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

Correlation

The correlation between ENB and ^GSPC is 0.32, 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.


-0.50.00.51.00.3

Performance

ENB vs. ^GSPC - Performance Comparison

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

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
20.36%
7.29%
ENB
^GSPC

Key characteristics

Sharpe Ratio

ENB:

1.54

^GSPC:

1.90

Sortino Ratio

ENB:

2.24

^GSPC:

2.54

Omega Ratio

ENB:

1.26

^GSPC:

1.35

Calmar Ratio

ENB:

1.03

^GSPC:

2.81

Martin Ratio

ENB:

6.94

^GSPC:

12.39

Ulcer Index

ENB:

3.22%

^GSPC:

1.93%

Daily Std Dev

ENB:

14.48%

^GSPC:

12.58%

Max Drawdown

ENB:

-46.35%

^GSPC:

-56.78%

Current Drawdown

ENB:

-7.79%

^GSPC:

-3.58%

Returns By Period

In the year-to-date period, ENB achieves a 20.61% return, which is significantly lower than ^GSPC's 23.11% return. Over the past 10 years, ENB has underperformed ^GSPC with an annualized return of 3.88%, while ^GSPC has yielded a comparatively higher 11.01% annualized return.


ENB

YTD

20.61%

1M

-4.84%

6M

20.19%

1Y

20.94%

5Y*

7.70%

10Y*

3.88%

^GSPC

YTD

23.11%

1M

-0.36%

6M

7.02%

1Y

23.15%

5Y*

12.80%

10Y*

11.01%

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Risk-Adjusted Performance

ENB vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Enbridge Inc. (ENB) 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 ENB, currently valued at 1.54, compared to the broader market-4.00-2.000.002.001.541.90
The chart of Sortino ratio for ENB, currently valued at 2.24, compared to the broader market-4.00-2.000.002.004.002.242.54
The chart of Omega ratio for ENB, currently valued at 1.26, compared to the broader market0.501.001.502.001.261.35
The chart of Calmar ratio for ENB, currently valued at 1.03, compared to the broader market0.002.004.006.001.032.81
The chart of Martin ratio for ENB, currently valued at 6.94, compared to the broader market0.0010.0020.006.9412.39
ENB
^GSPC

The current ENB Sharpe Ratio is 1.54, which is comparable to the ^GSPC Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of ENB 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.54
1.90
ENB
^GSPC

Drawdowns

ENB vs. ^GSPC - Drawdown Comparison

The maximum ENB drawdown since its inception was -46.35%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ENB and ^GSPC. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.79%
-3.58%
ENB
^GSPC

Volatility

ENB vs. ^GSPC - Volatility Comparison

Enbridge Inc. (ENB) has a higher volatility of 4.45% compared to S&P 500 (^GSPC) at 3.64%. This indicates that ENB'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
4.45%
3.64%
ENB
^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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