ABCA.PA vs. ^GSPC
ABCA.PA (ABC arbitrage SA) is a stock, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, ABCA.PA returned 3.88%/yr vs 12.65%/yr for ^GSPC. At a 0.11 correlation, their price movements are largely independent.
Performance
ABCA.PA vs. ^GSPC - Performance Comparison
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Different Trading Currencies
ABCA.PA is traded in EUR, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to EUR using the latest available exchange rates.
Returns By Period
In the year-to-date period, ABCA.PA achieves a -3.04% return, which is significantly lower than ^GSPC's 11.89% return. Over the past 10 years, ABCA.PA has underperformed ^GSPC with an annualized return of 3.88%, while ^GSPC has yielded a comparatively higher 12.65% annualized return.
ABCA.PA
- 1D
- 0.00%
- 1M
- -3.03%
- 6M
- -2.13%
- YTD
- -3.04%
- 1Y
- -13.99%
- 3Y*
- 1.74%
- 5Y*
- -0.11%
- 10Y*
- 3.88%
- ALL TIME*
- 8.79%
^GSPC
- 1D
- 0.01%
- 1M
- -0.35%
- 6M
- 8.98%
- YTD
- 11.89%
- 1Y
- 20.36%
- 3Y*
- 16.94%
- 5Y*
- 12.03%
- 10Y*
- 12.65%
- ALL TIME*
- 10.08%
ABCA.PA vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ABCA.PA ABC arbitrage SA | -3.04% | 19.60% | 6.61% | -19.86% | -4.30% | 5.22% | 13.63% | 17.74% | -0.08% | -9.83% |
^GSPC S&P 500 Index | 11.89% | 2.58% | 31.45% | 20.51% | -14.45% | 36.38% | 6.68% | 31.79% | -1.84% | 4.74% |
Correlation
The correlation between ABCA.PA and ^GSPC is -0.02, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.02 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.04 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.08 |
Correlation (All Time) Calculated using the full available price history since Oct 19, 2007 | 0.11 |
The correlation between ABCA.PA and ^GSPC shifts across timeframes, from -0.02 (1 year) to 0.11 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
ABCA.PA vs. ^GSPC — Risk / Return Rank
ABCA.PA
^GSPC
ABCA.PA vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ABC arbitrage SA (ABCA.PA) and S&P 500 Index (^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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ABCA.PA | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.38 | ||
| Sortino ratioReturn per unit of downside risk | -3.03 | ||
| Omega ratioGain probability vs. loss probability | 0.87 | 1.30 | -0.43 |
| Calmar ratioReturn relative to maximum drawdown | -0.74 | 2.70 | -3.44 |
| Martin ratioReturn relative to average drawdown | -1.35 | 9.96 | -11.31 |
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Drawdowns
ABCA.PA vs. ^GSPC - Drawdown Comparison
The maximum ABCA.PA drawdown since its inception was -47.12%, smaller than the maximum ^GSPC drawdown of -50.14%. Use the drawdown chart below to compare losses from any high point for ABCA.PA and ^GSPC.
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Drawdown Indicators
| ABCA.PA | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -47.12% | -50.14% | +3.02% |
Max Drawdown (1Y)Largest decline over 1 year | -18.72% | -7.57% | -11.15% |
Max Drawdown (3Y)Largest decline over 3 years | -38.96% | -23.99% | -14.97% |
Max Drawdown (5Y)Largest decline over 5 years | -47.12% | -23.99% | -23.13% |
Max Drawdown (10Y)Largest decline over 10 years | -47.12% | -33.42% | -13.70% |
Current DrawdownCurrent decline from peak | -15.96% | -1.73% | -14.23% |
Average DrawdownAverage peak-to-trough decline | -12.33% | -8.49% | -3.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.61% | 2.05% | +7.56% |
Volatility
ABCA.PA vs. ^GSPC - Volatility Comparison
ABC arbitrage SA (ABCA.PA) has a higher volatility of 4.25% compared to S&P 500 Index (^GSPC) at 2.79%. This indicates that ABCA.PA'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.
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Volatility by Period
| ABCA.PA | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.25% | 2.79% | +1.46% |
Volatility (6M)Calculated over the trailing 6-month period | 15.50% | 9.21% | +6.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.33% | 12.64% | +5.69% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.88% | 16.83% | +2.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.77% | 18.61% | +0.16% |
Frequently Asked Questions
ABCA.PA and ^GSPC have a correlation of -0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
Find the right allocation for ABCA.PA and ^GSPC
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