AZN.L vs. ^GSPC
Compare and contrast key facts about AstraZeneca plc (AZN.L) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AZN.L or ^GSPC.
Key characteristics
AZN.L | ^GSPC | |
---|---|---|
YTD Return | 15.92% | 22.49% |
1Y Return | 9.03% | 33.60% |
3Y Return (Ann) | 13.45% | 9.35% |
5Y Return (Ann) | 14.92% | 14.41% |
10Y Return (Ann) | 14.81% | 11.99% |
Sharpe Ratio | 0.78 | 2.69 |
Sortino Ratio | 1.19 | 3.59 |
Omega Ratio | 1.15 | 1.49 |
Calmar Ratio | 0.71 | 2.37 |
Martin Ratio | 3.28 | 16.43 |
Ulcer Index | 4.81% | 2.04% |
Daily Std Dev | 21.19% | 12.50% |
Max Drawdown | -49.99% | -56.78% |
Current Drawdown | -9.43% | -0.30% |
Correlation
The correlation between AZN.L and ^GSPC is 0.24, 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.
Performance
AZN.L vs. ^GSPC - Performance Comparison
In the year-to-date period, AZN.L achieves a 15.92% return, which is significantly lower than ^GSPC's 22.49% return. Over the past 10 years, AZN.L has outperformed ^GSPC with an annualized return of 14.81%, while ^GSPC has yielded a comparatively lower 11.99% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
AZN.L vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AstraZeneca plc (AZN.L) and S&P 500 (^GSPC). 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.
Drawdowns
AZN.L vs. ^GSPC - Drawdown Comparison
The maximum AZN.L drawdown since its inception was -49.99%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for AZN.L and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
AZN.L vs. ^GSPC - Volatility Comparison
AstraZeneca plc (AZN.L) has a higher volatility of 4.63% compared to S&P 500 (^GSPC) at 3.03%. This indicates that AZN.L's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.