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

Performance

COMP vs. ^GSPC - Performance Comparison

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

-20.00%0.00%20.00%40.00%60.00%80.00%JuneJulyAugustSeptemberOctoberNovember
66.58%
12.92%
COMP
^GSPC

Returns By Period

In the year-to-date period, COMP achieves a 78.99% return, which is significantly higher than ^GSPC's 24.72% return.


COMP

YTD

78.99%

1M

18.07%

6M

66.58%

1Y

218.96%

5Y (annualized)

N/A

10Y (annualized)

N/A

^GSPC

YTD

24.72%

1M

1.67%

6M

12.93%

1Y

30.55%

5Y (annualized)

13.88%

10Y (annualized)

11.16%

Key characteristics


COMP^GSPC
Sharpe Ratio3.412.54
Sortino Ratio3.793.40
Omega Ratio1.441.47
Calmar Ratio2.623.66
Martin Ratio20.8716.26
Ulcer Index11.25%1.91%
Daily Std Dev68.96%12.23%
Max Drawdown-90.82%-56.78%
Current Drawdown-66.60%-0.88%

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Correlation

-0.50.00.51.00.5

The correlation between COMP and ^GSPC is 0.47, 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

COMP vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Compass, Inc. (COMP) 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 COMP, currently valued at 3.41, compared to the broader market-4.00-2.000.002.004.003.412.54
The chart of Sortino ratio for COMP, currently valued at 3.79, compared to the broader market-4.00-2.000.002.004.003.793.40
The chart of Omega ratio for COMP, currently valued at 1.44, compared to the broader market0.501.001.502.001.441.47
The chart of Calmar ratio for COMP, currently valued at 2.62, compared to the broader market0.002.004.006.002.623.66
The chart of Martin ratio for COMP, currently valued at 20.87, compared to the broader market0.0010.0020.0030.0020.8716.26
COMP
^GSPC

The current COMP Sharpe Ratio is 3.41, which is higher than the ^GSPC Sharpe Ratio of 2.54. The chart below compares the historical Sharpe Ratios of COMP 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
3.41
2.54
COMP
^GSPC

Drawdowns

COMP vs. ^GSPC - Drawdown Comparison

The maximum COMP drawdown since its inception was -90.82%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for COMP and ^GSPC. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-66.60%
-0.88%
COMP
^GSPC

Volatility

COMP vs. ^GSPC - Volatility Comparison

Compass, Inc. (COMP) has a higher volatility of 19.53% compared to S&P 500 (^GSPC) at 3.96%. This indicates that COMP'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%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
19.53%
3.96%
COMP
^GSPC