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

Correlation

The correlation between ACA and ^GSPC 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. ^GSPC - Performance Comparison

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

100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
391.30%
118.90%
ACA
^GSPC

Key characteristics

Sharpe Ratio

ACA:

0.81

^GSPC:

1.90

Sortino Ratio

ACA:

1.24

^GSPC:

2.54

Omega Ratio

ACA:

1.17

^GSPC:

1.35

Calmar Ratio

ACA:

1.45

^GSPC:

2.81

Martin Ratio

ACA:

4.77

^GSPC:

12.39

Ulcer Index

ACA:

5.46%

^GSPC:

1.93%

Daily Std Dev

ACA:

32.16%

^GSPC:

12.58%

Max Drawdown

ACA:

-36.79%

^GSPC:

-56.78%

Current Drawdown

ACA:

-9.68%

^GSPC:

-3.58%

Returns By Period

The year-to-date returns for both investments are quite close, with ACA having a 22.23% return and ^GSPC slightly higher at 23.11%.


ACA

YTD

22.23%

1M

-2.78%

6M

19.37%

1Y

24.59%

5Y*

17.85%

10Y*

N/A

^GSPC

YTD

23.11%

1M

-0.36%

6M

7.02%

1Y

23.15%

5Y*

12.80%

10Y*

11.01%

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

ACA vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Arcosa, Inc. (ACA) and S&P 500 (^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.


Sharpe ratio
The chart of Sharpe ratio for ACA, currently valued at 0.81, compared to the broader market-4.00-2.000.002.000.811.90
The chart of Sortino ratio for ACA, currently valued at 1.24, compared to the broader market-4.00-2.000.002.004.001.242.54
The chart of Omega ratio for ACA, currently valued at 1.17, compared to the broader market0.501.001.502.001.171.35
The chart of Calmar ratio for ACA, currently valued at 1.45, compared to the broader market0.002.004.006.001.452.81
The chart of Martin ratio for ACA, currently valued at 4.77, compared to the broader market0.0010.0020.004.7712.39
ACA
^GSPC

The current ACA Sharpe Ratio is 0.81, which is lower than the ^GSPC Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of ACA and ^GSPC, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.81
1.90
ACA
^GSPC

Drawdowns

ACA vs. ^GSPC - Drawdown Comparison

The maximum ACA drawdown since its inception was -36.79%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ACA and ^GSPC. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.68%
-3.58%
ACA
^GSPC

Volatility

ACA vs. ^GSPC - Volatility Comparison

Arcosa, Inc. (ACA) has a higher volatility of 8.21% compared to S&P 500 (^GSPC) at 3.64%. This indicates that ACA'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.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
8.21%
3.64%
ACA
^GSPC
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