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

Correlation

The correlation between AX and ^SP500TR is 0.38, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

AX vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Axos Financial, Inc. (AX) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

500.00%1,000.00%1,500.00%2,000.00%2,500.00%3,000.00%JulyAugustSeptemberOctoberNovemberDecember
2,394.96%
628.92%
AX
^SP500TR

Key characteristics

Sharpe Ratio

AX:

0.84

^SP500TR:

2.23

Sortino Ratio

AX:

1.65

^SP500TR:

2.97

Omega Ratio

AX:

1.18

^SP500TR:

1.42

Calmar Ratio

AX:

1.53

^SP500TR:

3.31

Martin Ratio

AX:

3.08

^SP500TR:

14.64

Ulcer Index

AX:

11.31%

^SP500TR:

1.91%

Daily Std Dev

AX:

41.46%

^SP500TR:

12.52%

Max Drawdown

AX:

-70.49%

^SP500TR:

-55.25%

Current Drawdown

AX:

-17.17%

^SP500TR:

-2.57%

Returns By Period

In the year-to-date period, AX achieves a 31.37% return, which is significantly higher than ^SP500TR's 26.03% return. Over the past 10 years, AX has outperformed ^SP500TR with an annualized return of 13.80%, while ^SP500TR has yielded a comparatively lower 13.10% annualized return.


AX

YTD

31.37%

1M

-10.03%

6M

33.67%

1Y

31.81%

5Y*

18.92%

10Y*

13.80%

^SP500TR

YTD

26.03%

1M

0.36%

6M

9.25%

1Y

26.67%

5Y*

14.81%

10Y*

13.10%

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Risk-Adjusted Performance

AX vs. ^SP500TR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Axos Financial, Inc. (AX) 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 AX, currently valued at 0.84, compared to the broader market-4.00-2.000.002.000.842.23
The chart of Sortino ratio for AX, currently valued at 1.65, compared to the broader market-4.00-2.000.002.004.001.652.97
The chart of Omega ratio for AX, currently valued at 1.18, compared to the broader market0.501.001.502.001.181.42
The chart of Calmar ratio for AX, currently valued at 1.53, compared to the broader market0.002.004.006.001.533.31
The chart of Martin ratio for AX, currently valued at 3.08, compared to the broader market-5.000.005.0010.0015.0020.0025.003.0814.64
AX
^SP500TR

The current AX Sharpe Ratio is 0.84, which is lower than the ^SP500TR Sharpe Ratio of 2.23. The chart below compares the historical Sharpe Ratios of AX 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.84
2.23
AX
^SP500TR

Drawdowns

AX vs. ^SP500TR - Drawdown Comparison

The maximum AX drawdown since its inception was -70.49%, which is greater than ^SP500TR's maximum drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for AX and ^SP500TR. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-17.17%
-2.57%
AX
^SP500TR

Volatility

AX vs. ^SP500TR - Volatility Comparison

Axos Financial, Inc. (AX) has a higher volatility of 10.26% compared to S&P 500 Total Return (^SP500TR) at 3.79%. This indicates that AX'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.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
10.26%
3.79%
AX
^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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