CALX vs. ^GSPC
Compare and contrast key facts about Calix, Inc. (CALX) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CALX or ^GSPC.
Key characteristics
| CALX | ^GSPC | |
|---|---|---|
| YTD Return | -13.62% | 22.29% |
| 1Y Return | 14.50% | 39.98% |
| 3Y Return (Ann) | -15.57% | 8.23% |
| 5Y Return (Ann) | 37.74% | 13.99% |
| 10Y Return (Ann) | 13.35% | 11.23% |
| Sharpe Ratio | 0.36 | 3.43 |
| Sortino Ratio | 0.72 | 4.52 |
| Omega Ratio | 1.12 | 1.64 |
| Calmar Ratio | 0.24 | 3.17 |
| Martin Ratio | 0.78 | 22.22 |
| Ulcer Index | 19.70% | 1.88% |
| Daily Std Dev | 43.30% | 12.14% |
| Max Drawdown | -80.95% | -56.78% |
| Current Drawdown | -52.81% | -0.54% |
Correlation
The correlation between CALX and ^GSPC is 0.45, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
CALX vs. ^GSPC - Performance Comparison
In the year-to-date period, CALX achieves a -13.62% return, which is significantly lower than ^GSPC's 22.29% return. Over the past 10 years, CALX has outperformed ^GSPC with an annualized return of 13.35%, while ^GSPC has yielded a comparatively lower 11.23% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Risk-Adjusted Performance
CALX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Calix, Inc. (CALX) 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
CALX vs. ^GSPC - Drawdown Comparison
The maximum CALX drawdown since its inception was -80.95%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for CALX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
CALX vs. ^GSPC - Volatility Comparison
Calix, Inc. (CALX) has a higher volatility of 9.95% compared to S&P 500 (^GSPC) at 2.71%. This indicates that CALX'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.