PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
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.


-0.50.00.51.0
Correlation: 0.3

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.

100.00%120.00%140.00%160.00%180.00%200.00%NovemberDecember2025FebruaryMarchApril
118.96%
147.04%
COLL
^GSPC

Key characteristics

Sharpe Ratio

COLL:

-0.56

^GSPC:

0.14

Sortino Ratio

COLL:

-0.58

^GSPC:

0.33

Omega Ratio

COLL:

0.93

^GSPC:

1.05

Calmar Ratio

COLL:

-0.59

^GSPC:

0.14

Martin Ratio

COLL:

-1.17

^GSPC:

0.62

Ulcer Index

COLL:

20.64%

^GSPC:

4.36%

Daily Std Dev

COLL:

43.11%

^GSPC:

19.19%

Max Drawdown

COLL:

-73.59%

^GSPC:

-56.78%

Current Drawdown

COLL:

-35.71%

^GSPC:

-16.05%

Returns By Period

In the year-to-date period, COLL achieves a -6.07% return, which is significantly higher than ^GSPC's -12.30% return.


COLL

YTD

-6.07%

1M

-10.45%

6M

-26.19%

1Y

-22.76%

5Y*

5.59%

10Y*

N/A

^GSPC

YTD

-12.30%

1M

-8.99%

6M

-11.89%

1Y

3.84%

5Y*

13.06%

10Y*

9.34%

*Annualized

Compare stocks, funds, or ETFs

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


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 2323
Overall Rank
The Sharpe Ratio Rank of COLL is 2323
Sharpe Ratio Rank
The Sortino Ratio Rank of COLL is 2424
Sortino Ratio Rank
The Omega Ratio Rank of COLL is 2424
Omega Ratio Rank
The Calmar Ratio Rank of COLL is 1717
Calmar Ratio Rank
The Martin Ratio Rank of COLL is 2525
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 4545
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 4343
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 4343
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 4444
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 4545
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 4848
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 -0.56, compared to the broader market-2.00-1.000.001.002.003.00
COLL: -0.56
^GSPC: 0.14
The chart of Sortino ratio for COLL, currently valued at -0.58, compared to the broader market-6.00-4.00-2.000.002.004.00
COLL: -0.58
^GSPC: 0.33
The chart of Omega ratio for COLL, currently valued at 0.93, compared to the broader market0.501.001.502.00
COLL: 0.93
^GSPC: 1.05
The chart of Calmar ratio for COLL, currently valued at -0.59, compared to the broader market0.001.002.003.004.00
COLL: -0.59
^GSPC: 0.14
The chart of Martin ratio for COLL, currently valued at -1.17, compared to the broader market-5.000.005.0010.0015.0020.00
COLL: -1.17
^GSPC: 0.62

The current COLL Sharpe Ratio is -0.56, which is lower than the ^GSPC Sharpe Ratio of 0.14. 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 Ratio-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
-0.56
0.14
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.


-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-35.71%
-16.05%
COLL
^GSPC

Volatility

COLL vs. ^GSPC - Volatility Comparison

Collegium Pharmaceutical, Inc. (COLL) and S&P 500 (^GSPC) have volatilities of 14.37% and 13.75%, 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.


0.00%5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
14.37%
13.75%
COLL
^GSPC
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2025 PortfoliosLab