ALSMY vs. ^GSPC
ALSMY (Alstom PK) is a stock, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, ALSMY returned 1.25%/yr vs 13.70%/yr for ^GSPC. At a 0.36 correlation, their price movements are largely independent.
Performance
ALSMY vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, ALSMY achieves a -39.52% return, which is significantly lower than ^GSPC's 7.49% return. Over the past 10 years, ALSMY has underperformed ^GSPC with an annualized return of 1.25%, while ^GSPC has yielded a comparatively higher 13.70% annualized return.
ALSMY
- 1D
- -1.68%
- 1M
- -7.85%
- YTD
- -39.52%
- 6M
- -39.31%
- 1Y
- -22.30%
- 3Y*
- -13.06%
- 5Y*
- -17.90%
- 10Y*
- 1.25%
^GSPC
- 1D
- -0.10%
- 1M
- -1.54%
- YTD
- 7.49%
- 6M
- 6.15%
- 1Y
- 20.78%
- 3Y*
- 19.17%
- 5Y*
- 11.44%
- 10Y*
- 13.70%
ALSMY vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ALSMY Alstom PK | -39.52% | 34.10% | 77.98% | -45.29% | -31.06% | -38.24% | 32.55% | 34.38% | -0.45% | 53.65% |
^GSPC S&P 500 Index | 7.49% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between ALSMY and ^GSPC is 0.38, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.38 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.31 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.38 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.33 |
Correlation (All Time) Calculated using the full available price history since Sep 9, 2009 | 0.36 |
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Return for Risk
ALSMY vs. ^GSPC — Risk / Return Rank
ALSMY
^GSPC
ALSMY vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Alstom PK (ALSMY) and S&P 500 Index (^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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ALSMY | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.22 | ||
| Sortino ratioReturn per unit of downside risk | -2.82 | ||
| Omega ratioGain probability vs. loss probability | 0.93 | 1.30 | -0.38 |
| Calmar ratioReturn relative to maximum drawdown | -0.45 | 2.29 | -2.74 |
| Martin ratioReturn relative to average drawdown | -1.03 | 10.15 | -11.18 |
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Drawdowns
ALSMY vs. ^GSPC - Drawdown Comparison
The maximum ALSMY drawdown since its inception was -80.51%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ALSMY and ^GSPC.
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Drawdown Indicators
| ALSMY | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -80.51% | -56.78% | -23.73% |
Max Drawdown (1Y)Largest decline over 1 year | -49.76% | -9.10% | -40.66% |
Max Drawdown (3Y)Largest decline over 3 years | -62.55% | -18.90% | -43.65% |
Max Drawdown (5Y)Largest decline over 5 years | -77.41% | -25.43% | -51.98% |
Max Drawdown (10Y)Largest decline over 10 years | -80.51% | -33.92% | -46.59% |
Current DrawdownCurrent decline from peak | -67.89% | -3.31% | -64.58% |
Average DrawdownAverage peak-to-trough decline | -47.24% | -10.71% | -36.53% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 21.70% | 2.05% | +19.65% |
Volatility
ALSMY vs. ^GSPC - Volatility Comparison
The current volatility for Alstom PK (ALSMY) is 4.60%, while S&P 500 Index (^GSPC) has a volatility of 4.87%. This indicates that ALSMY experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ALSMY | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.60% | 4.87% | -0.27% |
Volatility (6M)Calculated over the trailing 6-month period | 34.66% | 9.90% | +24.76% |
Volatility (1Y)Calculated over the trailing 1-year period | 41.91% | 12.54% | +29.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 47.74% | 17.00% | +30.74% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 39.93% | 18.08% | +21.85% |
Frequently Asked Questions
ALSMY and ^GSPC have a correlation of 0.38, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^GSPC has higher volatility (4.87%) compared to ALSMY (4.60%). In terms of maximum drawdown, ALSMY dropped -80.51% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.67 vs -0.55), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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