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ALO.PA vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


ALO.PA^GSPC
YTD Return76.72%22.29%
1Y Return74.43%39.98%
3Y Return (Ann)-10.18%8.23%
5Y Return (Ann)-8.93%13.99%
10Y Return (Ann)0.14%11.23%
Sharpe Ratio1.493.43
Sortino Ratio2.044.52
Omega Ratio1.281.64
Calmar Ratio0.663.17
Martin Ratio5.4622.22
Ulcer Index11.52%1.88%
Daily Std Dev42.29%12.14%
Max Drawdown-98.01%-56.78%
Current Drawdown-89.78%-0.54%

Correlation

-0.50.00.51.00.3

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.


0.00%10.00%20.00%30.00%40.00%50.00%MayJuneJulyAugustSeptemberOctober
46.75%
15.83%
ALO.PA
^GSPC

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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.


ALO.PA
Sharpe ratio
The chart of Sharpe ratio for ALO.PA, currently valued at 1.39, compared to the broader market-4.00-2.000.002.004.001.39
Sortino ratio
The chart of Sortino ratio for ALO.PA, currently valued at 1.95, compared to the broader market-4.00-2.000.002.004.006.001.95
Omega ratio
The chart of Omega ratio for ALO.PA, currently valued at 1.27, compared to the broader market0.501.001.502.001.27
Calmar ratio
The chart of Calmar ratio for ALO.PA, currently valued at 0.64, compared to the broader market0.002.004.006.000.64
Martin ratio
The chart of Martin ratio for ALO.PA, currently valued at 5.19, compared to the broader market-10.000.0010.0020.0030.005.19
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.79, compared to the broader market-4.00-2.000.002.004.002.79
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.74, compared to the broader market-4.00-2.000.002.004.006.003.74
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.53, compared to the broader market0.501.001.502.001.53
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.55, compared to the broader market0.002.004.006.003.55
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.71, compared to the broader market-10.000.0010.0020.0030.0017.71

ALO.PA vs. ^GSPC - Sharpe Ratio Comparison

The current ALO.PA Sharpe Ratio is 1.49, which is lower than the ^GSPC Sharpe Ratio of 3.43. The chart below compares the historical Sharpe Ratios of ALO.PA 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 Ratio-1.000.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
1.39
2.79
ALO.PA
^GSPC

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.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%MayJuneJulyAugustSeptemberOctober
-88.50%
-0.54%
ALO.PA
^GSPC

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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%MayJuneJulyAugustSeptemberOctober
8.25%
2.71%
ALO.PA
^GSPC