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EBLU vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between EBLU and ^GSPC is 0.65, 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.


-0.50.00.51.00.7

Performance

EBLU vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Ecofin Global Water ESG Fund (EBLU) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

100.00%120.00%140.00%160.00%JulyAugustSeptemberOctoberNovemberDecember
107.09%
153.72%
EBLU
^GSPC

Key characteristics

Sharpe Ratio

EBLU:

0.82

^GSPC:

2.10

Sortino Ratio

EBLU:

1.20

^GSPC:

2.80

Omega Ratio

EBLU:

1.15

^GSPC:

1.39

Calmar Ratio

EBLU:

0.75

^GSPC:

3.09

Martin Ratio

EBLU:

4.05

^GSPC:

13.49

Ulcer Index

EBLU:

2.88%

^GSPC:

1.94%

Daily Std Dev

EBLU:

14.23%

^GSPC:

12.52%

Max Drawdown

EBLU:

-37.58%

^GSPC:

-56.78%

Current Drawdown

EBLU:

-6.48%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, EBLU achieves a 9.69% return, which is significantly lower than ^GSPC's 24.34% return.


EBLU

YTD

9.69%

1M

-2.11%

6M

3.55%

1Y

11.06%

5Y*

7.87%

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

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Risk-Adjusted Performance

EBLU vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Ecofin Global Water ESG Fund (EBLU) 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 EBLU, currently valued at 0.82, compared to the broader market0.002.004.000.822.10
The chart of Sortino ratio for EBLU, currently valued at 1.20, compared to the broader market-2.000.002.004.006.008.0010.001.202.80
The chart of Omega ratio for EBLU, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.151.39
The chart of Calmar ratio for EBLU, currently valued at 0.75, compared to the broader market0.005.0010.0015.000.753.09
The chart of Martin ratio for EBLU, currently valued at 4.05, compared to the broader market0.0020.0040.0060.0080.00100.004.0513.49
EBLU
^GSPC

The current EBLU Sharpe Ratio is 0.82, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of EBLU 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.82
2.10
EBLU
^GSPC

Drawdowns

EBLU vs. ^GSPC - Drawdown Comparison

The maximum EBLU drawdown since its inception was -37.58%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for EBLU and ^GSPC. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.48%
-2.62%
EBLU
^GSPC

Volatility

EBLU vs. ^GSPC - Volatility Comparison

Ecofin Global Water ESG Fund (EBLU) has a higher volatility of 4.99% compared to S&P 500 (^GSPC) at 3.79%. This indicates that EBLU'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%JulyAugustSeptemberOctoberNovemberDecember
4.99%
3.79%
EBLU
^GSPC
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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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