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

Performance

CNI vs. UPS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Canadian National Railway Company (CNI) and United Parcel Service, Inc. (UPS). The values are adjusted to include any dividend payments, if applicable.

-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-14.19%
-8.00%
CNI
UPS

Returns By Period

The year-to-date returns for both investments are quite close, with CNI having a -12.00% return and UPS slightly higher at -11.70%. Over the past 10 years, CNI has outperformed UPS with an annualized return of 6.28%, while UPS has yielded a comparatively lower 5.67% annualized return.


CNI

YTD

-12.00%

1M

-4.15%

6M

-13.60%

1Y

-3.66%

5Y (annualized)

5.50%

10Y (annualized)

6.28%

UPS

YTD

-11.70%

1M

-1.30%

6M

-9.02%

1Y

-5.50%

5Y (annualized)

4.94%

10Y (annualized)

5.67%

Fundamentals


CNIUPS
Market Cap$70.29B$111.06B
EPS$6.07$6.62
PE Ratio18.3819.66
PEG Ratio3.381.67
Total Revenue (TTM)$18.64B$90.60B
Gross Profit (TTM)$7.96B$15.88B
EBITDA (TTM)$8.91B$11.81B

Key characteristics


CNIUPS
Sharpe Ratio-0.15-0.22
Sortino Ratio-0.09-0.11
Omega Ratio0.990.98
Calmar Ratio-0.15-0.14
Martin Ratio-0.31-0.46
Ulcer Index8.70%12.34%
Daily Std Dev17.99%26.19%
Max Drawdown-46.86%-51.69%
Current Drawdown-17.18%-35.75%

Compare stocks, funds, or ETFs

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


Correlation

-0.50.00.51.00.5

The correlation between CNI and UPS is 0.46, 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

CNI vs. UPS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Canadian National Railway Company (CNI) and United Parcel Service, Inc. (UPS). 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 CNI, currently valued at -0.15, compared to the broader market-4.00-2.000.002.004.00-0.15-0.22
The chart of Sortino ratio for CNI, currently valued at -0.09, compared to the broader market-4.00-2.000.002.004.00-0.09-0.11
The chart of Omega ratio for CNI, currently valued at 0.99, compared to the broader market0.501.001.502.000.990.98
The chart of Calmar ratio for CNI, currently valued at -0.15, compared to the broader market0.002.004.006.00-0.15-0.14
The chart of Martin ratio for CNI, currently valued at -0.31, compared to the broader market0.0010.0020.0030.00-0.31-0.46
CNI
UPS

The current CNI Sharpe Ratio is -0.15, which is higher than the UPS Sharpe Ratio of -0.22. The chart below compares the historical Sharpe Ratios of CNI and UPS, 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-1.00-0.500.000.501.00JuneJulyAugustSeptemberOctoberNovember
-0.15
-0.22
CNI
UPS

Dividends

CNI vs. UPS - Dividend Comparison

CNI's dividend yield for the trailing twelve months is around 2.25%, less than UPS's 3.65% yield.


TTM20232022202120202019201820172016201520142013
CNI
Canadian National Railway Company
2.25%1.85%2.34%2.00%1.71%1.94%1.88%1.55%1.70%1.73%1.31%1.44%
UPS
United Parcel Service, Inc.
3.65%4.12%3.50%1.90%2.40%3.28%3.73%2.79%2.72%3.03%2.41%2.36%

Drawdowns

CNI vs. UPS - Drawdown Comparison

The maximum CNI drawdown since its inception was -46.86%, smaller than the maximum UPS drawdown of -51.69%. Use the drawdown chart below to compare losses from any high point for CNI and UPS. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-17.18%
-35.75%
CNI
UPS

Volatility

CNI vs. UPS - Volatility Comparison

The current volatility for Canadian National Railway Company (CNI) is 5.12%, while United Parcel Service, Inc. (UPS) has a volatility of 7.62%. This indicates that CNI experiences smaller price fluctuations and is considered to be less risky than UPS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
5.12%
7.62%
CNI
UPS

Financials

CNI vs. UPS - Financials Comparison

This section allows you to compare key financial metrics between Canadian National Railway Company and United Parcel Service, Inc.. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.


Quarterly
Annual

Total Revenue: Total amount of money received from sales and other business activities


Values in USD except per share items