DRX.TO vs. ^GSPC
Compare and contrast key facts about ADF Group Inc. (DRX.TO) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DRX.TO or ^GSPC.
Key characteristics
| DRX.TO | ^GSPC | |
|---|---|---|
| YTD Return | 33.57% | 24.72% |
| 1Y Return | 75.06% | 32.12% |
| 3Y Return (Ann) | 80.96% | 8.33% |
| 5Y Return (Ann) | 52.53% | 13.81% |
| 10Y Return (Ann) | 16.14% | 11.31% |
| Sharpe Ratio | 1.04 | 2.66 |
| Sortino Ratio | 1.84 | 3.56 |
| Omega Ratio | 1.22 | 1.50 |
| Calmar Ratio | 1.10 | 3.81 |
| Martin Ratio | 2.72 | 17.03 |
| Ulcer Index | 26.73% | 1.90% |
| Daily Std Dev | 69.71% | 12.16% |
| Max Drawdown | -98.27% | -56.78% |
| Current Drawdown | -54.94% | -0.87% |
Correlation
The correlation between DRX.TO and ^GSPC is 0.16, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
DRX.TO vs. ^GSPC - Performance Comparison
In the year-to-date period, DRX.TO achieves a 33.57% return, which is significantly higher than ^GSPC's 24.72% return. Over the past 10 years, DRX.TO has outperformed ^GSPC with an annualized return of 16.14%, while ^GSPC has yielded a comparatively lower 11.31% 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
DRX.TO vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ADF Group Inc. (DRX.TO) 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.
Drawdowns
DRX.TO vs. ^GSPC - Drawdown Comparison
The maximum DRX.TO drawdown since its inception was -98.27%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for DRX.TO and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
DRX.TO vs. ^GSPC - Volatility Comparison
ADF Group Inc. (DRX.TO) has a higher volatility of 14.45% compared to S&P 500 (^GSPC) at 3.81%. This indicates that DRX.TO'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.