ADP vs. ^GSPC
Compare and contrast key facts about Automatic Data Processing, Inc. (ADP) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ADP or ^GSPC.
Performance
ADP vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, ADP achieves a 32.92% return, which is significantly higher than ^GSPC's 24.72% return. Over the past 10 years, ADP has outperformed ^GSPC with an annualized return of 16.18%, while ^GSPC has yielded a comparatively lower 11.16% annualized return.
ADP
32.92%
4.54%
22.42%
34.77%
14.87%
16.18%
^GSPC
24.72%
1.67%
12.93%
30.55%
13.88%
11.16%
Key characteristics
| ADP | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 2.32 | 2.54 |
| Sortino Ratio | 3.21 | 3.40 |
| Omega Ratio | 1.42 | 1.47 |
| Calmar Ratio | 2.61 | 3.66 |
| Martin Ratio | 12.79 | 16.26 |
| Ulcer Index | 2.72% | 1.91% |
| Daily Std Dev | 14.99% | 12.23% |
| Max Drawdown | -59.47% | -56.78% |
| Current Drawdown | -1.08% | -0.88% |
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Correlation
The correlation between ADP and ^GSPC is 0.60, 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.
Risk-Adjusted Performance
ADP vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Automatic Data Processing, Inc. (ADP) 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.
Drawdowns
ADP vs. ^GSPC - Drawdown Comparison
The maximum ADP drawdown since its inception was -59.47%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ADP and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
ADP vs. ^GSPC - Volatility Comparison
Automatic Data Processing, Inc. (ADP) has a higher volatility of 6.21% compared to S&P 500 (^GSPC) at 3.96%. This indicates that ADP'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.