ENR.DE vs. ^GSPC
Compare and contrast key facts about Siemens Energy AG (ENR.DE) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ENR.DE or ^GSPC.
Key characteristics
| ENR.DE | ^GSPC | |
|---|---|---|
| YTD Return | 286.08% | 25.48% |
| 1Y Return | 352.00% | 33.14% |
| 3Y Return (Ann) | 23.73% | 8.55% |
| Sharpe Ratio | 6.26 | 2.91 |
| Sortino Ratio | 5.82 | 3.88 |
| Omega Ratio | 1.78 | 1.55 |
| Calmar Ratio | 4.29 | 4.20 |
| Martin Ratio | 49.57 | 18.80 |
| Ulcer Index | 5.98% | 1.90% |
| Daily Std Dev | 48.39% | 12.27% |
| Max Drawdown | -79.40% | -56.78% |
| Current Drawdown | 0.00% | -0.27% |
Correlation
The correlation between ENR.DE and ^GSPC is 0.35, 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
ENR.DE vs. ^GSPC - Performance Comparison
In the year-to-date period, ENR.DE achieves a 286.08% return, which is significantly higher than ^GSPC's 25.48% 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
ENR.DE vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Siemens Energy AG (ENR.DE) 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
ENR.DE vs. ^GSPC - Drawdown Comparison
The maximum ENR.DE drawdown since its inception was -79.40%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ENR.DE and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
ENR.DE vs. ^GSPC - Volatility Comparison
Siemens Energy AG (ENR.DE) has a higher volatility of 18.77% compared to S&P 500 (^GSPC) at 3.75%. This indicates that ENR.DE'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.