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

Correlation

The correlation between COLL and ^GSPC is 0.29, 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.


-0.50.00.51.00.3

Performance

COLL vs. ^GSPC - Performance Comparison

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

-20.00%-10.00%0.00%10.00%20.00%SeptemberOctoberNovemberDecember2025February
-19.67%
6.72%
COLL
^GSPC

Key characteristics

Sharpe Ratio

COLL:

-0.21

^GSPC:

1.62

Sortino Ratio

COLL:

-0.01

^GSPC:

2.20

Omega Ratio

COLL:

1.00

^GSPC:

1.30

Calmar Ratio

COLL:

-0.29

^GSPC:

2.46

Martin Ratio

COLL:

-0.50

^GSPC:

10.01

Ulcer Index

COLL:

18.29%

^GSPC:

2.08%

Daily Std Dev

COLL:

43.00%

^GSPC:

12.88%

Max Drawdown

COLL:

-73.59%

^GSPC:

-56.78%

Current Drawdown

COLL:

-30.41%

^GSPC:

-2.13%

Returns By Period

In the year-to-date period, COLL achieves a 1.68% return, which is significantly lower than ^GSPC's 2.24% return.


COLL

YTD

1.68%

1M

-10.51%

6M

-19.66%

1Y

-11.22%

5Y*

4.02%

10Y*

N/A

^GSPC

YTD

2.24%

1M

-1.20%

6M

6.72%

1Y

18.21%

5Y*

12.53%

10Y*

11.04%

*Annualized

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

COLL vs. ^GSPC — Risk-Adjusted Performance Rank

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

COLL
The Risk-Adjusted Performance Rank of COLL is 3333
Overall Rank
The Sharpe Ratio Rank of COLL is 3535
Sharpe Ratio Rank
The Sortino Ratio Rank of COLL is 3232
Sortino Ratio Rank
The Omega Ratio Rank of COLL is 3131
Omega Ratio Rank
The Calmar Ratio Rank of COLL is 2929
Calmar Ratio Rank
The Martin Ratio Rank of COLL is 3636
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 8383
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 8181
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 8080
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 8282
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 8787
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 8888
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.

COLL vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Collegium Pharmaceutical, Inc. (COLL) 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.


Sharpe ratio
The chart of Sharpe ratio for COLL, currently valued at -0.21, compared to the broader market-2.000.002.00-0.211.62
The chart of Sortino ratio for COLL, currently valued at -0.01, compared to the broader market-4.00-2.000.002.004.006.00-0.012.20
The chart of Omega ratio for COLL, currently valued at 1.00, compared to the broader market0.501.001.502.001.001.30
The chart of Calmar ratio for COLL, currently valued at -0.29, compared to the broader market0.002.004.006.00-0.292.46
The chart of Martin ratio for COLL, currently valued at -0.50, compared to the broader market-10.000.0010.0020.0030.00-0.5010.01
COLL
^GSPC

The current COLL Sharpe Ratio is -0.21, which is lower than the ^GSPC Sharpe Ratio of 1.62. The chart below compares the historical Sharpe Ratios of COLL 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.


Rolling 12-month Sharpe Ratio0.001.002.003.00SeptemberOctoberNovemberDecember2025February
-0.21
1.62
COLL
^GSPC

Drawdowns

COLL vs. ^GSPC - Drawdown Comparison

The maximum COLL drawdown since its inception was -73.59%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for COLL and ^GSPC. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2025February
-30.41%
-2.13%
COLL
^GSPC

Volatility

COLL vs. ^GSPC - Volatility Comparison

Collegium Pharmaceutical, Inc. (COLL) has a higher volatility of 10.02% compared to S&P 500 (^GSPC) at 3.43%. This indicates that COLL'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.


0.00%5.00%10.00%15.00%SeptemberOctoberNovemberDecember2025February
10.02%
3.43%
COLL
^GSPC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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