ABBN.SW vs. ^GSPC
Compare and contrast key facts about ABB Ltd (ABBN.SW) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ABBN.SW or ^GSPC.
Key characteristics
| ABBN.SW | ^GSPC | |
|---|---|---|
| YTD Return | 34.50% | 22.49% |
| 1Y Return | 53.61% | 33.60% |
| 3Y Return (Ann) | 19.81% | 9.35% |
| 5Y Return (Ann) | 25.88% | 14.41% |
| 10Y Return (Ann) | 14.03% | 11.99% |
| Sharpe Ratio | 2.37 | 2.69 |
| Sortino Ratio | 2.77 | 3.59 |
| Omega Ratio | 1.44 | 1.49 |
| Calmar Ratio | 3.19 | 2.37 |
| Martin Ratio | 11.09 | 16.43 |
| Ulcer Index | 4.82% | 2.04% |
| Daily Std Dev | 22.51% | 12.50% |
| Max Drawdown | -97.01% | -56.78% |
| Current Drawdown | -5.19% | -0.30% |
Correlation
The correlation between ABBN.SW and ^GSPC is 0.30, 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
ABBN.SW vs. ^GSPC - Performance Comparison
In the year-to-date period, ABBN.SW achieves a 34.50% return, which is significantly higher than ^GSPC's 22.49% return. Over the past 10 years, ABBN.SW has outperformed ^GSPC with an annualized return of 14.03%, while ^GSPC has yielded a comparatively lower 11.99% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
ABBN.SW vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ABB Ltd (ABBN.SW) 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.
Drawdowns
ABBN.SW vs. ^GSPC - Drawdown Comparison
The maximum ABBN.SW drawdown since its inception was -97.01%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ABBN.SW and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
ABBN.SW vs. ^GSPC - Volatility Comparison
ABB Ltd (ABBN.SW) has a higher volatility of 5.23% compared to S&P 500 (^GSPC) at 3.03%. This indicates that ABBN.SW's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.