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^SP500TR vs. TMO
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SP500TR and TMO is 0.51, 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

^SP500TR vs. TMO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 Total Return (^SP500TR) and Thermo Fisher Scientific Inc. (TMO). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember2025
3.78%
0.42%
^SP500TR
TMO

Key characteristics

Sharpe Ratio

^SP500TR:

1.88

TMO:

0.12

Sortino Ratio

^SP500TR:

2.51

TMO:

0.31

Omega Ratio

^SP500TR:

1.35

TMO:

1.04

Calmar Ratio

^SP500TR:

2.83

TMO:

0.09

Martin Ratio

^SP500TR:

11.87

TMO:

0.29

Ulcer Index

^SP500TR:

2.02%

TMO:

7.86%

Daily Std Dev

^SP500TR:

12.77%

TMO:

19.88%

Max Drawdown

^SP500TR:

-55.25%

TMO:

-71.16%

Current Drawdown

^SP500TR:

-3.94%

TMO:

-15.89%

Returns By Period

In the year-to-date period, ^SP500TR achieves a -0.62% return, which is significantly lower than TMO's 7.07% return. Over the past 10 years, ^SP500TR has underperformed TMO with an annualized return of 13.28%, while TMO has yielded a comparatively higher 16.49% annualized return.


^SP500TR

YTD

-0.62%

1M

-3.35%

6M

3.78%

1Y

23.82%

5Y*

13.83%

10Y*

13.28%

TMO

YTD

7.07%

1M

5.71%

6M

0.42%

1Y

2.61%

5Y*

10.90%

10Y*

16.49%

*Annualized

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

^SP500TR vs. TMO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^SP500TR
The Risk-Adjusted Performance Rank of ^SP500TR is 9595
Overall Rank
The Sharpe Ratio Rank of ^SP500TR is 9595
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SP500TR is 9393
Sortino Ratio Rank
The Omega Ratio Rank of ^SP500TR is 9494
Omega Ratio Rank
The Calmar Ratio Rank of ^SP500TR is 9696
Calmar Ratio Rank
The Martin Ratio Rank of ^SP500TR is 9797
Martin Ratio Rank

TMO
The Risk-Adjusted Performance Rank of TMO is 4949
Overall Rank
The Sharpe Ratio Rank of TMO is 5353
Sharpe Ratio Rank
The Sortino Ratio Rank of TMO is 4444
Sortino Ratio Rank
The Omega Ratio Rank of TMO is 4343
Omega Ratio Rank
The Calmar Ratio Rank of TMO is 5454
Calmar Ratio Rank
The Martin Ratio Rank of TMO is 5252
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^SP500TR vs. TMO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Total Return (^SP500TR) and Thermo Fisher Scientific Inc. (TMO). 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 ^SP500TR, currently valued at 1.88, compared to the broader market0.001.002.001.880.12
The chart of Sortino ratio for ^SP500TR, currently valued at 2.51, compared to the broader market-1.000.001.002.003.002.510.31
The chart of Omega ratio for ^SP500TR, currently valued at 1.35, compared to the broader market0.901.001.101.201.301.401.501.351.04
The chart of Calmar ratio for ^SP500TR, currently valued at 2.83, compared to the broader market0.001.002.003.002.830.09
The chart of Martin ratio for ^SP500TR, currently valued at 11.87, compared to the broader market0.005.0010.0015.0020.0011.870.29
^SP500TR
TMO

The current ^SP500TR Sharpe Ratio is 1.88, which is higher than the TMO Sharpe Ratio of 0.12. The chart below compares the historical Sharpe Ratios of ^SP500TR and TMO, 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 Ratio0.001.002.003.004.00AugustSeptemberOctoberNovemberDecember2025
1.88
0.12
^SP500TR
TMO

Drawdowns

^SP500TR vs. TMO - Drawdown Comparison

The maximum ^SP500TR drawdown since its inception was -55.25%, smaller than the maximum TMO drawdown of -71.16%. Use the drawdown chart below to compare losses from any high point for ^SP500TR and TMO. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-3.94%
-15.89%
^SP500TR
TMO

Volatility

^SP500TR vs. TMO - Volatility Comparison

The current volatility for S&P 500 Total Return (^SP500TR) is 4.57%, while Thermo Fisher Scientific Inc. (TMO) has a volatility of 5.27%. This indicates that ^SP500TR experiences smaller price fluctuations and is considered to be less risky than TMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%AugustSeptemberOctoberNovemberDecember2025
4.57%
5.27%
^SP500TR
TMO
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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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