EXPD vs. ^GSPC
Compare and contrast key facts about Expeditors International of Washington, Inc. (EXPD) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EXPD or ^GSPC.
Performance
EXPD vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, EXPD achieves a -4.53% return, which is significantly lower than ^GSPC's 24.72% return. Over the past 10 years, EXPD has outperformed ^GSPC with an annualized return of 11.97%, while ^GSPC has yielded a comparatively lower 11.16% annualized return.
EXPD
-4.53%
0.42%
4.06%
3.46%
11.16%
11.97%
^GSPC
24.72%
1.67%
12.93%
30.55%
13.88%
11.16%
Key characteristics
| EXPD | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 0.18 | 2.54 |
| Sortino Ratio | 0.37 | 3.40 |
| Omega Ratio | 1.05 | 1.47 |
| Calmar Ratio | 0.23 | 3.66 |
| Martin Ratio | 0.53 | 16.26 |
| Ulcer Index | 6.80% | 1.91% |
| Daily Std Dev | 19.68% | 12.23% |
| Max Drawdown | -58.07% | -56.78% |
| Current Drawdown | -8.30% | -0.88% |
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Correlation
The correlation between EXPD and ^GSPC is 0.46, 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.
Risk-Adjusted Performance
EXPD vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Expeditors International of Washington, Inc. (EXPD) 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
EXPD vs. ^GSPC - Drawdown Comparison
The maximum EXPD drawdown since its inception was -58.07%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for EXPD and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
EXPD vs. ^GSPC - Volatility Comparison
Expeditors International of Washington, Inc. (EXPD) has a higher volatility of 4.32% compared to S&P 500 (^GSPC) at 3.96%. This indicates that EXPD'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.