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

COMP vs. ^GSPC

Last updated May 11, 2025

Compare and contrast key facts about Compass, Inc. (COMP) and S&P 500 (^GSPC).

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: COMP or ^GSPC.

Correlation

The correlation between COMP and ^GSPC 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.

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.

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Key characteristics

Sharpe Ratio

COMP:

0.82

^GSPC:

0.44

Sortino Ratio

COMP:

2.16

^GSPC:

0.79

Omega Ratio

COMP:

1.27

^GSPC:

1.12

Calmar Ratio

COMP:

1.00

^GSPC:

0.48

Martin Ratio

COMP:

6.15

^GSPC:

1.85

Ulcer Index

COMP:

13.62%

^GSPC:

4.92%

Daily Std Dev

COMP:

70.71%

^GSPC:

19.37%

Max Drawdown

COMP:

-90.82%

^GSPC:

-56.78%

Current Drawdown

COMP:

-68.98%

^GSPC:

-7.88%

Returns By Period

In the year-to-date period, COMP achieves a 6.84% return, which is significantly higher than ^GSPC's -3.77% return.

COMP

YTD

6.84%

1M

-16.44%

6M

-6.72%

1Y

60.26%

5Y*

N/A

10Y*

N/A

^GSPC

YTD

-3.77%

1M

7.44%

6M

-5.60%

1Y

8.37%

5Y*

14.12%

10Y*

10.46%

*Annualized

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Risk-Adjusted Performance

COMP vs. ^GSPC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
COMP
The Risk-Adjusted Performance Rank of COMP is 8585
Overall Rank
The Sharpe Ratio Rank of COMP is 8080
Sharpe Ratio Rank
The Sortino Ratio Rank of COMP is 8888
Sortino Ratio Rank
The Omega Ratio Rank of COMP is 8585
Omega Ratio Rank
The Calmar Ratio Rank of COMP is 8484
Calmar Ratio Rank
The Martin Ratio Rank of COMP is 8989
Martin Ratio Rank
^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6767
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6464
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6969
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 6868
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7474
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.

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.

The current COMP Sharpe Ratio is 0.82, which is higher than the ^GSPC Sharpe Ratio of 0.44. 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.

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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.

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Volatility

COMP vs. ^GSPC - Volatility Comparison

Compass, Inc. (COMP) has a higher volatility of 25.02% compared to S&P 500 (^GSPC) at 6.82%. 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.

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