ALO.PA vs. ^GSPC
Compare and contrast key facts about Alstom SA (ALO.PA) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ALO.PA or ^GSPC.
Key characteristics
| ALO.PA | ^GSPC | |
|---|---|---|
| YTD Return | 76.72% | 22.29% |
| 1Y Return | 74.43% | 39.98% |
| 3Y Return (Ann) | -10.18% | 8.23% |
| 5Y Return (Ann) | -8.93% | 13.99% |
| 10Y Return (Ann) | 0.14% | 11.23% |
| Sharpe Ratio | 1.49 | 3.43 |
| Sortino Ratio | 2.04 | 4.52 |
| Omega Ratio | 1.28 | 1.64 |
| Calmar Ratio | 0.66 | 3.17 |
| Martin Ratio | 5.46 | 22.22 |
| Ulcer Index | 11.52% | 1.88% |
| Daily Std Dev | 42.29% | 12.14% |
| Max Drawdown | -98.01% | -56.78% |
| Current Drawdown | -89.78% | -0.54% |
Correlation
The correlation between ALO.PA and ^GSPC is 0.28, 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.
Performance
ALO.PA vs. ^GSPC - Performance Comparison
In the year-to-date period, ALO.PA achieves a 76.72% return, which is significantly higher than ^GSPC's 22.29% return. Over the past 10 years, ALO.PA has underperformed ^GSPC with an annualized return of 0.14%, while ^GSPC has yielded a comparatively higher 11.23% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
ALO.PA vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alstom SA (ALO.PA) 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
ALO.PA vs. ^GSPC - Drawdown Comparison
The maximum ALO.PA drawdown since its inception was -98.01%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ALO.PA and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
ALO.PA vs. ^GSPC - Volatility Comparison
Alstom SA (ALO.PA) has a higher volatility of 8.25% compared to S&P 500 (^GSPC) at 2.71%. This indicates that ALO.PA'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.