PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
2FE.DE vs. MAGS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


2FE.DEMAGS
YTD Return38.00%55.19%
1Y Return34.12%68.18%
Sharpe Ratio1.312.66
Sortino Ratio1.953.31
Omega Ratio1.251.45
Calmar Ratio2.663.67
Martin Ratio6.2311.92
Ulcer Index4.94%5.57%
Daily Std Dev23.36%24.98%
Max Drawdown-45.91%-18.10%
Current Drawdown-6.85%0.00%

Correlation

-0.50.00.51.00.3

The correlation between 2FE.DE and MAGS is 0.28, 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

2FE.DE vs. MAGS - Performance Comparison

In the year-to-date period, 2FE.DE achieves a 38.00% return, which is significantly lower than MAGS's 55.19% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%25.00%30.00%35.00%JuneJulyAugustSeptemberOctoberNovember
12.10%
30.43%
2FE.DE
MAGS

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

2FE.DE vs. MAGS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Ferrari NV (2FE.DE) and Roundhill Magnificent Seven ETF (MAGS). 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.


2FE.DE
Sharpe ratio
The chart of Sharpe ratio for 2FE.DE, currently valued at 1.08, compared to the broader market-4.00-2.000.002.004.001.08
Sortino ratio
The chart of Sortino ratio for 2FE.DE, currently valued at 1.68, compared to the broader market-4.00-2.000.002.004.006.001.68
Omega ratio
The chart of Omega ratio for 2FE.DE, currently valued at 1.21, compared to the broader market0.501.001.502.001.21
Calmar ratio
The chart of Calmar ratio for 2FE.DE, currently valued at 2.26, compared to the broader market0.002.004.006.002.26
Martin ratio
The chart of Martin ratio for 2FE.DE, currently valued at 5.42, compared to the broader market0.0010.0020.0030.005.42
MAGS
Sharpe ratio
The chart of Sharpe ratio for MAGS, currently valued at 2.45, compared to the broader market-4.00-2.000.002.004.002.45
Sortino ratio
The chart of Sortino ratio for MAGS, currently valued at 3.10, compared to the broader market-4.00-2.000.002.004.006.003.10
Omega ratio
The chart of Omega ratio for MAGS, currently valued at 1.42, compared to the broader market0.501.001.502.001.42
Calmar ratio
The chart of Calmar ratio for MAGS, currently valued at 3.35, compared to the broader market0.002.004.006.003.35
Martin ratio
The chart of Martin ratio for MAGS, currently valued at 10.82, compared to the broader market0.0010.0020.0030.0010.82

2FE.DE vs. MAGS - Sharpe Ratio Comparison

The current 2FE.DE Sharpe Ratio is 1.31, which is lower than the MAGS Sharpe Ratio of 2.66. The chart below compares the historical Sharpe Ratios of 2FE.DE and MAGS, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.08
2.45
2FE.DE
MAGS

Dividends

2FE.DE vs. MAGS - Dividend Comparison

2FE.DE's dividend yield for the trailing twelve months is around 0.58%, more than MAGS's 0.28% yield.


TTM20232022202120202019201820172016
2FE.DE
Ferrari NV
0.58%0.59%0.67%0.38%0.59%0.69%0.82%0.72%0.82%
MAGS
Roundhill Magnificent Seven ETF
0.28%0.44%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

2FE.DE vs. MAGS - Drawdown Comparison

The maximum 2FE.DE drawdown since its inception was -45.91%, which is greater than MAGS's maximum drawdown of -18.10%. Use the drawdown chart below to compare losses from any high point for 2FE.DE and MAGS. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.91%
0
2FE.DE
MAGS

Volatility

2FE.DE vs. MAGS - Volatility Comparison

Ferrari NV (2FE.DE) has a higher volatility of 9.17% compared to Roundhill Magnificent Seven ETF (MAGS) at 7.83%. This indicates that 2FE.DE's price experiences larger fluctuations and is considered to be riskier than MAGS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
9.17%
7.83%
2FE.DE
MAGS