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

Correlation

The correlation between COOP and SPY is 0.32, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


Performance

COOP vs. SPY - Performance Comparison

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

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Key characteristics

Sharpe Ratio

COOP:

1.20

SPY:

0.66

Sortino Ratio

COOP:

2.01

SPY:

1.12

Omega Ratio

COOP:

1.25

SPY:

1.17

Calmar Ratio

COOP:

2.25

SPY:

0.75

Martin Ratio

COOP:

7.07

SPY:

2.92

Ulcer Index

COOP:

6.37%

SPY:

4.86%

Daily Std Dev

COOP:

35.19%

SPY:

20.32%

Max Drawdown

COOP:

-87.08%

SPY:

-55.19%

Current Drawdown

COOP:

-11.18%

SPY:

-4.60%

Returns By Period

In the year-to-date period, COOP achieves a 24.15% return, which is significantly higher than SPY's -0.23% return. Over the past 10 years, COOP has outperformed SPY with an annualized return of 13.71%, while SPY has yielded a comparatively lower 12.59% annualized return.


COOP

YTD

24.15%

1M

8.36%

6M

17.52%

1Y

41.96%

5Y*

70.83%

10Y*

13.71%

SPY

YTD

-0.23%

1M

9.19%

6M

-2.01%

1Y

13.36%

5Y*

17.44%

10Y*

12.59%

*Annualized

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Risk-Adjusted Performance

COOP vs. SPY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

COOP
The Risk-Adjusted Performance Rank of COOP is 8888
Overall Rank
The Sharpe Ratio Rank of COOP is 8787
Sharpe Ratio Rank
The Sortino Ratio Rank of COOP is 8686
Sortino Ratio Rank
The Omega Ratio Rank of COOP is 8383
Omega Ratio Rank
The Calmar Ratio Rank of COOP is 9494
Calmar Ratio Rank
The Martin Ratio Rank of COOP is 9191
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6969
Overall Rank
The Sharpe Ratio Rank of SPY is 6363
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6767
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 7171
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 7171
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 7171
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.

COOP vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Mr. Cooper Group Inc. (COOP) 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.


The current COOP Sharpe Ratio is 1.20, which is higher than the SPY Sharpe Ratio of 0.66. The chart below compares the historical Sharpe Ratios of COOP 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.


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Dividends

COOP vs. SPY - Dividend Comparison

COOP has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.23%.


TTM20242023202220212020201920182017201620152014
COOP
Mr. Cooper Group Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.23%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

COOP vs. SPY - Drawdown Comparison

The maximum COOP drawdown since its inception was -87.08%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for COOP and SPY. For additional features, visit the drawdowns tool.


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Volatility

COOP vs. SPY - Volatility Comparison

Mr. Cooper Group Inc. (COOP) has a higher volatility of 12.27% compared to SPDR S&P 500 ETF (SPY) at 6.39%. This indicates that COOP'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.


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