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BORR vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between BORR and SPY is 0.26, 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

BORR vs. SPY - Performance Comparison

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

-50.00%0.00%50.00%100.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
-64.75%
141.07%
BORR
SPY

Key characteristics

Sharpe Ratio

BORR:

-0.96

SPY:

2.21

Sortino Ratio

BORR:

-1.36

SPY:

2.93

Omega Ratio

BORR:

0.84

SPY:

1.41

Calmar Ratio

BORR:

-0.58

SPY:

3.26

Martin Ratio

BORR:

-1.95

SPY:

14.43

Ulcer Index

BORR:

24.37%

SPY:

1.90%

Daily Std Dev

BORR:

49.66%

SPY:

12.41%

Max Drawdown

BORR:

-97.44%

SPY:

-55.19%

Current Drawdown

BORR:

-80.70%

SPY:

-2.74%

Returns By Period

In the year-to-date period, BORR achieves a -48.76% return, which is significantly lower than SPY's 25.54% return.


BORR

YTD

-48.76%

1M

-6.74%

6M

-41.16%

1Y

-48.05%

5Y*

-25.84%

10Y*

N/A

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

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Risk-Adjusted Performance

BORR vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Borr Drilling Ltd (BORR) 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 BORR, currently valued at -0.96, compared to the broader market-4.00-2.000.002.00-0.962.21
The chart of Sortino ratio for BORR, currently valued at -1.36, compared to the broader market-4.00-2.000.002.004.00-1.362.93
The chart of Omega ratio for BORR, currently valued at 0.84, compared to the broader market0.501.001.502.000.841.41
The chart of Calmar ratio for BORR, currently valued at -0.58, compared to the broader market0.002.004.006.00-0.583.26
The chart of Martin ratio for BORR, currently valued at -1.95, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.9514.43
BORR
SPY

The current BORR Sharpe Ratio is -0.96, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of BORR 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 Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.96
2.21
BORR
SPY

Dividends

BORR vs. SPY - Dividend Comparison

BORR's dividend yield for the trailing twelve months is around 8.33%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
BORR
Borr Drilling Ltd
8.33%0.00%0.00%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

BORR vs. SPY - Drawdown Comparison

The maximum BORR drawdown since its inception was -97.44%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BORR and SPY. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-80.70%
-2.74%
BORR
SPY

Volatility

BORR vs. SPY - Volatility Comparison

Borr Drilling Ltd (BORR) has a higher volatility of 15.57% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that BORR'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.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
15.57%
3.72%
BORR
SPY
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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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