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FAST vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


FAST^GSPC
YTD Return31.55%25.70%
1Y Return45.01%37.91%
3Y Return (Ann)15.31%8.59%
5Y Return (Ann)20.77%14.18%
10Y Return (Ann)17.28%11.41%
Sharpe Ratio1.932.97
Sortino Ratio3.003.97
Omega Ratio1.401.56
Calmar Ratio2.193.93
Martin Ratio4.4719.39
Ulcer Index9.99%1.90%
Daily Std Dev23.19%12.38%
Max Drawdown-63.43%-56.78%
Current Drawdown-0.29%0.00%

Correlation

-0.50.00.51.00.5

The correlation between FAST 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.

Performance

FAST vs. ^GSPC - Performance Comparison

In the year-to-date period, FAST achieves a 31.55% return, which is significantly higher than ^GSPC's 25.70% return. Over the past 10 years, FAST has outperformed ^GSPC with an annualized return of 17.28%, while ^GSPC has yielded a comparatively lower 11.41% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%10,000.00%20,000.00%30,000.00%40,000.00%JuneJulyAugustSeptemberOctoberNovember
42,699.18%
1,675.77%
FAST
^GSPC

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Risk-Adjusted Performance

FAST vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Fastenal Company (FAST) 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.


FAST
Sharpe ratio
The chart of Sharpe ratio for FAST, currently valued at 1.93, compared to the broader market-4.00-2.000.002.004.001.93
Sortino ratio
The chart of Sortino ratio for FAST, currently valued at 3.00, compared to the broader market-4.00-2.000.002.004.006.003.00
Omega ratio
The chart of Omega ratio for FAST, currently valued at 1.40, compared to the broader market0.501.001.502.001.40
Calmar ratio
The chart of Calmar ratio for FAST, currently valued at 2.19, compared to the broader market0.002.004.006.002.19
Martin ratio
The chart of Martin ratio for FAST, currently valued at 4.47, compared to the broader market0.0010.0020.0030.004.47
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.97, compared to the broader market-4.00-2.000.002.004.002.97
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.97, compared to the broader market-4.00-2.000.002.004.006.003.97
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.56, compared to the broader market0.501.001.502.001.56
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.93, compared to the broader market0.002.004.006.003.93
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 19.39, compared to the broader market0.0010.0020.0030.0019.39

FAST vs. ^GSPC - Sharpe Ratio Comparison

The current FAST Sharpe Ratio is 1.93, which is lower than the ^GSPC Sharpe Ratio of 2.97. The chart below compares the historical Sharpe Ratios of FAST and ^GSPC, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.93
2.97
FAST
^GSPC

Drawdowns

FAST vs. ^GSPC - Drawdown Comparison

The maximum FAST drawdown since its inception was -63.43%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for FAST and ^GSPC. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.29%
0
FAST
^GSPC

Volatility

FAST vs. ^GSPC - Volatility Comparison

Fastenal Company (FAST) has a higher volatility of 11.56% compared to S&P 500 (^GSPC) at 3.92%. This indicates that FAST'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.


2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
11.56%
3.92%
FAST
^GSPC