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AFL vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between AFL and ^GSPC is 0.50, 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

AFL vs. ^GSPC - Performance Comparison

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

0.00%20,000.00%40,000.00%60,000.00%80,000.00%100,000.00%JulyAugustSeptemberOctoberNovemberDecember
86,704.73%
3,844.17%
AFL
^GSPC

Key characteristics

Sharpe Ratio

AFL:

1.45

^GSPC:

2.10

Sortino Ratio

AFL:

1.83

^GSPC:

2.80

Omega Ratio

AFL:

1.30

^GSPC:

1.39

Calmar Ratio

AFL:

2.39

^GSPC:

3.09

Martin Ratio

AFL:

7.61

^GSPC:

13.49

Ulcer Index

AFL:

3.94%

^GSPC:

1.94%

Daily Std Dev

AFL:

20.63%

^GSPC:

12.52%

Max Drawdown

AFL:

-82.71%

^GSPC:

-56.78%

Current Drawdown

AFL:

-10.50%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, AFL achieves a 27.16% return, which is significantly higher than ^GSPC's 24.34% return. Over the past 10 years, AFL has outperformed ^GSPC with an annualized return of 15.48%, while ^GSPC has yielded a comparatively lower 11.06% annualized return.


AFL

YTD

27.16%

1M

-6.85%

6M

15.59%

1Y

29.18%

5Y*

16.93%

10Y*

15.48%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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Risk-Adjusted Performance

AFL vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Aflac Incorporated (AFL) 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 AFL, currently valued at 1.45, compared to the broader market-4.00-2.000.002.001.452.10
The chart of Sortino ratio for AFL, currently valued at 1.82, compared to the broader market-4.00-2.000.002.004.001.832.80
The chart of Omega ratio for AFL, currently valued at 1.30, compared to the broader market0.501.001.502.001.301.39
The chart of Calmar ratio for AFL, currently valued at 2.39, compared to the broader market0.002.004.006.002.393.09
The chart of Martin ratio for AFL, currently valued at 7.61, compared to the broader market-5.000.005.0010.0015.0020.0025.007.6113.49
AFL
^GSPC

The current AFL Sharpe Ratio is 1.45, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of AFL 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.45
2.10
AFL
^GSPC

Drawdowns

AFL vs. ^GSPC - Drawdown Comparison

The maximum AFL drawdown since its inception was -82.71%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for AFL and ^GSPC. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.50%
-2.62%
AFL
^GSPC

Volatility

AFL vs. ^GSPC - Volatility Comparison

Aflac Incorporated (AFL) has a higher volatility of 6.48% compared to S&P 500 (^GSPC) at 3.79%. This indicates that AFL'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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
6.48%
3.79%
AFL
^GSPC
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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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