DGX vs. ^SP500TR
Compare and contrast key facts about Quest Diagnostics Incorporated (DGX) and S&P 500 Total Return (^SP500TR).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DGX or ^SP500TR.
Key characteristics
| DGX | ^SP500TR | |
|---|---|---|
| YTD Return | 18.95% | 26.96% |
| 1Y Return | 22.59% | 35.01% |
| 3Y Return (Ann) | 4.58% | 10.25% |
| 5Y Return (Ann) | 11.41% | 15.79% |
| 10Y Return (Ann) | 12.25% | 13.44% |
| Sharpe Ratio | 1.19 | 3.06 |
| Sortino Ratio | 1.92 | 4.07 |
| Omega Ratio | 1.23 | 1.58 |
| Calmar Ratio | 0.96 | 4.45 |
| Martin Ratio | 4.56 | 20.17 |
| Ulcer Index | 5.25% | 1.87% |
| Daily Std Dev | 20.04% | 12.28% |
| Max Drawdown | -49.46% | -55.25% |
| Current Drawdown | -0.88% | -0.26% |
Correlation
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 18.95% return, which is significantly lower than ^SP500TR's 26.96% return. Over the past 10 years, DGX has underperformed ^SP500TR with an annualized return of 12.25%, while ^SP500TR has yielded a comparatively higher 13.44% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Volatility
DGX vs. ^SP500TR - Volatility Comparison
Quest Diagnostics Incorporated (DGX) has a higher volatility of 7.66% compared to S&P 500 Total Return (^SP500TR) at 3.75%. 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.