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

Key characteristics


DACSPY
YTD Return13.63%21.01%
1Y Return28.04%32.86%
3Y Return (Ann)9.36%8.37%
5Y Return (Ann)51.09%14.97%
10Y Return (Ann)0.63%12.86%
Sharpe Ratio1.102.83
Sortino Ratio1.683.76
Omega Ratio1.201.53
Calmar Ratio0.314.05
Martin Ratio2.9618.38
Ulcer Index8.85%1.85%
Daily Std Dev23.85%12.02%
Max Drawdown-99.42%-55.19%
Current Drawdown-80.34%-2.53%

Correlation

-0.50.00.51.00.3

The correlation between DAC and SPY is 0.29, 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

DAC vs. SPY - Performance Comparison

In the year-to-date period, DAC achieves a 13.63% return, which is significantly lower than SPY's 21.01% return. Over the past 10 years, DAC has underperformed SPY with an annualized return of 0.63%, while SPY has yielded a comparatively higher 12.86% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
5.42%
11.00%
DAC
SPY

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Risk-Adjusted Performance

DAC vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Danaos Corporation (DAC) 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.


DAC
Sharpe ratio
The chart of Sharpe ratio for DAC, currently valued at 1.10, compared to the broader market-4.00-2.000.002.001.10
Sortino ratio
The chart of Sortino ratio for DAC, currently valued at 1.68, compared to the broader market-4.00-2.000.002.004.001.68
Omega ratio
The chart of Omega ratio for DAC, currently valued at 1.20, compared to the broader market0.501.001.502.001.20
Calmar ratio
The chart of Calmar ratio for DAC, currently valued at 0.31, compared to the broader market0.002.004.006.000.31
Martin ratio
The chart of Martin ratio for DAC, currently valued at 2.96, compared to the broader market-10.000.0010.0020.0030.002.96
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.83, compared to the broader market-4.00-2.000.002.002.83
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.76, compared to the broader market-4.00-2.000.002.004.003.76
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.53, compared to the broader market0.501.001.502.001.53
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.05, compared to the broader market0.002.004.006.004.05
Martin ratio
The chart of Martin ratio for SPY, currently valued at 18.38, compared to the broader market-10.000.0010.0020.0030.0018.38

DAC vs. SPY - Sharpe Ratio Comparison

The current DAC Sharpe Ratio is 1.10, which is lower than the SPY Sharpe Ratio of 2.83. The chart below compares the historical Sharpe Ratios of DAC 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.10
2.83
DAC
SPY

Dividends

DAC vs. SPY - Dividend Comparison

DAC's dividend yield for the trailing twelve months is around 3.91%, more than SPY's 1.23% yield.


TTM20232022202120202019201820172016201520142013
DAC
Danaos Corporation
3.91%4.12%5.70%2.01%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

DAC vs. SPY - Drawdown Comparison

The maximum DAC drawdown since its inception was -99.42%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DAC and SPY. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-80.34%
-2.53%
DAC
SPY

Volatility

DAC vs. SPY - Volatility Comparison

Danaos Corporation (DAC) has a higher volatility of 7.34% compared to SPDR S&P 500 ETF (SPY) at 3.15%. This indicates that DAC'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.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.34%
3.15%
DAC
SPY