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

Correlation

The correlation between CRBP and SPY is 0.26, 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

CRBP vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Corbus Pharmaceuticals Holdings, Inc. (CRBP) 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

CRBP:

-0.83

SPY:

0.70

Sortino Ratio

CRBP:

-1.38

SPY:

1.13

Omega Ratio

CRBP:

0.80

SPY:

1.17

Calmar Ratio

CRBP:

-0.85

SPY:

0.76

Martin Ratio

CRBP:

-1.28

SPY:

2.93

Ulcer Index

CRBP:

64.91%

SPY:

4.86%

Daily Std Dev

CRBP:

100.36%

SPY:

20.29%

Max Drawdown

CRBP:

-99.31%

SPY:

-55.19%

Current Drawdown

CRBP:

-97.66%

SPY:

-3.97%

Returns By Period

In the year-to-date period, CRBP achieves a -38.47% return, which is significantly lower than SPY's 0.43% return. Over the past 10 years, CRBP has underperformed SPY with an annualized return of -24.52%, while SPY has yielded a comparatively higher 12.66% annualized return.


CRBP

YTD

-38.47%

1M

20.20%

6M

-59.53%

1Y

-83.07%

5Y*

-48.36%

10Y*

-24.52%

SPY

YTD

0.43%

1M

9.91%

6M

-1.06%

1Y

14.09%

5Y*

17.31%

10Y*

12.66%

*Annualized

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Risk-Adjusted Performance

CRBP vs. SPY — Risk-Adjusted Performance Rank

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

CRBP
The Risk-Adjusted Performance Rank of CRBP is 77
Overall Rank
The Sharpe Ratio Rank of CRBP is 88
Sharpe Ratio Rank
The Sortino Ratio Rank of CRBP is 66
Sortino Ratio Rank
The Omega Ratio Rank of CRBP is 55
Omega Ratio Rank
The Calmar Ratio Rank of CRBP is 44
Calmar Ratio Rank
The Martin Ratio Rank of CRBP is 1313
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6868
Overall Rank
The Sharpe Ratio Rank of SPY is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6666
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 7070
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 7171
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 7070
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.

CRBP vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Corbus Pharmaceuticals Holdings, Inc. (CRBP) 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 CRBP Sharpe Ratio is -0.83, which is lower than the SPY Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of CRBP 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

CRBP vs. SPY - Dividend Comparison

CRBP has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.22%.


TTM20242023202220212020201920182017201620152014
CRBP
Corbus Pharmaceuticals Holdings, 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
1.22%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

CRBP vs. SPY - Drawdown Comparison

The maximum CRBP drawdown since its inception was -99.31%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CRBP and SPY. For additional features, visit the drawdowns tool.


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Volatility

CRBP vs. SPY - Volatility Comparison

Corbus Pharmaceuticals Holdings, Inc. (CRBP) has a higher volatility of 31.36% compared to SPDR S&P 500 ETF (SPY) at 6.25%. This indicates that CRBP'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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