PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
DD vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between DD 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

DD vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DuPont de Nemours, Inc. (DD) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

20.00%40.00%60.00%80.00%100.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
12.89%
116.10%
DD
^GSPC

Key characteristics

Sharpe Ratio

DD:

0.29

^GSPC:

2.10

Sortino Ratio

DD:

0.56

^GSPC:

2.80

Omega Ratio

DD:

1.09

^GSPC:

1.39

Calmar Ratio

DD:

0.30

^GSPC:

3.09

Martin Ratio

DD:

1.16

^GSPC:

13.49

Ulcer Index

DD:

6.51%

^GSPC:

1.94%

Daily Std Dev

DD:

25.97%

^GSPC:

12.52%

Max Drawdown

DD:

-62.03%

^GSPC:

-56.78%

Current Drawdown

DD:

-13.30%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, DD achieves a 2.41% return, which is significantly lower than ^GSPC's 24.34% return.


DD

YTD

2.41%

1M

-5.15%

6M

-2.31%

1Y

5.95%

5Y*

6.04%

10Y*

N/A

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

DD vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DuPont de Nemours, Inc. (DD) 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 DD, currently valued at 0.29, compared to the broader market-4.00-2.000.002.000.292.10
The chart of Sortino ratio for DD, currently valued at 0.56, compared to the broader market-4.00-2.000.002.004.000.562.80
The chart of Omega ratio for DD, currently valued at 1.09, compared to the broader market0.501.001.502.001.091.39
The chart of Calmar ratio for DD, currently valued at 0.30, compared to the broader market0.002.004.006.000.303.09
The chart of Martin ratio for DD, currently valued at 1.16, compared to the broader market-5.000.005.0010.0015.0020.0025.001.1613.49
DD
^GSPC

The current DD Sharpe Ratio is 0.29, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of DD 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.29
2.10
DD
^GSPC

Drawdowns

DD vs. ^GSPC - Drawdown Comparison

The maximum DD drawdown since its inception was -62.03%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for DD and ^GSPC. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-13.30%
-2.62%
DD
^GSPC

Volatility

DD vs. ^GSPC - Volatility Comparison

DuPont de Nemours, Inc. (DD) has a higher volatility of 4.98% compared to S&P 500 (^GSPC) at 3.79%. This indicates that DD'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%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.98%
3.79%
DD
^GSPC
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab