EDPFY vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about EDP Energias de Portugal SA ADR (EDPFY) and S&P 500 Index (^GSPC).

Performance

EDPFY vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in EDP Energias de Portugal SA ADR (EDPFY) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

EDPFY vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EDPFY EDP Energias de Portugal SA ADR	16.69%	51.44%	-32.70%	5.27%	-5.36%	-13.34%	63.23%	31.19%	7.07%	20.29%
^GSPC S&P 500 Index	-3.95%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	19.42%

Returns By Period

In the year-to-date period, EDPFY achieves a 16.69% return, which is significantly higher than ^GSPC's -3.95% return. Over the past 10 years, EDPFY has underperformed ^GSPC with an annualized return of 10.52%, while ^GSPC has yielded a comparatively higher 12.24% annualized return.

EDPFY

• 1D: 1.67%
• 1M: 0.62%
• YTD: 16.69%
• 6M: 10.82%
• 1Y: 68.50%
• 3Y*: 4.67%
• 5Y*: 2.78%
• 10Y*: 10.52%

^GSPC

• 1D: 0.72%
• 1M: -4.45%
• YTD: -3.95%
• 6M: -2.02%
• 1Y: 16.73%
• 3Y*: 16.96%
• 5Y*: 10.34%
• 10Y*: 12.24%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

EDPFY vs. ^GSPC — Risk / Return Rank

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

EDPFY

EDPFY Risk / Return Rank: 91
EDPFY Sharpe Ratio Rank: 94
EDPFY Sortino Ratio Rank: 91
EDPFY Omega Ratio Rank: 93
EDPFY Calmar Ratio Rank: 90
EDPFY Martin Ratio Rank: 89

^GSPC

^GSPC Risk / Return Rank: 67
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 64
^GSPC Omega Ratio Rank: 69
^GSPC Calmar Ratio Rank: 60
^GSPC Martin Ratio Rank: 77

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

EDPFY vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for EDP Energias de Portugal SA ADR (EDPFY) and S&P 500 Index (^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.

	EDPFY	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	2.61	0.92	+1.69
Sortino ratio Return per unit of downside risk	2.97	1.41	+1.56
Omega ratio Gain probability vs. loss probability	1.46	1.21	+0.25
Calmar ratio Return relative to maximum drawdown	4.10	1.41	+2.68
Martin ratio Return relative to average drawdown	10.32	6.61	+3.71
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EDPFY vs. ^GSPC - Sharpe Ratio Comparison

The current EDPFY Sharpe Ratio is 2.61, which is higher than the ^GSPC Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of EDPFY 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.

Sharpe Ratios by Period

	EDPFY	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.61	0.92	+1.69
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.10	0.61	-0.51
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.38	0.68	-0.30
Sharpe Ratio (All Time) Calculated using the full available price history	0.14	0.46	-0.32

Correlation

The correlation between EDPFY and ^GSPC is 0.34, 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.

Drawdowns

EDPFY vs. ^GSPC - Drawdown Comparison

The maximum EDPFY drawdown since its inception was -67.95%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for EDPFY and ^GSPC.

Drawdown Indicators

	EDPFY	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-67.95%	-56.78%	-11.17%
Max Drawdown (1Y) Largest decline over 1 year	-16.26%	-12.14%	-4.12%
Max Drawdown (5Y) Largest decline over 5 years	-42.77%	-25.43%	-17.34%
Max Drawdown (10Y) Largest decline over 10 years	-48.34%	-33.92%	-14.42%
Current Drawdown Current decline from peak	-2.46%	-5.78%	+3.32%
Average Drawdown Average peak-to-trough decline	-28.60%	-10.75%	-17.85%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.45%	2.60%	+3.85%

Volatility

EDPFY vs. ^GSPC - Volatility Comparison

EDP Energias de Portugal SA ADR (EDPFY) has a higher volatility of 8.09% compared to S&P 500 Index (^GSPC) at 5.37%. This indicates that EDPFY'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.

Volatility by Period

	EDPFY	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.09%	5.37%	+2.72%
Volatility (6M) Calculated over the trailing 6-month period	18.18%	9.55%	+8.63%
Volatility (1Y) Calculated over the trailing 1-year period	26.43%	18.33%	+8.10%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	26.90%	16.90%	+10.00%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	27.81%	18.05%	+9.76%