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DGX vs. ^SP500TR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


DGX^SP500TR
YTD Return18.66%27.29%
1Y Return23.19%37.86%
3Y Return (Ann)4.51%10.37%
5Y Return (Ann)11.77%16.06%
10Y Return (Ann)12.23%13.48%
Sharpe Ratio1.213.24
Sortino Ratio1.954.29
Omega Ratio1.231.61
Calmar Ratio0.984.74
Martin Ratio4.6321.46
Ulcer Index5.25%1.87%
Daily Std Dev20.05%12.29%
Max Drawdown-49.46%-55.25%
Current Drawdown-1.11%0.00%

Correlation

-0.50.00.51.00.4

The correlation between DGX and ^SP500TR is 0.41, 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.

Performance

DGX vs. ^SP500TR - Performance Comparison

In the year-to-date period, DGX achieves a 18.66% return, which is significantly lower than ^SP500TR's 27.29% return. Over the past 10 years, DGX has underperformed ^SP500TR with an annualized return of 12.23%, while ^SP500TR has yielded a comparatively higher 13.48% 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%JuneJulyAugustSeptemberOctoberNovember
14.95%
15.71%
DGX
^SP500TR

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Risk-Adjusted Performance

DGX vs. ^SP500TR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Quest Diagnostics Incorporated (DGX) and S&P 500 Total Return (^SP500TR). 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.


DGX
Sharpe ratio
The chart of Sharpe ratio for DGX, currently valued at 1.21, compared to the broader market-4.00-2.000.002.004.001.21
Sortino ratio
The chart of Sortino ratio for DGX, currently valued at 1.95, compared to the broader market-4.00-2.000.002.004.006.001.95
Omega ratio
The chart of Omega ratio for DGX, currently valued at 1.23, compared to the broader market0.501.001.502.001.23
Calmar ratio
The chart of Calmar ratio for DGX, currently valued at 0.98, compared to the broader market0.002.004.006.000.98
Martin ratio
The chart of Martin ratio for DGX, currently valued at 4.63, compared to the broader market0.0010.0020.0030.004.63
^SP500TR
Sharpe ratio
The chart of Sharpe ratio for ^SP500TR, currently valued at 3.24, compared to the broader market-4.00-2.000.002.004.003.24
Sortino ratio
The chart of Sortino ratio for ^SP500TR, currently valued at 4.29, compared to the broader market-4.00-2.000.002.004.006.004.29
Omega ratio
The chart of Omega ratio for ^SP500TR, currently valued at 1.61, compared to the broader market0.501.001.502.001.61
Calmar ratio
The chart of Calmar ratio for ^SP500TR, currently valued at 4.74, compared to the broader market0.002.004.006.004.74
Martin ratio
The chart of Martin ratio for ^SP500TR, currently valued at 21.46, compared to the broader market0.0010.0020.0030.0021.46

DGX vs. ^SP500TR - Sharpe Ratio Comparison

The current DGX Sharpe Ratio is 1.21, which is lower than the ^SP500TR Sharpe Ratio of 3.24. The chart below compares the historical Sharpe Ratios of DGX and ^SP500TR, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.21
3.24
DGX
^SP500TR

Drawdowns

DGX vs. ^SP500TR - Drawdown Comparison

The maximum DGX drawdown since its inception was -49.46%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for DGX and ^SP500TR. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.11%
0
DGX
^SP500TR

Volatility

DGX vs. ^SP500TR - Volatility Comparison

Quest Diagnostics Incorporated (DGX) has a higher volatility of 7.56% compared to S&P 500 Total Return (^SP500TR) at 3.89%. This indicates that DGX's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
7.56%
3.89%
DGX
^SP500TR