ENV vs. SPY
Compare and contrast key facts about Envestnet, Inc. (ENV) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ENV or SPY.
Key characteristics
| ENV | SPY | |
|---|---|---|
| YTD Return | 27.14% | 26.01% |
| 1Y Return | 67.14% | 33.73% |
| 3Y Return (Ann) | -8.79% | 9.91% |
| 5Y Return (Ann) | -0.62% | 15.54% |
| 10Y Return (Ann) | 1.77% | 13.25% |
| Sharpe Ratio | 2.70 | 2.82 |
| Sortino Ratio | 3.91 | 3.76 |
| Omega Ratio | 1.59 | 1.53 |
| Calmar Ratio | 1.32 | 4.05 |
| Martin Ratio | 11.31 | 18.33 |
| Ulcer Index | 6.86% | 1.86% |
| Daily Std Dev | 28.67% | 12.07% |
| Max Drawdown | -65.77% | -55.19% |
| Current Drawdown | -29.29% | -0.90% |
Correlation
The correlation between ENV and SPY is 0.53, 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
ENV vs. SPY - Performance Comparison
The year-to-date returns for both stocks are quite close, with ENV having a 27.14% return and SPY slightly lower at 26.01%. Over the past 10 years, ENV has underperformed SPY with an annualized return of 1.77%, while SPY has yielded a comparatively higher 13.25% 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
ENV vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Envestnet, Inc. (ENV) 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.
Dividends
ENV vs. SPY - Dividend Comparison
ENV has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.18%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ENV Envestnet, Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.18% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
ENV vs. SPY - Drawdown Comparison
The maximum ENV drawdown since its inception was -65.77%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ENV and SPY. For additional features, visit the drawdowns tool.
Volatility
ENV vs. SPY - Volatility Comparison
The current volatility for Envestnet, Inc. (ENV) is 0.37%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.84%. This indicates that ENV experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.