PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
CET vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

CET vs. SPY - Performance Comparison

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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.41%
13.59%
CET
SPY

Returns By Period

In the year-to-date period, CET achieves a 29.62% return, which is significantly higher than SPY's 26.08% return. Both investments have delivered pretty close results over the past 10 years, with CET having a 13.05% annualized return and SPY not far ahead at 13.10%.


CET

YTD

29.62%

1M

4.81%

6M

14.41%

1Y

34.61%

5Y (annualized)

14.66%

10Y (annualized)

13.05%

SPY

YTD

26.08%

1M

1.77%

6M

13.59%

1Y

32.24%

5Y (annualized)

15.62%

10Y (annualized)

13.10%

Key characteristics


CETSPY
Sharpe Ratio3.482.70
Sortino Ratio4.823.60
Omega Ratio1.631.50
Calmar Ratio5.453.90
Martin Ratio24.9717.52
Ulcer Index1.43%1.87%
Daily Std Dev10.23%12.14%
Max Drawdown-56.65%-55.19%
Current Drawdown-0.87%-0.85%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Correlation

-0.50.00.51.00.6

The correlation between CET and SPY is 0.58, 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.

Risk-Adjusted Performance

CET vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Central Securities Corp. (CET) 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 CET, currently valued at 3.48, compared to the broader market-4.00-2.000.002.004.003.482.70
The chart of Sortino ratio for CET, currently valued at 4.82, compared to the broader market-4.00-2.000.002.004.004.823.60
The chart of Omega ratio for CET, currently valued at 1.63, compared to the broader market0.501.001.502.001.631.50
The chart of Calmar ratio for CET, currently valued at 5.45, compared to the broader market0.002.004.006.005.453.90
The chart of Martin ratio for CET, currently valued at 24.97, compared to the broader market0.0010.0020.0030.0024.9717.52
CET
SPY

The current CET Sharpe Ratio is 3.48, which is comparable to the SPY Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of CET 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.48
2.70
CET
SPY

Dividends

CET vs. SPY - Dividend Comparison

CET's dividend yield for the trailing twelve months is around 4.94%, more than SPY's 1.18% yield.


TTM20232022202120202019201820172016201520142013
CET
Central Securities Corp.
4.94%4.90%8.83%8.41%2.60%1.72%5.84%3.65%4.50%1.52%7.97%17.03%
SPY
SPDR S&P 500 ETF
1.18%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

CET vs. SPY - Drawdown Comparison

The maximum CET drawdown since its inception was -56.65%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CET and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.87%
-0.85%
CET
SPY

Volatility

CET vs. SPY - Volatility Comparison

Central Securities Corp. (CET) and SPDR S&P 500 ETF (SPY) have volatilities of 4.16% and 3.98%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.16%
3.98%
CET
SPY