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ALGM vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ALGM and SPY is 0.62, 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.


-0.50.00.51.00.6

Performance

ALGM vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Allegro MicroSystems, Inc. (ALGM) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%80.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
19.83%
95.21%
ALGM
SPY

Key characteristics

Sharpe Ratio

ALGM:

-0.39

SPY:

2.92

Sortino Ratio

ALGM:

-0.26

SPY:

3.86

Omega Ratio

ALGM:

0.97

SPY:

1.54

Calmar Ratio

ALGM:

-0.30

SPY:

4.22

Martin Ratio

ALGM:

-0.87

SPY:

18.99

Ulcer Index

ALGM:

22.29%

SPY:

1.87%

Daily Std Dev

ALGM:

50.32%

SPY:

12.13%

Max Drawdown

ALGM:

-63.83%

SPY:

-55.19%

Current Drawdown

ALGM:

-59.77%

SPY:

0.00%

Returns By Period

In the year-to-date period, ALGM achieves a -29.93% return, which is significantly lower than SPY's 29.08% return.


ALGM

YTD

-29.93%

1M

-3.63%

6M

-27.83%

1Y

-21.12%

5Y (annualized)

N/A

10Y (annualized)

N/A

SPY

YTD

29.08%

1M

2.84%

6M

14.54%

1Y

34.44%

5Y (annualized)

15.86%

10Y (annualized)

13.41%

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Risk-Adjusted Performance

ALGM vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Allegro MicroSystems, Inc. (ALGM) and SPDR S&P 500 ETF (SPY). 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 ALGM, currently valued at -0.39, compared to the broader market-4.00-2.000.002.004.00-0.392.92
The chart of Sortino ratio for ALGM, currently valued at -0.26, compared to the broader market-4.00-2.000.002.004.00-0.263.86
The chart of Omega ratio for ALGM, currently valued at 0.97, compared to the broader market0.501.001.502.000.971.54
The chart of Calmar ratio for ALGM, currently valued at -0.30, compared to the broader market0.002.004.006.00-0.304.22
The chart of Martin ratio for ALGM, currently valued at -0.87, compared to the broader market0.0010.0020.0030.00-0.8718.99
ALGM
SPY

The current ALGM Sharpe Ratio is -0.39, which is lower than the SPY Sharpe Ratio of 2.92. The chart below compares the historical Sharpe Ratios of ALGM and SPY, 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-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.39
2.92
ALGM
SPY

Dividends

ALGM vs. SPY - Dividend Comparison

ALGM has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.15%.


TTM20232022202120202019201820172016201520142013
ALGM
Allegro MicroSystems, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.15%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

ALGM vs. SPY - Drawdown Comparison

The maximum ALGM drawdown since its inception was -63.83%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ALGM and SPY. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-59.77%
0
ALGM
SPY

Volatility

ALGM vs. SPY - Volatility Comparison

Allegro MicroSystems, Inc. (ALGM) has a higher volatility of 12.41% compared to SPDR S&P 500 ETF (SPY) at 2.20%. This indicates that ALGM's price experiences larger fluctuations and is considered to be riskier than SPY 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
12.41%
2.20%
ALGM
SPY
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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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