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 0.86%/yr vs 13.66%/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 -33.16% return, which is significantly lower than ^GSPC's 10.35% return. Over the past 10 years, ALSMY has underperformed ^GSPC with an annualized return of 0.86%, while ^GSPC has yielded a comparatively higher 13.66% annualized return.
ALSMY
- 1D
- -0.77%
- 1M
- 1.30%
- YTD
- -33.16%
- 6M
- -21.89%
- 1Y
- -10.37%
- 3Y*
- -9.80%
- 5Y*
- -17.55%
- 10Y*
- 0.86%
^GSPC
- 1D
- -0.74%
- 1M
- 4.90%
- YTD
- 10.35%
- 6M
- 10.28%
- 1Y
- 26.52%
- 3Y*
- 20.83%
- 5Y*
- 12.30%
- 10Y*
- 13.66%
ALSMY vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ALSMY Alstom PK | -33.16% | 34.10% | 77.98% | -45.29% | -31.06% | -38.24% | 32.55% | 34.38% | -0.45% | 53.65% |
^GSPC S&P 500 Index | 10.35% | 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 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.39 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.31 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.37 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.33 |
Correlation (All Time) Calculated using the full available price history since Sep 10, 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.
| ALSMY | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.49 | ||
| Sortino ratioReturn per unit of downside risk | -3.14 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 1.41 | -0.41 |
| Calmar ratioReturn relative to maximum drawdown | -0.22 | 2.93 | -3.15 |
| Martin ratioReturn relative to average drawdown | -0.56 | 13.52 | -14.08 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ALSMY | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.25 | 2.24 | -2.49 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.37 | 0.73 | -1.10 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.02 | 0.76 | -0.74 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.15 | 0.47 | -0.62 |
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 | -46.62% | -9.10% | -37.52% |
Max Drawdown (3Y)Largest decline over 3 years | -62.55% | -18.90% | -43.65% |
Max Drawdown (5Y)Largest decline over 5 years | -79.08% | -25.43% | -53.65% |
Max Drawdown (10Y)Largest decline over 10 years | -80.51% | -33.92% | -46.59% |
Current DrawdownCurrent decline from peak | -64.51% | -0.74% | -63.77% |
Average DrawdownAverage peak-to-trough decline | -47.18% | -10.72% | -36.46% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 18.57% | 1.97% | +16.60% |
Volatility
ALSMY vs. ^GSPC - Volatility Comparison
Alstom PK (ALSMY) has a higher volatility of 8.89% compared to S&P 500 Index (^GSPC) at 2.93%. This indicates that ALSMY'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.
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Volatility by Period
| ALSMY | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.89% | 2.93% | +5.96% |
Volatility (6M)Calculated over the trailing 6-month period | 35.51% | 8.99% | +26.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 42.01% | 11.89% | +30.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 47.76% | 16.90% | +30.86% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 40.13% | 18.06% | +22.07% |
Frequently Asked Questions
ALSMY and ^GSPC have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ALSMY has higher volatility (8.89%) compared to ^GSPC (2.93%). In terms of maximum drawdown, ALSMY dropped -80.51% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (2.24 vs -0.25), 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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