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ABBNY vs. ^SSMI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


ABBNY^SSMI
YTD Return31.60%5.93%
1Y Return61.64%10.83%
3Y Return (Ann)22.86%-1.56%
5Y Return (Ann)26.32%2.73%
10Y Return (Ann)14.29%2.87%
Sharpe Ratio3.221.02
Sortino Ratio3.891.43
Omega Ratio1.541.18
Calmar Ratio5.450.61
Martin Ratio19.185.18
Ulcer Index3.52%2.19%
Daily Std Dev20.97%11.14%
Max Drawdown-93.98%-56.31%
Current Drawdown-3.95%-9.04%

Correlation

-0.50.00.51.00.5

The correlation between ABBNY and ^SSMI is 0.52, 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.

Performance

ABBNY vs. ^SSMI - Performance Comparison

In the year-to-date period, ABBNY achieves a 31.60% return, which is significantly higher than ^SSMI's 5.93% return. Over the past 10 years, ABBNY has outperformed ^SSMI with an annualized return of 14.29%, while ^SSMI has yielded a comparatively lower 2.87% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


200.00%300.00%400.00%500.00%600.00%700.00%JuneJulyAugustSeptemberOctoberNovember
698.01%
227.70%
ABBNY
^SSMI

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Risk-Adjusted Performance

ABBNY vs. ^SSMI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ABB Ltd (ABBNY) and Swiss Market Index (^SSMI). 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.


ABBNY
Sharpe ratio
The chart of Sharpe ratio for ABBNY, currently valued at 2.62, compared to the broader market-4.00-2.000.002.004.002.62
Sortino ratio
The chart of Sortino ratio for ABBNY, currently valued at 3.25, compared to the broader market-4.00-2.000.002.004.006.003.25
Omega ratio
The chart of Omega ratio for ABBNY, currently valued at 1.45, compared to the broader market0.501.001.502.001.45
Calmar ratio
The chart of Calmar ratio for ABBNY, currently valued at 4.56, compared to the broader market0.002.004.006.004.56
Martin ratio
The chart of Martin ratio for ABBNY, currently valued at 15.04, compared to the broader market0.0010.0020.0030.0015.04
^SSMI
Sharpe ratio
The chart of Sharpe ratio for ^SSMI, currently valued at 0.92, compared to the broader market-4.00-2.000.002.004.000.92
Sortino ratio
The chart of Sortino ratio for ^SSMI, currently valued at 1.34, compared to the broader market-4.00-2.000.002.004.006.001.34
Omega ratio
The chart of Omega ratio for ^SSMI, currently valued at 1.16, compared to the broader market0.501.001.502.001.16
Calmar ratio
The chart of Calmar ratio for ^SSMI, currently valued at 0.78, compared to the broader market0.002.004.006.000.78
Martin ratio
The chart of Martin ratio for ^SSMI, currently valued at 3.34, compared to the broader market0.0010.0020.0030.003.34

ABBNY vs. ^SSMI - Sharpe Ratio Comparison

The current ABBNY Sharpe Ratio is 3.22, which is higher than the ^SSMI Sharpe Ratio of 1.02. The chart below compares the historical Sharpe Ratios of ABBNY and ^SSMI, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.62
0.92
ABBNY
^SSMI

Drawdowns

ABBNY vs. ^SSMI - Drawdown Comparison

The maximum ABBNY drawdown since its inception was -93.98%, which is greater than ^SSMI's maximum drawdown of -56.31%. Use the drawdown chart below to compare losses from any high point for ABBNY and ^SSMI. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.95%
-8.13%
ABBNY
^SSMI

Volatility

ABBNY vs. ^SSMI - Volatility Comparison

ABB Ltd (ABBNY) has a higher volatility of 6.15% compared to Swiss Market Index (^SSMI) at 3.64%. This indicates that ABBNY's price experiences larger fluctuations and is considered to be riskier than ^SSMI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
6.15%
3.64%
ABBNY
^SSMI