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COLM vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between COLM and SPY is 0.48, 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.


-0.50.00.51.00.5

Performance

COLM vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Columbia Sportswear Company (COLM) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

600.00%800.00%1,000.00%1,200.00%1,400.00%1,600.00%JulyAugustSeptemberOctoberNovemberDecember
1,476.46%
760.77%
COLM
SPY

Key characteristics

Sharpe Ratio

COLM:

0.42

SPY:

2.21

Sortino Ratio

COLM:

0.76

SPY:

2.93

Omega Ratio

COLM:

1.09

SPY:

1.41

Calmar Ratio

COLM:

0.32

SPY:

3.26

Martin Ratio

COLM:

1.74

SPY:

14.43

Ulcer Index

COLM:

5.87%

SPY:

1.90%

Daily Std Dev

COLM:

24.08%

SPY:

12.41%

Max Drawdown

COLM:

-63.18%

SPY:

-55.19%

Current Drawdown

COLM:

-18.02%

SPY:

-2.74%

Returns By Period

In the year-to-date period, COLM achieves a 12.67% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, COLM has underperformed SPY with an annualized return of 8.13%, while SPY has yielded a comparatively higher 12.97% annualized return.


COLM

YTD

12.67%

1M

10.25%

6M

6.46%

1Y

9.30%

5Y*

-1.58%

10Y*

8.13%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

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Risk-Adjusted Performance

COLM vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Columbia Sportswear Company (COLM) 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.


Sharpe ratio
The chart of Sharpe ratio for COLM, currently valued at 0.42, compared to the broader market-4.00-2.000.002.000.422.21
The chart of Sortino ratio for COLM, currently valued at 0.76, compared to the broader market-4.00-2.000.002.004.000.762.93
The chart of Omega ratio for COLM, currently valued at 1.09, compared to the broader market0.501.001.502.001.091.41
The chart of Calmar ratio for COLM, currently valued at 0.32, compared to the broader market0.002.004.006.000.323.26
The chart of Martin ratio for COLM, currently valued at 1.74, compared to the broader market-5.000.005.0010.0015.0020.0025.001.7414.43
COLM
SPY

The current COLM Sharpe Ratio is 0.42, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of COLM and SPY, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.42
2.21
COLM
SPY

Dividends

COLM vs. SPY - Dividend Comparison

COLM's dividend yield for the trailing twelve months is around 1.36%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
COLM
Columbia Sportswear Company
1.36%1.51%1.37%1.07%0.30%0.96%1.07%1.02%1.18%1.27%1.28%1.16%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

COLM vs. SPY - Drawdown Comparison

The maximum COLM drawdown since its inception was -63.18%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for COLM and SPY. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-18.02%
-2.74%
COLM
SPY

Volatility

COLM vs. SPY - Volatility Comparison

Columbia Sportswear Company (COLM) has a higher volatility of 8.05% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that COLM'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.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
8.05%
3.72%
COLM
SPY
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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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