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ASGN vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ASGN and SPY is 0.43, 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.


Performance

ASGN vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ASGN Incorporated (ASGN) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

ASGN:

-1.16

SPY:

0.66

Sortino Ratio

ASGN:

-1.73

SPY:

1.12

Omega Ratio

ASGN:

0.79

SPY:

1.17

Calmar Ratio

ASGN:

-0.67

SPY:

0.75

Martin Ratio

ASGN:

-1.83

SPY:

2.92

Ulcer Index

ASGN:

22.71%

SPY:

4.86%

Daily Std Dev

ASGN:

36.28%

SPY:

20.32%

Max Drawdown

ASGN:

-95.98%

SPY:

-55.19%

Current Drawdown

ASGN:

-55.61%

SPY:

-4.60%

Returns By Period

In the year-to-date period, ASGN achieves a -30.09% return, which is significantly lower than SPY's -0.23% return. Over the past 10 years, ASGN has underperformed SPY with an annualized return of 4.19%, while SPY has yielded a comparatively higher 12.59% annualized return.


ASGN

YTD

-30.09%

1M

-3.11%

6M

-41.62%

1Y

-41.91%

5Y*

2.65%

10Y*

4.19%

SPY

YTD

-0.23%

1M

9.19%

6M

-2.01%

1Y

13.36%

5Y*

17.44%

10Y*

12.59%

*Annualized

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Risk-Adjusted Performance

ASGN vs. SPY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ASGN
The Risk-Adjusted Performance Rank of ASGN is 44
Overall Rank
The Sharpe Ratio Rank of ASGN is 22
Sharpe Ratio Rank
The Sortino Ratio Rank of ASGN is 44
Sortino Ratio Rank
The Omega Ratio Rank of ASGN is 55
Omega Ratio Rank
The Calmar Ratio Rank of ASGN is 88
Calmar Ratio Rank
The Martin Ratio Rank of ASGN is 11
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 7575
Overall Rank
The Sharpe Ratio Rank of SPY is 7070
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 7373
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 7777
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 7878
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 7676
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

ASGN vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ASGN Incorporated (ASGN) and SPDR S&P 500 ETF (SPY). 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.


The current ASGN Sharpe Ratio is -1.16, which is lower than the SPY Sharpe Ratio of 0.66. The chart below compares the historical Sharpe Ratios of ASGN and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

ASGN vs. SPY - Dividend Comparison

ASGN has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.23%.


TTM20242023202220212020201920182017201620152014
ASGN
ASGN Incorporated
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.23%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

ASGN vs. SPY - Drawdown Comparison

The maximum ASGN drawdown since its inception was -95.98%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ASGN and SPY. For additional features, visit the drawdowns tool.


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Volatility

ASGN vs. SPY - Volatility Comparison

ASGN Incorporated (ASGN) has a higher volatility of 15.41% compared to SPDR S&P 500 ETF (SPY) at 6.39%. This indicates that ASGN's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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