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AMDWX vs. ^SP500TR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between AMDWX and ^SP500TR is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

AMDWX vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Amana Mutual Funds Trust Developing World Fund (AMDWX) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-1.32%
10.38%
AMDWX
^SP500TR

Key characteristics

Sharpe Ratio

AMDWX:

0.69

^SP500TR:

2.21

Sortino Ratio

AMDWX:

1.04

^SP500TR:

2.93

Omega Ratio

AMDWX:

1.13

^SP500TR:

1.41

Calmar Ratio

AMDWX:

0.77

^SP500TR:

3.27

Martin Ratio

AMDWX:

2.57

^SP500TR:

14.42

Ulcer Index

AMDWX:

3.64%

^SP500TR:

1.91%

Daily Std Dev

AMDWX:

13.62%

^SP500TR:

12.53%

Max Drawdown

AMDWX:

-28.89%

^SP500TR:

-55.25%

Current Drawdown

AMDWX:

-8.32%

^SP500TR:

-1.85%

Returns By Period

In the year-to-date period, AMDWX achieves a 7.43% return, which is significantly lower than ^SP500TR's 26.95% return. Over the past 10 years, AMDWX has underperformed ^SP500TR with an annualized return of 2.84%, while ^SP500TR has yielded a comparatively higher 13.15% annualized return.


AMDWX

YTD

7.43%

1M

-1.18%

6M

-1.32%

1Y

8.83%

5Y*

5.63%

10Y*

2.84%

^SP500TR

YTD

26.95%

1M

0.19%

6M

10.38%

1Y

27.39%

5Y*

14.97%

10Y*

13.15%

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Risk-Adjusted Performance

AMDWX vs. ^SP500TR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Amana Mutual Funds Trust Developing World Fund (AMDWX) and S&P 500 Total Return (^SP500TR). 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 AMDWX, currently valued at 0.69, compared to the broader market-1.000.001.002.003.004.000.692.21
The chart of Sortino ratio for AMDWX, currently valued at 1.04, compared to the broader market-2.000.002.004.006.008.0010.001.042.93
The chart of Omega ratio for AMDWX, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.003.501.131.41
The chart of Calmar ratio for AMDWX, currently valued at 0.77, compared to the broader market0.002.004.006.008.0010.0012.0014.000.773.27
The chart of Martin ratio for AMDWX, currently valued at 2.57, compared to the broader market0.0020.0040.0060.002.5714.42
AMDWX
^SP500TR

The current AMDWX Sharpe Ratio is 0.69, which is lower than the ^SP500TR Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of AMDWX and ^SP500TR, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.69
2.21
AMDWX
^SP500TR

Drawdowns

AMDWX vs. ^SP500TR - Drawdown Comparison

The maximum AMDWX drawdown since its inception was -28.89%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for AMDWX and ^SP500TR. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.32%
-1.85%
AMDWX
^SP500TR

Volatility

AMDWX vs. ^SP500TR - Volatility Comparison

The current volatility for Amana Mutual Funds Trust Developing World Fund (AMDWX) is 2.71%, while S&P 500 Total Return (^SP500TR) has a volatility of 3.82%. This indicates that AMDWX experiences smaller price fluctuations and is considered to be less risky than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
2.71%
3.82%
AMDWX
^SP500TR
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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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