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ENSG vs. ^SP500TR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ENSG and ^SP500TR is 0.44, 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.


Performance

ENSG vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in The Ensign Group, Inc. (ENSG) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

ENSG:

0.99

^SP500TR:

0.72

Sortino Ratio

ENSG:

1.47

^SP500TR:

1.20

Omega Ratio

ENSG:

1.20

^SP500TR:

1.18

Calmar Ratio

ENSG:

1.15

^SP500TR:

0.81

Martin Ratio

ENSG:

2.52

^SP500TR:

3.11

Ulcer Index

ENSG:

10.71%

^SP500TR:

4.87%

Daily Std Dev

ENSG:

26.26%

^SP500TR:

19.61%

Max Drawdown

ENSG:

-55.56%

^SP500TR:

-55.25%

Current Drawdown

ENSG:

-4.47%

^SP500TR:

-2.70%

Returns By Period

In the year-to-date period, ENSG achieves a 12.77% return, which is significantly higher than ^SP500TR's 1.81% return. Over the past 10 years, ENSG has outperformed ^SP500TR with an annualized return of 21.87%, while ^SP500TR has yielded a comparatively lower 12.87% annualized return.


ENSG

YTD

12.77%

1M

17.01%

6M

4.46%

1Y

25.24%

5Y*

30.62%

10Y*

21.87%

^SP500TR

YTD

1.81%

1M

12.91%

6M

2.19%

1Y

13.85%

5Y*

17.16%

10Y*

12.87%

*Annualized

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Risk-Adjusted Performance

ENSG vs. ^SP500TR — Risk-Adjusted Performance Rank

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

ENSG
The Risk-Adjusted Performance Rank of ENSG is 7979
Overall Rank
The Sharpe Ratio Rank of ENSG is 8484
Sharpe Ratio Rank
The Sortino Ratio Rank of ENSG is 7676
Sortino Ratio Rank
The Omega Ratio Rank of ENSG is 7676
Omega Ratio Rank
The Calmar Ratio Rank of ENSG is 8585
Calmar Ratio Rank
The Martin Ratio Rank of ENSG is 7676
Martin Ratio Rank

^SP500TR
The Risk-Adjusted Performance Rank of ^SP500TR is 8282
Overall Rank
The Sharpe Ratio Rank of ^SP500TR is 7878
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SP500TR is 7979
Sortino Ratio Rank
The Omega Ratio Rank of ^SP500TR is 8484
Omega Ratio Rank
The Calmar Ratio Rank of ^SP500TR is 8585
Calmar Ratio Rank
The Martin Ratio Rank of ^SP500TR is 8484
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

ENSG vs. ^SP500TR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Ensign Group, Inc. (ENSG) and S&P 500 Total Return (^SP500TR). 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.


The current ENSG Sharpe Ratio is 0.99, which is higher than the ^SP500TR Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of ENSG and ^SP500TR, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

ENSG vs. ^SP500TR - Drawdown Comparison

The maximum ENSG drawdown since its inception was -55.56%, roughly equal to the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for ENSG and ^SP500TR. For additional features, visit the drawdowns tool.


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Volatility

ENSG vs. ^SP500TR - Volatility Comparison

The Ensign Group, Inc. (ENSG) has a higher volatility of 9.16% compared to S&P 500 Total Return (^SP500TR) at 5.42%. This indicates that ENSG's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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