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

Correlation

The correlation between AIZ and ^GSPC is 0.54, 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

AIZ vs. ^GSPC - Performance Comparison

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

400.00%600.00%800.00%1,000.00%1,200.00%JulyAugustSeptemberOctoberNovemberDecember
1,140.82%
425.51%
AIZ
^GSPC

Key characteristics

Sharpe Ratio

AIZ:

1.64

^GSPC:

2.10

Sortino Ratio

AIZ:

2.38

^GSPC:

2.80

Omega Ratio

AIZ:

1.30

^GSPC:

1.39

Calmar Ratio

AIZ:

2.25

^GSPC:

3.09

Martin Ratio

AIZ:

5.62

^GSPC:

13.49

Ulcer Index

AIZ:

5.59%

^GSPC:

1.94%

Daily Std Dev

AIZ:

19.14%

^GSPC:

12.52%

Max Drawdown

AIZ:

-81.62%

^GSPC:

-56.78%

Current Drawdown

AIZ:

-6.84%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, AIZ achieves a 27.97% return, which is significantly higher than ^GSPC's 24.34% return. Over the past 10 years, AIZ has outperformed ^GSPC with an annualized return of 14.18%, while ^GSPC has yielded a comparatively lower 11.06% annualized return.


AIZ

YTD

27.97%

1M

-3.54%

6M

26.71%

1Y

30.54%

5Y*

12.16%

10Y*

14.18%

^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

AIZ vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Assurant, Inc. (AIZ) 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 AIZ, currently valued at 1.64, compared to the broader market-4.00-2.000.002.001.642.10
The chart of Sortino ratio for AIZ, currently valued at 2.38, compared to the broader market-4.00-2.000.002.004.002.382.80
The chart of Omega ratio for AIZ, currently valued at 1.30, compared to the broader market0.501.001.502.001.301.39
The chart of Calmar ratio for AIZ, currently valued at 2.25, compared to the broader market0.002.004.006.002.253.09
The chart of Martin ratio for AIZ, currently valued at 5.62, compared to the broader market-5.000.005.0010.0015.0020.0025.005.6213.49
AIZ
^GSPC

The current AIZ Sharpe Ratio is 1.64, which is comparable to the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of AIZ 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.64
2.10
AIZ
^GSPC

Drawdowns

AIZ vs. ^GSPC - Drawdown Comparison

The maximum AIZ drawdown since its inception was -81.62%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for AIZ and ^GSPC. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.84%
-2.62%
AIZ
^GSPC

Volatility

AIZ vs. ^GSPC - Volatility Comparison

Assurant, Inc. (AIZ) has a higher volatility of 5.40% compared to S&P 500 (^GSPC) at 3.79%. This indicates that AIZ'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
5.40%
3.79%
AIZ
^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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