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

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.


-0.50.00.51.00.5

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.

0.00%20.00%40.00%60.00%80.00%100.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
73.31%
9.66%
COMP
^GSPC

Key characteristics

Sharpe Ratio

COMP:

1.27

^GSPC:

2.07

Sortino Ratio

COMP:

2.16

^GSPC:

2.76

Omega Ratio

COMP:

1.25

^GSPC:

1.39

Calmar Ratio

COMP:

1.02

^GSPC:

3.05

Martin Ratio

COMP:

7.58

^GSPC:

13.27

Ulcer Index

COMP:

11.51%

^GSPC:

1.95%

Daily Std Dev

COMP:

68.12%

^GSPC:

12.52%

Max Drawdown

COMP:

-90.82%

^GSPC:

-56.78%

Current Drawdown

COMP:

-70.07%

^GSPC:

-1.91%

Returns By Period

In the year-to-date period, COMP achieves a 60.37% return, which is significantly higher than ^GSPC's 25.25% return.


COMP

YTD

60.37%

1M

-11.71%

6M

73.28%

1Y

72.78%

5Y*

N/A

10Y*

N/A

^GSPC

YTD

25.25%

1M

0.08%

6M

9.66%

1Y

25.65%

5Y*

13.17%

10Y*

11.11%

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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.


Sharpe ratio
The chart of Sharpe ratio for COMP, currently valued at 1.27, compared to the broader market-4.00-2.000.002.001.272.07
The chart of Sortino ratio for COMP, currently valued at 2.16, compared to the broader market-4.00-2.000.002.004.002.162.76
The chart of Omega ratio for COMP, currently valued at 1.25, compared to the broader market0.501.001.502.001.251.39
The chart of Calmar ratio for COMP, currently valued at 1.02, compared to the broader market0.002.004.006.001.023.05
The chart of Martin ratio for COMP, currently valued at 7.58, compared to the broader market-5.000.005.0010.0015.0020.0025.007.5813.27
COMP
^GSPC

The current COMP Sharpe Ratio is 1.27, which is lower than the ^GSPC Sharpe Ratio of 2.07. 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.27
2.07
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%JulyAugustSeptemberOctoberNovemberDecember
-70.07%
-1.91%
COMP
^GSPC

Volatility

COMP vs. ^GSPC - Volatility Comparison

Compass, Inc. (COMP) has a higher volatility of 14.78% compared to S&P 500 (^GSPC) at 3.82%. 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.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
14.78%
3.82%
COMP
^GSPC
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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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