PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ASO vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ASO and SPY is 0.44, 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.


-0.50.00.51.00.4

Performance

ASO vs. SPY - Performance Comparison

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

50.00%100.00%150.00%200.00%250.00%300.00%350.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
337.54%
87.66%
ASO
SPY

Key characteristics

Sharpe Ratio

ASO:

-0.28

SPY:

2.21

Sortino Ratio

ASO:

-0.17

SPY:

2.93

Omega Ratio

ASO:

0.98

SPY:

1.41

Calmar Ratio

ASO:

-0.25

SPY:

3.26

Martin Ratio

ASO:

-0.42

SPY:

14.43

Ulcer Index

ASO:

23.81%

SPY:

1.90%

Daily Std Dev

ASO:

35.39%

SPY:

12.41%

Max Drawdown

ASO:

-44.82%

SPY:

-55.19%

Current Drawdown

ASO:

-25.42%

SPY:

-2.74%

Returns By Period

In the year-to-date period, ASO achieves a -15.07% return, which is significantly lower than SPY's 25.54% return.


ASO

YTD

-15.07%

1M

23.18%

6M

1.10%

1Y

-11.93%

5Y*

N/A

10Y*

N/A

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

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

ASO vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Academy Sports and Outdoors, Inc. (ASO) 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.


Sharpe ratio
The chart of Sharpe ratio for ASO, currently valued at -0.28, compared to the broader market-4.00-2.000.002.00-0.282.21
The chart of Sortino ratio for ASO, currently valued at -0.17, compared to the broader market-4.00-2.000.002.004.00-0.172.93
The chart of Omega ratio for ASO, currently valued at 0.98, compared to the broader market0.501.001.502.000.981.41
The chart of Calmar ratio for ASO, currently valued at -0.25, compared to the broader market0.002.004.006.00-0.253.26
The chart of Martin ratio for ASO, currently valued at -0.42, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.4214.43
ASO
SPY

The current ASO Sharpe Ratio is -0.28, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of ASO 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.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.28
2.21
ASO
SPY

Dividends

ASO vs. SPY - Dividend Comparison

ASO's dividend yield for the trailing twelve months is around 0.79%, less than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
ASO
Academy Sports and Outdoors, Inc.
0.79%0.55%0.57%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

ASO vs. SPY - Drawdown Comparison

The maximum ASO drawdown since its inception was -44.82%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ASO and SPY. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-25.42%
-2.74%
ASO
SPY

Volatility

ASO vs. SPY - Volatility Comparison

Academy Sports and Outdoors, Inc. (ASO) has a higher volatility of 9.70% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that ASO'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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
9.70%
3.72%
ASO
SPY
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