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ALA.TO vs. ^TNX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ALA.TO and ^TNX is 0.10, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.1

Performance

ALA.TO vs. ^TNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AltaGas Ltd. (ALA.TO) and Treasury Yield 10 Years (^TNX). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
4.91%
5.64%
ALA.TO
^TNX

Key characteristics

Sharpe Ratio

ALA.TO:

1.56

^TNX:

0.61

Sortino Ratio

ALA.TO:

2.04

^TNX:

1.06

Omega Ratio

ALA.TO:

1.28

^TNX:

1.12

Calmar Ratio

ALA.TO:

1.80

^TNX:

0.25

Martin Ratio

ALA.TO:

7.84

^TNX:

1.33

Ulcer Index

ALA.TO:

3.03%

^TNX:

10.31%

Daily Std Dev

ALA.TO:

15.23%

^TNX:

22.23%

Max Drawdown

ALA.TO:

-74.98%

^TNX:

-93.78%

Current Drawdown

ALA.TO:

-8.41%

^TNX:

-43.99%

Returns By Period

In the year-to-date period, ALA.TO achieves a 20.95% return, which is significantly higher than ^TNX's 16.24% return. Over the past 10 years, ALA.TO has underperformed ^TNX with an annualized return of 3.19%, while ^TNX has yielded a comparatively higher 7.62% annualized return.


ALA.TO

YTD

20.95%

1M

-5.55%

6M

10.33%

1Y

24.21%

5Y*

15.61%

10Y*

3.19%

^TNX

YTD

16.24%

1M

2.63%

6M

5.64%

1Y

15.91%

5Y*

18.66%

10Y*

7.62%

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Risk-Adjusted Performance

ALA.TO vs. ^TNX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AltaGas Ltd. (ALA.TO) and Treasury Yield 10 Years (^TNX). 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 ALA.TO, currently valued at 0.73, compared to the broader market-4.00-2.000.002.000.730.85
The chart of Sortino ratio for ALA.TO, currently valued at 1.05, compared to the broader market-4.00-2.000.002.004.001.051.39
The chart of Omega ratio for ALA.TO, currently valued at 1.14, compared to the broader market0.501.001.502.001.141.15
The chart of Calmar ratio for ALA.TO, currently valued at 0.40, compared to the broader market0.002.004.006.000.400.40
The chart of Martin ratio for ALA.TO, currently valued at 3.14, compared to the broader market0.0010.0020.003.141.80
ALA.TO
^TNX

The current ALA.TO Sharpe Ratio is 1.56, which is higher than the ^TNX Sharpe Ratio of 0.61. The chart below compares the historical Sharpe Ratios of ALA.TO and ^TNX, 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.73
0.85
ALA.TO
^TNX

Drawdowns

ALA.TO vs. ^TNX - Drawdown Comparison

The maximum ALA.TO drawdown since its inception was -74.98%, smaller than the maximum ^TNX drawdown of -93.78%. Use the drawdown chart below to compare losses from any high point for ALA.TO and ^TNX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-18.27%
-33.73%
ALA.TO
^TNX

Volatility

ALA.TO vs. ^TNX - Volatility Comparison

AltaGas Ltd. (ALA.TO) has a higher volatility of 6.17% compared to Treasury Yield 10 Years (^TNX) at 5.82%. This indicates that ALA.TO's price experiences larger fluctuations and is considered to be riskier than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
6.17%
5.82%
ALA.TO
^TNX
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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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