PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ARGFX vs. ^SP400
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ARGFX and ^SP400 is 0.86, 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.


-0.50.00.51.00.9

Performance

ARGFX vs. ^SP400 - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Ariel Fund (ARGFX) and S&P 400 (^SP400). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
7.18%
8.43%
ARGFX
^SP400

Key characteristics

Sharpe Ratio

ARGFX:

0.32

^SP400:

0.84

Sortino Ratio

ARGFX:

0.55

^SP400:

1.25

Omega Ratio

ARGFX:

1.07

^SP400:

1.15

Calmar Ratio

ARGFX:

0.22

^SP400:

1.58

Martin Ratio

ARGFX:

1.48

^SP400:

4.26

Ulcer Index

ARGFX:

4.23%

^SP400:

3.12%

Daily Std Dev

ARGFX:

19.52%

^SP400:

15.88%

Max Drawdown

ARGFX:

-73.49%

^SP400:

-56.32%

Current Drawdown

ARGFX:

-20.24%

^SP400:

-6.85%

Returns By Period

In the year-to-date period, ARGFX achieves a 6.21% return, which is significantly lower than ^SP400's 13.53% return. Over the past 10 years, ARGFX has underperformed ^SP400 with an annualized return of 0.50%, while ^SP400 has yielded a comparatively higher 7.98% annualized return.


ARGFX

YTD

6.21%

1M

-11.75%

6M

6.99%

1Y

6.29%

5Y*

2.43%

10Y*

0.50%

^SP400

YTD

13.53%

1M

-5.50%

6M

8.10%

1Y

13.29%

5Y*

8.86%

10Y*

7.98%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

ARGFX vs. ^SP400 - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Ariel Fund (ARGFX) and S&P 400 (^SP400). 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 ARGFX, currently valued at 0.32, compared to the broader market-1.000.001.002.003.004.000.320.84
The chart of Sortino ratio for ARGFX, currently valued at 0.55, compared to the broader market-2.000.002.004.006.008.0010.000.551.25
The chart of Omega ratio for ARGFX, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.003.501.071.15
The chart of Calmar ratio for ARGFX, currently valued at 0.22, compared to the broader market0.002.004.006.008.0010.0012.0014.000.221.58
The chart of Martin ratio for ARGFX, currently valued at 1.48, compared to the broader market0.0020.0040.0060.001.484.26
ARGFX
^SP400

The current ARGFX Sharpe Ratio is 0.32, which is lower than the ^SP400 Sharpe Ratio of 0.84. The chart below compares the historical Sharpe Ratios of ARGFX and ^SP400, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.32
0.84
ARGFX
^SP400

Drawdowns

ARGFX vs. ^SP400 - Drawdown Comparison

The maximum ARGFX drawdown since its inception was -73.49%, which is greater than ^SP400's maximum drawdown of -56.32%. Use the drawdown chart below to compare losses from any high point for ARGFX and ^SP400. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-20.24%
-6.85%
ARGFX
^SP400

Volatility

ARGFX vs. ^SP400 - Volatility Comparison

Ariel Fund (ARGFX) has a higher volatility of 9.89% compared to S&P 400 (^SP400) at 4.73%. This indicates that ARGFX's price experiences larger fluctuations and is considered to be riskier than ^SP400 based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
9.89%
4.73%
ARGFX
^SP400
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab