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EXPD vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EXPD and SPY is 0.49, 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

EXPD vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Expeditors International of Washington, Inc. (EXPD) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-12.19%
9.85%
EXPD
SPY

Key characteristics

Sharpe Ratio

EXPD:

-0.59

SPY:

2.21

Sortino Ratio

EXPD:

-0.69

SPY:

2.93

Omega Ratio

EXPD:

0.91

SPY:

1.41

Calmar Ratio

EXPD:

-0.73

SPY:

3.26

Martin Ratio

EXPD:

-1.60

SPY:

14.40

Ulcer Index

EXPD:

7.33%

SPY:

1.90%

Daily Std Dev

EXPD:

19.67%

SPY:

12.44%

Max Drawdown

EXPD:

-58.07%

SPY:

-55.19%

Current Drawdown

EXPD:

-15.54%

SPY:

-1.83%

Returns By Period

In the year-to-date period, EXPD achieves a -12.07% return, which is significantly lower than SPY's 26.72% return. Over the past 10 years, EXPD has underperformed SPY with an annualized return of 10.92%, while SPY has yielded a comparatively higher 13.04% annualized return.


EXPD

YTD

-12.07%

1M

-8.37%

6M

-12.45%

1Y

-13.24%

5Y*

8.68%

10Y*

10.92%

SPY

YTD

26.72%

1M

0.20%

6M

10.28%

1Y

27.17%

5Y*

14.87%

10Y*

13.04%

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Risk-Adjusted Performance

EXPD vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Expeditors International of Washington, Inc. (EXPD) 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.


Sharpe ratio
The chart of Sharpe ratio for EXPD, currently valued at -0.59, compared to the broader market-4.00-2.000.002.00-0.592.21
The chart of Sortino ratio for EXPD, currently valued at -0.69, compared to the broader market-4.00-2.000.002.004.00-0.692.93
The chart of Omega ratio for EXPD, currently valued at 0.91, compared to the broader market0.501.001.502.000.911.41
The chart of Calmar ratio for EXPD, currently valued at -0.73, compared to the broader market0.002.004.006.00-0.733.26
The chart of Martin ratio for EXPD, currently valued at -1.60, compared to the broader market0.0010.0020.00-1.6014.40
EXPD
SPY

The current EXPD Sharpe Ratio is -0.59, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of EXPD and SPY, 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 Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.59
2.21
EXPD
SPY

Dividends

EXPD vs. SPY - Dividend Comparison

EXPD's dividend yield for the trailing twelve months is around 1.32%, more than SPY's 1.19% yield.


TTM20232022202120202019201820172016201520142013
EXPD
Expeditors International of Washington, Inc.
1.32%1.08%1.29%0.86%1.09%1.28%1.32%1.30%1.51%1.60%1.43%1.36%
SPY
SPDR S&P 500 ETF
1.19%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

EXPD vs. SPY - Drawdown Comparison

The maximum EXPD drawdown since its inception was -58.07%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for EXPD and SPY. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-15.54%
-1.83%
EXPD
SPY

Volatility

EXPD vs. SPY - Volatility Comparison

The current volatility for Expeditors International of Washington, Inc. (EXPD) is 3.55%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.83%. This indicates that EXPD 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.55%
3.83%
EXPD
SPY
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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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