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ACA vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ACA and SPY is 0.53, 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.


-0.50.00.51.00.5

Performance

ACA vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Arcosa, Inc. (ACA) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%250.00%300.00%350.00%400.00%450.00%JulyAugustSeptemberOctoberNovemberDecember
384.38%
143.23%
ACA
SPY

Key characteristics

Sharpe Ratio

ACA:

0.71

SPY:

2.21

Sortino Ratio

ACA:

1.13

SPY:

2.93

Omega Ratio

ACA:

1.15

SPY:

1.41

Calmar Ratio

ACA:

1.28

SPY:

3.26

Martin Ratio

ACA:

4.14

SPY:

14.43

Ulcer Index

ACA:

5.55%

SPY:

1.90%

Daily Std Dev

ACA:

32.19%

SPY:

12.41%

Max Drawdown

ACA:

-36.79%

SPY:

-55.19%

Current Drawdown

ACA:

-10.95%

SPY:

-2.74%

Returns By Period

In the year-to-date period, ACA achieves a 20.50% return, which is significantly lower than SPY's 25.54% return.


ACA

YTD

20.50%

1M

-6.12%

6M

18.62%

1Y

20.85%

5Y*

17.49%

10Y*

N/A

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

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Risk-Adjusted Performance

ACA vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Arcosa, Inc. (ACA) and SPDR S&P 500 ETF (SPY). 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 ACA, currently valued at 0.71, compared to the broader market-4.00-2.000.002.000.712.21
The chart of Sortino ratio for ACA, currently valued at 1.13, compared to the broader market-4.00-2.000.002.004.001.132.93
The chart of Omega ratio for ACA, currently valued at 1.15, compared to the broader market0.501.001.502.001.151.41
The chart of Calmar ratio for ACA, currently valued at 1.28, compared to the broader market0.002.004.006.001.283.26
The chart of Martin ratio for ACA, currently valued at 4.14, compared to the broader market-5.000.005.0010.0015.0020.0025.004.1414.43
ACA
SPY

The current ACA Sharpe Ratio is 0.71, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of ACA and SPY, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.71
2.21
ACA
SPY

Dividends

ACA vs. SPY - Dividend Comparison

ACA's dividend yield for the trailing twelve months is around 0.20%, less than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
ACA
Arcosa, Inc.
0.20%0.24%0.37%0.38%0.36%0.45%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

ACA vs. SPY - Drawdown Comparison

The maximum ACA drawdown since its inception was -36.79%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ACA and SPY. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.95%
-2.74%
ACA
SPY

Volatility

ACA vs. SPY - Volatility Comparison

Arcosa, Inc. (ACA) has a higher volatility of 8.16% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that ACA's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
8.16%
3.72%
ACA
SPY
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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.

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