PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ABHYX vs. ^SP500TR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ABHYX and ^SP500TR is -0.08. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.1

Performance

ABHYX vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in American Century High-Yield Municipal Fund (ABHYX) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
1.28%
9.25%
ABHYX
^SP500TR

Key characteristics

Sharpe Ratio

ABHYX:

1.22

^SP500TR:

2.23

Sortino Ratio

ABHYX:

1.66

^SP500TR:

2.97

Omega Ratio

ABHYX:

1.27

^SP500TR:

1.42

Calmar Ratio

ABHYX:

0.51

^SP500TR:

3.31

Martin Ratio

ABHYX:

5.74

^SP500TR:

14.64

Ulcer Index

ABHYX:

0.87%

^SP500TR:

1.91%

Daily Std Dev

ABHYX:

4.09%

^SP500TR:

12.52%

Max Drawdown

ABHYX:

-26.33%

^SP500TR:

-55.25%

Current Drawdown

ABHYX:

-4.83%

^SP500TR:

-2.57%

Returns By Period

In the year-to-date period, ABHYX achieves a 4.76% return, which is significantly lower than ^SP500TR's 26.03% return. Over the past 10 years, ABHYX has underperformed ^SP500TR with an annualized return of 3.09%, while ^SP500TR has yielded a comparatively higher 13.10% annualized return.


ABHYX

YTD

4.76%

1M

-1.34%

6M

1.28%

1Y

5.00%

5Y*

1.15%

10Y*

3.09%

^SP500TR

YTD

26.03%

1M

0.36%

6M

9.25%

1Y

26.67%

5Y*

14.81%

10Y*

13.10%

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

ABHYX vs. ^SP500TR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for American Century High-Yield Municipal Fund (ABHYX) and S&P 500 Total Return (^SP500TR). 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 ABHYX, currently valued at 1.22, compared to the broader market-1.000.001.002.003.004.001.222.14
The chart of Sortino ratio for ABHYX, currently valued at 1.66, compared to the broader market-2.000.002.004.006.008.0010.001.662.85
The chart of Omega ratio for ABHYX, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.003.501.271.40
The chart of Calmar ratio for ABHYX, currently valued at 0.51, compared to the broader market0.002.004.006.008.0010.0012.0014.000.513.16
The chart of Martin ratio for ABHYX, currently valued at 5.74, compared to the broader market0.0020.0040.0060.005.7413.95
ABHYX
^SP500TR

The current ABHYX Sharpe Ratio is 1.22, which is lower than the ^SP500TR Sharpe Ratio of 2.23. The chart below compares the historical Sharpe Ratios of ABHYX and ^SP500TR, 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 Ratio1.001.502.002.503.003.504.004.50JulyAugustSeptemberOctoberNovemberDecember
1.22
2.14
ABHYX
^SP500TR

Drawdowns

ABHYX vs. ^SP500TR - Drawdown Comparison

The maximum ABHYX drawdown since its inception was -26.33%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for ABHYX and ^SP500TR. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.83%
-2.57%
ABHYX
^SP500TR

Volatility

ABHYX vs. ^SP500TR - Volatility Comparison

The current volatility for American Century High-Yield Municipal Fund (ABHYX) is 1.43%, while S&P 500 Total Return (^SP500TR) has a volatility of 3.79%. This indicates that ABHYX experiences smaller price fluctuations and is considered to be less risky than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
1.43%
3.79%
ABHYX
^SP500TR
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