PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ENV vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ENV and ^GSPC is 0.52, 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

ENV vs. ^GSPC - Performance Comparison

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

-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember2025
2.50%
8.93%
ENV
^GSPC

Key characteristics

Returns By Period


ENV

YTD

N/A

1M

N/A

6M

N/A

1Y

N/A

5Y*

N/A

10Y*

N/A

^GSPC

YTD

1.96%

1M

2.12%

6M

8.93%

1Y

25.43%

5Y*

12.52%

10Y*

11.51%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

ENV vs. ^GSPC — Risk-Adjusted Performance Rank

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

ENV
The Risk-Adjusted Performance Rank of ENV is 9393
Overall Rank
The Sharpe Ratio Rank of ENV is 9797
Sharpe Ratio Rank
The Sortino Ratio Rank of ENV is 9797
Sortino Ratio Rank
The Omega Ratio Rank of ENV is 9797
Omega Ratio Rank
The Calmar Ratio Rank of ENV is 8383
Calmar Ratio Rank
The Martin Ratio Rank of ENV is 9292
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 9292
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 9090
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 8989
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 9292
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 9393
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 9595
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.

ENV vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Envestnet, Inc. (ENV) 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 ENV, currently valued at 1.28, compared to the broader market-2.000.002.004.001.282.06
The chart of Sortino ratio for ENV, currently valued at 2.12, compared to the broader market-4.00-2.000.002.004.002.122.74
The chart of Omega ratio for ENV, currently valued at 1.35, compared to the broader market0.501.001.502.001.351.38
The chart of Calmar ratio for ENV, currently valued at 0.64, compared to the broader market0.002.004.006.000.643.13
The chart of Martin ratio for ENV, currently valued at 3.76, compared to the broader market-10.000.0010.0020.003.7612.84
ENV
^GSPC


Rolling 12-month Sharpe Ratio0.001.002.003.00AugustSeptemberOctoberNovemberDecember2025
1.28
2.06
ENV
^GSPC

Drawdowns

ENV vs. ^GSPC - Drawdown Comparison


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-29.09%
-1.54%
ENV
^GSPC

Volatility

ENV vs. ^GSPC - Volatility Comparison

The current volatility for Envestnet, Inc. (ENV) is 0.00%, while S&P 500 (^GSPC) has a volatility of 5.07%. This indicates that ENV experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%6.00%AugustSeptemberOctoberNovemberDecember20250
5.07%
ENV
^GSPC
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2025 PortfoliosLab