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

Correlation

The correlation between DB and ^GSPC is 0.62, 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

DB vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Deutsche Bank Aktiengesellschaft (DB) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.48%
8.87%
DB
^GSPC

Key characteristics

Sharpe Ratio

DB:

1.00

^GSPC:

2.10

Sortino Ratio

DB:

1.48

^GSPC:

2.80

Omega Ratio

DB:

1.20

^GSPC:

1.39

Calmar Ratio

DB:

0.36

^GSPC:

3.09

Martin Ratio

DB:

4.89

^GSPC:

13.49

Ulcer Index

DB:

6.35%

^GSPC:

1.94%

Daily Std Dev

DB:

30.99%

^GSPC:

12.52%

Max Drawdown

DB:

-94.17%

^GSPC:

-56.78%

Current Drawdown

DB:

-80.46%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, DB achieves a 28.61% return, which is significantly higher than ^GSPC's 24.34% return. Over the past 10 years, DB has underperformed ^GSPC with an annualized return of -3.34%, while ^GSPC has yielded a comparatively higher 11.06% annualized return.


DB

YTD

28.61%

1M

0.95%

6M

9.44%

1Y

28.89%

5Y*

18.80%

10Y*

-3.34%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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Risk-Adjusted Performance

DB vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Deutsche Bank Aktiengesellschaft (DB) 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 DB, currently valued at 1.00, compared to the broader market-4.00-2.000.002.001.002.10
The chart of Sortino ratio for DB, currently valued at 1.48, compared to the broader market-4.00-2.000.002.004.001.482.80
The chart of Omega ratio for DB, currently valued at 1.20, compared to the broader market0.501.001.502.001.201.39
The chart of Calmar ratio for DB, currently valued at 0.36, compared to the broader market0.002.004.006.000.363.09
The chart of Martin ratio for DB, currently valued at 4.89, compared to the broader market-5.000.005.0010.0015.0020.0025.004.8913.49
DB
^GSPC

The current DB Sharpe Ratio is 1.00, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of DB 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.00
2.10
DB
^GSPC

Drawdowns

DB vs. ^GSPC - Drawdown Comparison

The maximum DB drawdown since its inception was -94.17%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for DB and ^GSPC. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-80.46%
-2.62%
DB
^GSPC

Volatility

DB vs. ^GSPC - Volatility Comparison

Deutsche Bank Aktiengesellschaft (DB) has a higher volatility of 8.47% compared to S&P 500 (^GSPC) at 3.79%. This indicates that DB'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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
8.47%
3.79%
DB
^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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