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 4.46%/yr vs 13.40%/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 2.26% return, which is significantly lower than ^GSPC's 12.06% return. Over the past 10 years, ABCA.PA has underperformed ^GSPC with an annualized return of 4.46%, while ^GSPC has yielded a comparatively higher 13.40% annualized return.
ABCA.PA
- 1D
- 1.88%
- 1M
- 3.44%
- YTD
- 2.26%
- 6M
- 2.07%
- 1Y
- -9.56%
- 3Y*
- 2.32%
- 5Y*
- 1.47%
- 10Y*
- 4.46%
^GSPC
- 1D
- 0.27%
- 1M
- 5.17%
- YTD
- 12.06%
- 6M
- 10.90%
- 1Y
- 24.89%
- 3Y*
- 17.85%
- 5Y*
- 13.43%
- 10Y*
- 13.40%
ABCA.PA vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ABCA.PA ABC arbitrage SA | 2.26% | 19.60% | 6.72% | -19.95% | -4.30% | 6.70% | 13.63% | 17.74% | 2.70% | -9.27% |
^GSPC S&P 500 Index | 12.06% | 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 0.03, 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 | 0.03 |
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 | 0.09 |
Correlation (All Time) Calculated using the full available price history since Aug 28, 2007 | 0.11 |
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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.
| ABCA.PA | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.55 | ||
| Sortino ratioReturn per unit of downside risk | -3.21 | ||
| Omega ratioGain probability vs. loss probability | 0.92 | 1.37 | -0.46 |
| Calmar ratioReturn relative to maximum drawdown | -0.46 | 3.30 | -3.76 |
| Martin ratioReturn relative to average drawdown | -0.84 | 12.34 | -13.18 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ABCA.PA | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.51 | 2.04 | -2.55 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.08 | 0.80 | -0.73 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.23 | 0.72 | -0.49 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 0.51 | -0.22 |
Drawdowns
ABCA.PA vs. ^GSPC - Drawdown Comparison
The maximum ABCA.PA drawdown since its inception was -89.34%, which is greater than ^GSPC's maximum drawdown of -51.62%. 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 | -89.34% | -51.62% | -37.72% |
Max Drawdown (1Y)Largest decline over 1 year | -20.71% | -7.57% | -13.14% |
Max Drawdown (3Y)Largest decline over 3 years | -39.00% | -23.99% | -15.01% |
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 | -11.37% | -0.20% | -11.17% |
Average DrawdownAverage peak-to-trough decline | -23.26% | -9.08% | -14.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 11.09% | 2.02% | +9.07% |
Volatility
ABCA.PA vs. ^GSPC - Volatility Comparison
ABC arbitrage SA (ABCA.PA) has a higher volatility of 4.50% compared to S&P 500 Index (^GSPC) at 2.24%. 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 | 4.50% | 2.24% | +2.26% |
Volatility (6M)Calculated over the trailing 6-month period | 15.50% | 8.62% | +6.88% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.44% | 12.29% | +6.15% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.85% | 16.79% | +2.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.81% | 18.59% | +0.22% |
Frequently Asked Questions
ABCA.PA and ^GSPC have a correlation of 0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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