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BESIY vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between BESIY and ^GSPC is 0.29, 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.


-0.50.00.51.00.3

Performance

BESIY vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in BE Semiconductor Industries NV ADR (BESIY) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-30.00%-20.00%-10.00%0.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-13.52%
9.23%
BESIY
^GSPC

Key characteristics

Sharpe Ratio

BESIY:

-0.10

^GSPC:

2.07

Sortino Ratio

BESIY:

0.20

^GSPC:

2.76

Omega Ratio

BESIY:

1.03

^GSPC:

1.39

Calmar Ratio

BESIY:

-0.12

^GSPC:

3.05

Martin Ratio

BESIY:

-0.20

^GSPC:

13.27

Ulcer Index

BESIY:

26.37%

^GSPC:

1.95%

Daily Std Dev

BESIY:

50.46%

^GSPC:

12.52%

Max Drawdown

BESIY:

-64.23%

^GSPC:

-56.78%

Current Drawdown

BESIY:

-26.67%

^GSPC:

-1.91%

Returns By Period

In the year-to-date period, BESIY achieves a -5.36% return, which is significantly lower than ^GSPC's 25.25% return. Over the past 10 years, BESIY has outperformed ^GSPC with an annualized return of 49.68%, while ^GSPC has yielded a comparatively lower 11.11% annualized return.


BESIY

YTD

-5.36%

1M

18.38%

6M

-13.52%

1Y

-6.00%

5Y*

38.06%

10Y*

49.68%

^GSPC

YTD

25.25%

1M

0.08%

6M

9.66%

1Y

25.65%

5Y*

13.17%

10Y*

11.11%

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Risk-Adjusted Performance

BESIY vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BE Semiconductor Industries NV ADR (BESIY) 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.


Sharpe ratio
The chart of Sharpe ratio for BESIY, currently valued at -0.10, compared to the broader market-4.00-2.000.002.00-0.102.07
The chart of Sortino ratio for BESIY, currently valued at 0.20, compared to the broader market-4.00-2.000.002.004.000.202.76
The chart of Omega ratio for BESIY, currently valued at 1.03, compared to the broader market0.501.001.502.001.031.39
The chart of Calmar ratio for BESIY, currently valued at -0.12, compared to the broader market0.002.004.006.00-0.123.05
The chart of Martin ratio for BESIY, currently valued at -0.20, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.2013.27
BESIY
^GSPC

The current BESIY Sharpe Ratio is -0.10, which is lower than the ^GSPC Sharpe Ratio of 2.07. The chart below compares the historical Sharpe Ratios of BESIY and ^GSPC, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.10
2.07
BESIY
^GSPC

Drawdowns

BESIY vs. ^GSPC - Drawdown Comparison

The maximum BESIY drawdown since its inception was -64.23%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for BESIY and ^GSPC. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-26.67%
-1.91%
BESIY
^GSPC

Volatility

BESIY vs. ^GSPC - Volatility Comparison

BE Semiconductor Industries NV ADR (BESIY) has a higher volatility of 9.54% compared to S&P 500 (^GSPC) at 3.82%. This indicates that BESIY'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.


0.00%5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
9.54%
3.82%
BESIY
^GSPC
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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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