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AMGN vs. ^SP500TR

Last updated Feb 24, 2024

Compare and contrast key facts about Amgen Inc. (AMGN) and S&P 500 Total Return (^SP500TR).

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMGN or ^SP500TR.

Key characteristics


AMGN^SP500TR
YTD Return1.19%6.91%
1Y Return25.79%28.88%
3Y Return (Ann)11.06%11.19%
5Y Return (Ann)12.45%14.68%
10Y Return (Ann)11.88%12.79%
Sharpe Ratio1.232.39
Daily Std Dev21.67%12.37%
Max Drawdown-78.03%-55.25%
Current Drawdown-10.20%0.00%

Correlation

0.46
-1.001.00

The correlation between AMGN and ^SP500TR is 0.46, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

AMGN vs. ^SP500TR - Performance Comparison

In the year-to-date period, AMGN achieves a 1.19% return, which is significantly lower than ^SP500TR's 6.91% return. Over the past 10 years, AMGN has underperformed ^SP500TR with an annualized return of 11.88%, while ^SP500TR has yielded a comparatively higher 12.79% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%SeptemberOctoberNovemberDecember2024February
14.57%
16.40%
AMGN
^SP500TR

Compare stocks, funds, or ETFs


Amgen Inc.

S&P 500 Total Return

AMGN vs. ^SP500TR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Amgen Inc. (AMGN) 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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
AMGN
Amgen Inc.
1.23
^SP500TR
S&P 500 Total Return
2.39

AMGN vs. ^SP500TR - Sharpe Ratio Comparison

The current AMGN Sharpe Ratio is 1.23, which is lower than the ^SP500TR Sharpe Ratio of 2.39. The chart below compares the 12-month rolling Sharpe Ratio of AMGN and ^SP500TR.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00SeptemberOctoberNovemberDecember2024February
1.23
2.39
AMGN
^SP500TR

AMGN vs. ^SP500TR - Drawdown Comparison

The maximum AMGN drawdown since its inception was -78.03%, which is greater than ^SP500TR's maximum drawdown of -55.25%. The drawdown chart below compares losses from any high point along the way for AMGN and ^SP500TR


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%SeptemberOctoberNovemberDecember2024February
-10.20%
0
AMGN
^SP500TR

AMGN vs. ^SP500TR - Volatility Comparison

Amgen Inc. (AMGN) has a higher volatility of 8.61% compared to S&P 500 Total Return (^SP500TR) at 3.91%. This indicates that AMGN's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%SeptemberOctoberNovemberDecember2024February
8.61%
3.91%
AMGN
^SP500TR