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

Correlation

The correlation between CRM and SPY is 0.58, 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.


-0.50.00.51.00.6

Performance

CRM vs. SPY - Performance Comparison

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

0.00%10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
37.79%
8.40%
CRM
SPY

Key characteristics

Sharpe Ratio

CRM:

0.78

SPY:

2.17

Sortino Ratio

CRM:

1.18

SPY:

2.88

Omega Ratio

CRM:

1.19

SPY:

1.41

Calmar Ratio

CRM:

0.90

SPY:

3.19

Martin Ratio

CRM:

2.10

SPY:

14.10

Ulcer Index

CRM:

13.30%

SPY:

1.90%

Daily Std Dev

CRM:

35.98%

SPY:

12.39%

Max Drawdown

CRM:

-70.50%

SPY:

-55.19%

Current Drawdown

CRM:

-8.50%

SPY:

-3.19%

Returns By Period

In the year-to-date period, CRM achieves a 28.49% return, which is significantly higher than SPY's 24.97% return. Over the past 10 years, CRM has outperformed SPY with an annualized return of 18.94%, while SPY has yielded a comparatively lower 12.92% annualized return.


CRM

YTD

28.49%

1M

4.08%

6M

39.65%

1Y

29.92%

5Y*

15.53%

10Y*

18.94%

SPY

YTD

24.97%

1M

-0.32%

6M

8.25%

1Y

26.85%

5Y*

14.57%

10Y*

12.92%

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Risk-Adjusted Performance

CRM vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for salesforce.com, inc. (CRM) 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.


Sharpe ratio
The chart of Sharpe ratio for CRM, currently valued at 0.83, compared to the broader market-4.00-2.000.002.000.832.17
The chart of Sortino ratio for CRM, currently valued at 1.24, compared to the broader market-4.00-2.000.002.004.001.242.88
The chart of Omega ratio for CRM, currently valued at 1.21, compared to the broader market0.501.001.502.001.211.41
The chart of Calmar ratio for CRM, currently valued at 0.96, compared to the broader market0.002.004.006.000.963.19
The chart of Martin ratio for CRM, currently valued at 2.25, compared to the broader market0.0010.0020.002.2514.10
CRM
SPY

The current CRM Sharpe Ratio is 0.78, which is lower than the SPY Sharpe Ratio of 2.17. The chart below compares the historical Sharpe Ratios of CRM 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.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.83
2.17
CRM
SPY

Dividends

CRM vs. SPY - Dividend Comparison

CRM's dividend yield for the trailing twelve months is around 0.48%, less than SPY's 0.87% yield.


TTM20232022202120202019201820172016201520142013
CRM
salesforce.com, inc.
0.48%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
0.87%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

CRM vs. SPY - Drawdown Comparison

The maximum CRM drawdown since its inception was -70.50%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CRM and SPY. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.50%
-3.19%
CRM
SPY

Volatility

CRM vs. SPY - Volatility Comparison

salesforce.com, inc. (CRM) has a higher volatility of 13.54% compared to SPDR S&P 500 ETF (SPY) at 3.64%. This indicates that CRM'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.


0.00%5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
13.54%
3.64%
CRM
SPY
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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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