A vs. ^SP500TR
Compare and contrast key facts about Agilent Technologies, Inc. (A) and S&P 500 Total Return (^SP500TR).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: A or ^SP500TR.
Performance
A vs. ^SP500TR - Performance Comparison
Returns By Period
In the year-to-date period, A achieves a -8.25% return, which is significantly lower than ^SP500TR's 25.07% return. Both investments have delivered pretty close results over the past 10 years, with A having a 12.61% annualized return and ^SP500TR not far ahead at 13.14%.
A
-8.25%
-8.58%
-17.64%
12.93%
10.89%
12.61%
^SP500TR
25.07%
0.60%
11.76%
32.40%
15.52%
13.14%
Key characteristics
| A | ^SP500TR | |
|---|---|---|
| Sharpe Ratio | 0.44 | 2.66 |
| Sortino Ratio | 0.80 | 3.55 |
| Omega Ratio | 1.10 | 1.49 |
| Calmar Ratio | 0.33 | 3.86 |
| Martin Ratio | 1.32 | 17.38 |
| Ulcer Index | 9.01% | 1.87% |
| Daily Std Dev | 27.30% | 12.27% |
| Max Drawdown | -93.18% | -55.25% |
| Current Drawdown | -27.67% | -1.74% |
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Correlation
The correlation between A and ^SP500TR is 0.65, 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.
Risk-Adjusted Performance
A vs. ^SP500TR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Agilent Technologies, Inc. (A) and S&P 500 Total Return (^SP500TR). 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.
Drawdowns
A vs. ^SP500TR - Drawdown Comparison
The maximum A drawdown since its inception was -93.18%, which is greater than ^SP500TR's maximum drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for A and ^SP500TR. For additional features, visit the drawdowns tool.
Volatility
A vs. ^SP500TR - Volatility Comparison
Agilent Technologies, Inc. (A) has a higher volatility of 8.46% compared to S&P 500 Total Return (^SP500TR) at 4.05%. This indicates that A's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.