COF vs. SPY
Compare and contrast key facts about Capital One Financial Corporation (COF) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: COF or SPY.
Performance
COF vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, COF achieves a 43.53% return, which is significantly higher than SPY's 24.40% return. Over the past 10 years, COF has underperformed SPY with an annualized return of 10.74%, while SPY has yielded a comparatively higher 13.04% annualized return.
COF
43.53%
16.80%
31.56%
74.77%
15.92%
10.74%
SPY
24.40%
0.59%
11.33%
31.86%
15.23%
13.04%
Key characteristics
| COF | SPY | |
|---|---|---|
| Sharpe Ratio | 2.56 | 2.64 |
| Sortino Ratio | 3.74 | 3.53 |
| Omega Ratio | 1.46 | 1.49 |
| Calmar Ratio | 2.04 | 3.81 |
| Martin Ratio | 16.13 | 17.21 |
| Ulcer Index | 4.81% | 1.86% |
| Daily Std Dev | 30.31% | 12.15% |
| Max Drawdown | -90.17% | -55.19% |
| Current Drawdown | -2.74% | -2.17% |
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Correlation
The correlation between COF 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
COF vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Capital One Financial Corporation (COF) 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.
Dividends
COF vs. SPY - Dividend Comparison
COF's dividend yield for the trailing twelve months is around 1.30%, more than SPY's 1.20% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
COF Capital One Financial Corporation | 1.30% | 1.83% | 2.58% | 1.79% | 1.01% | 1.55% | 2.12% | 1.61% | 1.83% | 2.63% | 1.45% | 1.24% |
SPY SPDR S&P 500 ETF | 1.20% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
COF vs. SPY - Drawdown Comparison
The maximum COF drawdown since its inception was -90.17%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for COF and SPY. For additional features, visit the drawdowns tool.
Volatility
COF vs. SPY - Volatility Comparison
Capital One Financial Corporation (COF) has a higher volatility of 16.83% compared to SPDR S&P 500 ETF (SPY) at 4.08%. This indicates that COF'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.