037.59
^OEX
SPOT

The current ^OEX Sharpe Ratio is 2.35, which is lower than the SPOT Sharpe Ratio of 4.01. The chart below compares the historical Sharpe Ratios of ^OEX and SPOT, 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 Ratio1.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
2.35
4.01
^OEX
SPOT

Drawdowns

^OEX vs. SPOT - Drawdown Comparison

The maximum ^OEX drawdown since its inception was -61.31%, smaller than the maximum SPOT drawdown of -80.51%. Use the drawdown chart below to compare losses from any high point for ^OEX and SPOT. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.08%
-8.26%
^OEX
SPOT

Volatility

^OEX vs. SPOT - Volatility Comparison

The current volatility for S&P 100 Index (^OEX) is 3.88%, while Spotify Technology S.A. (SPOT) has a volatility of 8.97%. This indicates that ^OEX experiences smaller price fluctuations and is considered to be less risky than SPOT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
3.88%
8.97%
^OEX
SPOT
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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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