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

Correlation

The correlation between DDOG and SPY is 0.49, 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.


-0.50.00.51.00.5

Performance

DDOG vs. SPY - Performance Comparison

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

100.00%150.00%200.00%250.00%300.00%350.00%JulyAugustSeptemberOctoberNovemberDecember
300.00%
111.33%
DDOG
SPY

Key characteristics

Sharpe Ratio

DDOG:

0.58

SPY:

2.03

Sortino Ratio

DDOG:

1.01

SPY:

2.71

Omega Ratio

DDOG:

1.13

SPY:

1.38

Calmar Ratio

DDOG:

0.47

SPY:

3.02

Martin Ratio

DDOG:

2.03

SPY:

13.49

Ulcer Index

DDOG:

10.76%

SPY:

1.88%

Daily Std Dev

DDOG:

37.73%

SPY:

12.48%

Max Drawdown

DDOG:

-68.11%

SPY:

-55.19%

Current Drawdown

DDOG:

-23.59%

SPY:

-3.54%

Returns By Period

The year-to-date returns for both investments are quite close, with DDOG having a 23.74% return and SPY slightly higher at 24.51%.


DDOG

YTD

23.74%

1M

19.23%

6M

28.93%

1Y

22.70%

5Y*

31.40%

10Y*

N/A

SPY

YTD

24.51%

1M

-0.32%

6M

7.56%

1Y

24.63%

5Y*

14.51%

10Y*

12.94%

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Risk-Adjusted Performance

DDOG vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Datadog, Inc. (DDOG) 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 DDOG, currently valued at 0.58, compared to the broader market-4.00-2.000.002.000.582.03
The chart of Sortino ratio for DDOG, currently valued at 1.01, compared to the broader market-4.00-2.000.002.004.001.012.71
The chart of Omega ratio for DDOG, currently valued at 1.13, compared to the broader market0.501.001.502.001.131.38
The chart of Calmar ratio for DDOG, currently valued at 0.47, compared to the broader market0.002.004.006.000.473.02
The chart of Martin ratio for DDOG, currently valued at 2.03, compared to the broader market0.0010.0020.002.0313.49
DDOG
SPY

The current DDOG Sharpe Ratio is 0.58, which is lower than the SPY Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of DDOG 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
0.58
2.03
DDOG
SPY

Dividends

DDOG vs. SPY - Dividend Comparison

DDOG has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 0.87%.


TTM20232022202120202019201820172016201520142013
DDOG
Datadog, 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
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

DDOG vs. SPY - Drawdown Comparison

The maximum DDOG drawdown since its inception was -68.11%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DDOG and SPY. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-23.59%
-3.54%
DDOG
SPY

Volatility

DDOG vs. SPY - Volatility Comparison

Datadog, Inc. (DDOG) has a higher volatility of 15.98% compared to SPDR S&P 500 ETF (SPY) at 3.64%. This indicates that DDOG'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%JulyAugustSeptemberOctoberNovemberDecember
15.98%
3.64%
DDOG
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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