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^SP600 vs. GNE
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SP600 and GNE is 0.27, 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.


Performance

^SP600 vs. GNE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 600 (^SP600) and Genie Energy Ltd. (GNE). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^SP600:

-0.06

GNE:

0.71

Sortino Ratio

^SP600:

0.09

GNE:

1.16

Omega Ratio

^SP600:

1.01

GNE:

1.14

Calmar Ratio

^SP600:

-0.05

GNE:

0.38

Martin Ratio

^SP600:

-0.13

GNE:

1.87

Ulcer Index

^SP600:

10.03%

GNE:

11.06%

Daily Std Dev

^SP600:

24.09%

GNE:

29.24%

Max Drawdown

^SP600:

-59.17%

GNE:

-75.12%

Current Drawdown

^SP600:

-14.39%

GNE:

-38.66%

Returns By Period

In the year-to-date period, ^SP600 achieves a -6.09% return, which is significantly lower than GNE's 18.26% return. Over the past 10 years, ^SP600 has underperformed GNE with an annualized return of 6.26%, while GNE has yielded a comparatively higher 7.72% annualized return.


^SP600

YTD

-6.09%

1M

13.75%

6M

-9.61%

1Y

-1.37%

5Y*

13.20%

10Y*

6.26%

GNE

YTD

18.26%

1M

21.54%

6M

16.77%

1Y

20.49%

5Y*

20.34%

10Y*

7.72%

*Annualized

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Risk-Adjusted Performance

^SP600 vs. GNE — Risk-Adjusted Performance Rank

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

^SP600
The Risk-Adjusted Performance Rank of ^SP600 is 2222
Overall Rank
The Sharpe Ratio Rank of ^SP600 is 2323
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SP600 is 2222
Sortino Ratio Rank
The Omega Ratio Rank of ^SP600 is 2222
Omega Ratio Rank
The Calmar Ratio Rank of ^SP600 is 2121
Calmar Ratio Rank
The Martin Ratio Rank of ^SP600 is 2222
Martin Ratio Rank

GNE
The Risk-Adjusted Performance Rank of GNE is 7070
Overall Rank
The Sharpe Ratio Rank of GNE is 7777
Sharpe Ratio Rank
The Sortino Ratio Rank of GNE is 7070
Sortino Ratio Rank
The Omega Ratio Rank of GNE is 6666
Omega Ratio Rank
The Calmar Ratio Rank of GNE is 6969
Calmar Ratio Rank
The Martin Ratio Rank of GNE is 7171
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.

^SP600 vs. GNE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 600 (^SP600) and Genie Energy Ltd. (GNE). 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.


The current ^SP600 Sharpe Ratio is -0.06, which is lower than the GNE Sharpe Ratio of 0.71. The chart below compares the historical Sharpe Ratios of ^SP600 and GNE, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

^SP600 vs. GNE - Drawdown Comparison

The maximum ^SP600 drawdown since its inception was -59.17%, smaller than the maximum GNE drawdown of -75.12%. Use the drawdown chart below to compare losses from any high point for ^SP600 and GNE. For additional features, visit the drawdowns tool.


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Volatility

^SP600 vs. GNE - Volatility Comparison

The current volatility for S&P 600 (^SP600) is 6.11%, while Genie Energy Ltd. (GNE) has a volatility of 7.62%. This indicates that ^SP600 experiences smaller price fluctuations and is considered to be less risky than GNE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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