PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
AAAFX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between AAAFX and ^GSPC is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

AAAFX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in American Century One Choice Blend+ 2015 Portfolio (AAAFX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-0.20%
8.53%
AAAFX
^GSPC

Key characteristics

Sharpe Ratio

AAAFX:

0.60

^GSPC:

2.10

Sortino Ratio

AAAFX:

0.79

^GSPC:

2.80

Omega Ratio

AAAFX:

1.12

^GSPC:

1.39

Calmar Ratio

AAAFX:

0.65

^GSPC:

3.09

Martin Ratio

AAAFX:

3.75

^GSPC:

13.49

Ulcer Index

AAAFX:

1.04%

^GSPC:

1.94%

Daily Std Dev

AAAFX:

6.48%

^GSPC:

12.52%

Max Drawdown

AAAFX:

-18.48%

^GSPC:

-56.78%

Current Drawdown

AAAFX:

-5.96%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, AAAFX achieves a 3.06% return, which is significantly lower than ^GSPC's 24.34% return.


AAAFX

YTD

3.06%

1M

-4.12%

6M

-0.20%

1Y

3.49%

5Y*

N/A

10Y*

N/A

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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

AAAFX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for American Century One Choice Blend+ 2015 Portfolio (AAAFX) and S&P 500 (^GSPC). 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 AAAFX, currently valued at 0.60, compared to the broader market-1.000.001.002.003.004.000.602.10
The chart of Sortino ratio for AAAFX, currently valued at 0.79, compared to the broader market-2.000.002.004.006.008.0010.000.792.80
The chart of Omega ratio for AAAFX, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.003.501.121.39
The chart of Calmar ratio for AAAFX, currently valued at 0.65, compared to the broader market0.002.004.006.008.0010.0012.0014.000.653.09
The chart of Martin ratio for AAAFX, currently valued at 3.75, compared to the broader market0.0020.0040.0060.003.7513.49
AAAFX
^GSPC

The current AAAFX Sharpe Ratio is 0.60, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of AAAFX and ^GSPC, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.60
2.10
AAAFX
^GSPC

Drawdowns

AAAFX vs. ^GSPC - Drawdown Comparison

The maximum AAAFX drawdown since its inception was -18.48%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for AAAFX and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.96%
-2.62%
AAAFX
^GSPC

Volatility

AAAFX vs. ^GSPC - Volatility Comparison

American Century One Choice Blend+ 2015 Portfolio (AAAFX) and S&P 500 (^GSPC) have volatilities of 3.76% and 3.79%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.76%
3.79%
AAAFX
^GSPC
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab