EDPFY vs. ^GSPC
Compare and contrast key facts about EDP Energias de Portugal SA ADR (EDPFY) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EDPFY or ^GSPC.
Key characteristics
| EDPFY | ^GSPC | |
|---|---|---|
| YTD Return | -4.09% | 17.95% |
| 1Y Return | 6.41% | 24.88% |
| 3Y Return (Ann) | -2.81% | 8.21% |
| 5Y Return (Ann) | 9.57% | 13.37% |
| 10Y Return (Ann) | 6.31% | 10.92% |
| Sharpe Ratio | 0.36 | 2.03 |
| Daily Std Dev | 27.17% | 12.77% |
| Max Drawdown | -67.14% | -56.78% |
| Current Drawdown | -21.09% | -0.73% |
Correlation
The correlation between EDPFY and ^GSPC is 0.23, 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
EDPFY vs. ^GSPC - Performance Comparison
In the year-to-date period, EDPFY achieves a -4.09% return, which is significantly lower than ^GSPC's 17.95% return. Over the past 10 years, EDPFY has underperformed ^GSPC with an annualized return of 6.31%, while ^GSPC has yielded a comparatively higher 10.92% 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
EDPFY vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for EDP Energias de Portugal SA ADR (EDPFY) 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
EDPFY vs. ^GSPC - Drawdown Comparison
The maximum EDPFY drawdown since its inception was -67.14%, 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. For additional features, visit the drawdowns tool.
Volatility
EDPFY vs. ^GSPC - Volatility Comparison
EDP Energias de Portugal SA ADR (EDPFY) has a higher volatility of 5.33% compared to S&P 500 (^GSPC) at 4.36%. 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.