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

Correlation

The correlation between EBS and ^GSPC is 0.40, 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

EBS vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Emergent BioSolutions Inc. (EBS) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

EBS:

0.24

^GSPC:

0.44

Sortino Ratio

EBS:

1.29

^GSPC:

0.79

Omega Ratio

EBS:

1.17

^GSPC:

1.12

Calmar Ratio

EBS:

0.29

^GSPC:

0.48

Martin Ratio

EBS:

0.68

^GSPC:

1.85

Ulcer Index

EBS:

41.77%

^GSPC:

4.92%

Daily Std Dev

EBS:

124.84%

^GSPC:

19.37%

Max Drawdown

EBS:

-98.89%

^GSPC:

-56.78%

Current Drawdown

EBS:

-95.81%

^GSPC:

-7.88%

Returns By Period

In the year-to-date period, EBS achieves a -40.90% return, which is significantly lower than ^GSPC's -3.77% return. Over the past 10 years, EBS has underperformed ^GSPC with an annualized return of -14.49%, while ^GSPC has yielded a comparatively higher 10.45% annualized return.


EBS

YTD

-40.90%

1M

20.47%

6M

-52.00%

1Y

29.29%

5Y*

-41.33%

10Y*

-14.49%

^GSPC

YTD

-3.77%

1M

3.72%

6M

-5.60%

1Y

8.55%

5Y*

14.11%

10Y*

10.45%

*Annualized

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Risk-Adjusted Performance

EBS vs. ^GSPC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EBS
The Risk-Adjusted Performance Rank of EBS is 6767
Overall Rank
The Sharpe Ratio Rank of EBS is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of EBS is 7373
Sortino Ratio Rank
The Omega Ratio Rank of EBS is 7272
Omega Ratio Rank
The Calmar Ratio Rank of EBS is 6666
Calmar Ratio Rank
The Martin Ratio Rank of EBS is 6161
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6565
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 5757
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6363
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6767
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 6868
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7272
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

EBS vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Emergent BioSolutions Inc. (EBS) 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.


The current EBS Sharpe Ratio is 0.24, which is lower than the ^GSPC Sharpe Ratio of 0.44. The chart below compares the historical Sharpe Ratios of EBS 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.


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Drawdowns

EBS vs. ^GSPC - Drawdown Comparison

The maximum EBS drawdown since its inception was -98.89%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for EBS and ^GSPC. For additional features, visit the drawdowns tool.


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Volatility

EBS vs. ^GSPC - Volatility Comparison


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