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FBP vs. ^SP500TR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between FBP and ^SP500TR is 0.41, 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.


-0.50.00.51.00.4

Performance

FBP vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First BanCorp. (FBP) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

500.00%1,000.00%1,500.00%2,000.00%2,500.00%JulyAugustSeptemberOctoberNovemberDecember
474.25%
2,644.99%
FBP
^SP500TR

Key characteristics

Sharpe Ratio

FBP:

0.51

^SP500TR:

2.23

Sortino Ratio

FBP:

0.99

^SP500TR:

2.97

Omega Ratio

FBP:

1.12

^SP500TR:

1.42

Calmar Ratio

FBP:

0.16

^SP500TR:

3.31

Martin Ratio

FBP:

2.85

^SP500TR:

14.64

Ulcer Index

FBP:

5.39%

^SP500TR:

1.91%

Daily Std Dev

FBP:

29.98%

^SP500TR:

12.52%

Max Drawdown

FBP:

-99.51%

^SP500TR:

-55.25%

Current Drawdown

FBP:

-94.86%

^SP500TR:

-2.57%

Returns By Period

In the year-to-date period, FBP achieves a 15.59% return, which is significantly lower than ^SP500TR's 26.03% return. Over the past 10 years, FBP has outperformed ^SP500TR with an annualized return of 14.09%, while ^SP500TR has yielded a comparatively lower 13.10% annualized return.


FBP

YTD

15.59%

1M

-10.49%

6M

6.75%

1Y

15.03%

5Y*

14.81%

10Y*

14.09%

^SP500TR

YTD

26.03%

1M

0.36%

6M

9.25%

1Y

26.67%

5Y*

14.81%

10Y*

13.10%

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Risk-Adjusted Performance

FBP vs. ^SP500TR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First BanCorp. (FBP) and S&P 500 Total Return (^SP500TR). 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 FBP, currently valued at 0.51, compared to the broader market-4.00-2.000.002.000.512.23
The chart of Sortino ratio for FBP, currently valued at 0.99, compared to the broader market-4.00-2.000.002.004.000.992.97
The chart of Omega ratio for FBP, currently valued at 1.12, compared to the broader market0.501.001.502.001.121.42
The chart of Calmar ratio for FBP, currently valued at 0.16, compared to the broader market0.002.004.006.000.163.31
The chart of Martin ratio for FBP, currently valued at 2.85, compared to the broader market-5.000.005.0010.0015.0020.0025.002.8514.64
FBP
^SP500TR

The current FBP Sharpe Ratio is 0.51, which is lower than the ^SP500TR Sharpe Ratio of 2.23. The chart below compares the historical Sharpe Ratios of FBP and ^SP500TR, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.51
2.23
FBP
^SP500TR

Drawdowns

FBP vs. ^SP500TR - Drawdown Comparison

The maximum FBP drawdown since its inception was -99.51%, which is greater than ^SP500TR's maximum drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for FBP and ^SP500TR. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-94.86%
-2.57%
FBP
^SP500TR

Volatility

FBP vs. ^SP500TR - Volatility Comparison

First BanCorp. (FBP) has a higher volatility of 6.88% compared to S&P 500 Total Return (^SP500TR) at 3.79%. This indicates that FBP's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
6.88%
3.79%
FBP
^SP500TR
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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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