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 | -3.69% | 25.45% |
| 1Y Return | -0.38% | 35.64% |
| 3Y Return (Ann) | 6.63% | 8.55% |
| 5Y Return (Ann) | 9.04% | 14.13% |
| 10Y Return (Ann) | 11.52% | 11.39% |
| Sharpe Ratio | 0.01 | 2.90 |
| Sortino Ratio | 0.16 | 3.87 |
| Omega Ratio | 1.02 | 1.54 |
| Calmar Ratio | 0.01 | 4.19 |
| Martin Ratio | 0.03 | 18.72 |
| Ulcer Index | 6.74% | 1.90% |
| Daily Std Dev | 21.23% | 12.27% |
| Max Drawdown | -49.99% | -56.78% |
| Current Drawdown | -24.75% | -0.29% |
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 -3.69% return, which is significantly lower than ^GSPC's 25.45% return. Both investments have delivered pretty close results over the past 10 years, with AZN.L having a 11.52% annualized return and ^GSPC not far behind at 11.39%. 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 9.16% compared to S&P 500 (^GSPC) at 3.86%. 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.