COMP vs. ^GSPC
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.
Key characteristics
| COMP | ^GSPC | |
|---|---|---|
| YTD Return | 80.85% | 25.82% |
| 1Y Return | 246.94% | 35.92% |
| 3Y Return (Ann) | -15.95% | 8.67% |
| Sharpe Ratio | 3.60 | 3.08 |
| Sortino Ratio | 3.89 | 4.10 |
| Omega Ratio | 1.45 | 1.58 |
| Calmar Ratio | 2.88 | 4.48 |
| Martin Ratio | 22.75 | 20.05 |
| Ulcer Index | 11.42% | 1.90% |
| Daily Std Dev | 72.23% | 12.28% |
| Max Drawdown | -90.82% | -56.78% |
| Current Drawdown | -66.25% | 0.00% |
Correlation
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.
Performance
COMP vs. ^GSPC - Performance Comparison
In the year-to-date period, COMP achieves a 80.85% return, which is significantly higher than ^GSPC's 25.82% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Volatility
COMP vs. ^GSPC - Volatility Comparison
Compass, Inc. (COMP) has a higher volatility of 18.99% compared to S&P 500 (^GSPC) at 3.89%. 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.