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COHR vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between COHR and ^GSPC is 0.39, 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.


Performance

COHR vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Coherent, Inc. (COHR) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

COHR:

0.45

^GSPC:

0.52

Sortino Ratio

COHR:

1.17

^GSPC:

0.78

Omega Ratio

COHR:

1.16

^GSPC:

1.11

Calmar Ratio

COHR:

0.65

^GSPC:

0.48

Martin Ratio

COHR:

1.58

^GSPC:

1.81

Ulcer Index

COHR:

22.58%

^GSPC:

4.99%

Daily Std Dev

COHR:

73.39%

^GSPC:

19.70%

Max Drawdown

COHR:

-80.89%

^GSPC:

-56.78%

Current Drawdown

COHR:

-29.96%

^GSPC:

-5.56%

Returns By Period

In the year-to-date period, COHR achieves a -17.18% return, which is significantly lower than ^GSPC's -1.34% return. Over the past 10 years, COHR has outperformed ^GSPC with an annualized return of 15.63%, while ^GSPC has yielded a comparatively lower 10.68% annualized return.


COHR

YTD

-17.18%

1M

32.22%

6M

-25.52%

1Y

32.85%

3Y*

11.06%

5Y*

11.87%

10Y*

15.63%

^GSPC

YTD

-1.34%

1M

7.94%

6M

-2.79%

1Y

10.16%

3Y*

13.76%

5Y*

14.45%

10Y*

10.68%

*Annualized

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Coherent, Inc.

S&P 500

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

COHR vs. ^GSPC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

COHR
The Risk-Adjusted Performance Rank of COHR is 7171
Overall Rank
The Sharpe Ratio Rank of COHR is 7070
Sharpe Ratio Rank
The Sortino Ratio Rank of COHR is 7171
Sortino Ratio Rank
The Omega Ratio Rank of COHR is 7070
Omega Ratio Rank
The Calmar Ratio Rank of COHR is 7777
Calmar Ratio Rank
The Martin Ratio Rank of COHR is 7070
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 5959
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 5454
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 5555
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 5656
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 6464
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

COHR vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Coherent, Inc. (COHR) 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.


The current COHR Sharpe Ratio is 0.45, which is comparable to the ^GSPC Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of COHR and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Drawdowns

COHR vs. ^GSPC - Drawdown Comparison

The maximum COHR drawdown since its inception was -80.89%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for COHR and ^GSPC.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

COHR vs. ^GSPC - Volatility Comparison

Coherent, Inc. (COHR) has a higher volatility of 13.04% compared to S&P 500 (^GSPC) at 4.37%. This indicates that COHR'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.


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