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EL vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EL and SPY is 0.47, 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.


-0.50.00.51.00.5

Performance

EL vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in The Estee Lauder Companies Inc. (EL) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

800.00%1,000.00%1,200.00%1,400.00%1,600.00%JulyAugustSeptemberOctoberNovemberDecember
1,074.76%
1,538.52%
EL
SPY

Key characteristics

Sharpe Ratio

EL:

-1.08

SPY:

2.21

Sortino Ratio

EL:

-1.59

SPY:

2.93

Omega Ratio

EL:

0.79

SPY:

1.41

Calmar Ratio

EL:

-0.57

SPY:

3.26

Martin Ratio

EL:

-1.44

SPY:

14.43

Ulcer Index

EL:

32.63%

SPY:

1.90%

Daily Std Dev

EL:

43.71%

SPY:

12.41%

Max Drawdown

EL:

-82.39%

SPY:

-55.19%

Current Drawdown

EL:

-79.03%

SPY:

-2.74%

Returns By Period

In the year-to-date period, EL achieves a -48.03% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, EL has underperformed SPY with an annualized return of 0.78%, while SPY has yielded a comparatively higher 12.97% annualized return.


EL

YTD

-48.03%

1M

14.36%

6M

-33.89%

1Y

-47.74%

5Y*

-17.53%

10Y*

0.78%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

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Risk-Adjusted Performance

EL vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Estee Lauder Companies Inc. (EL) and SPDR S&P 500 ETF (SPY). 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 EL, currently valued at -1.08, compared to the broader market-4.00-2.000.002.00-1.082.21
The chart of Sortino ratio for EL, currently valued at -1.59, compared to the broader market-4.00-2.000.002.004.00-1.592.93
The chart of Omega ratio for EL, currently valued at 0.79, compared to the broader market0.501.001.502.000.791.41
The chart of Calmar ratio for EL, currently valued at -0.57, compared to the broader market0.002.004.006.00-0.573.26
The chart of Martin ratio for EL, currently valued at -1.44, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.4414.43
EL
SPY

The current EL Sharpe Ratio is -1.08, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of EL and SPY, 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 Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-1.08
2.21
EL
SPY

Dividends

EL vs. SPY - Dividend Comparison

EL's dividend yield for the trailing twelve months is around 3.13%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
EL
The Estee Lauder Companies Inc.
3.13%1.81%0.99%0.59%0.56%0.86%1.21%1.10%1.62%1.16%1.10%0.98%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

EL vs. SPY - Drawdown Comparison

The maximum EL drawdown since its inception was -82.39%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for EL and SPY. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-79.03%
-2.74%
EL
SPY

Volatility

EL vs. SPY - Volatility Comparison

The Estee Lauder Companies Inc. (EL) has a higher volatility of 11.07% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that EL's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
11.07%
3.72%
EL
SPY
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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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