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

Correlation

The correlation between FGSAX and ^GSPC is 0.86, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

FGSAX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Federated Hermes MDT Mid Cap Growth Fund (FGSAX) and S&P 500 (^GSPC). 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
485.07%
2,429.90%
FGSAX
^GSPC

Key characteristics

Sharpe Ratio

FGSAX:

1.99

^GSPC:

2.10

Sortino Ratio

FGSAX:

2.56

^GSPC:

2.80

Omega Ratio

FGSAX:

1.37

^GSPC:

1.39

Calmar Ratio

FGSAX:

1.04

^GSPC:

3.09

Martin Ratio

FGSAX:

11.65

^GSPC:

13.49

Ulcer Index

FGSAX:

2.87%

^GSPC:

1.94%

Daily Std Dev

FGSAX:

16.80%

^GSPC:

12.52%

Max Drawdown

FGSAX:

-68.55%

^GSPC:

-56.78%

Current Drawdown

FGSAX:

-9.61%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, FGSAX achieves a 30.98% return, which is significantly higher than ^GSPC's 24.34% return. Over the past 10 years, FGSAX has underperformed ^GSPC with an annualized return of 3.08%, while ^GSPC has yielded a comparatively higher 11.06% annualized return.


FGSAX

YTD

30.98%

1M

-4.32%

6M

17.77%

1Y

31.47%

5Y*

8.27%

10Y*

3.08%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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Risk-Adjusted Performance

FGSAX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Federated Hermes MDT Mid Cap Growth Fund (FGSAX) 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 FGSAX, currently valued at 1.99, compared to the broader market-1.000.001.002.003.004.001.992.10
The chart of Sortino ratio for FGSAX, currently valued at 2.56, compared to the broader market-2.000.002.004.006.008.0010.002.562.80
The chart of Omega ratio for FGSAX, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.003.501.371.39
The chart of Calmar ratio for FGSAX, currently valued at 1.04, compared to the broader market0.002.004.006.008.0010.0012.0014.001.043.09
The chart of Martin ratio for FGSAX, currently valued at 11.65, compared to the broader market0.0020.0040.0060.0011.6513.49
FGSAX
^GSPC

The current FGSAX Sharpe Ratio is 1.99, which is comparable to the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of FGSAX 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 Ratio0.501.001.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
1.99
2.10
FGSAX
^GSPC

Drawdowns

FGSAX vs. ^GSPC - Drawdown Comparison

The maximum FGSAX drawdown since its inception was -68.55%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for FGSAX and ^GSPC. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.61%
-2.62%
FGSAX
^GSPC

Volatility

FGSAX vs. ^GSPC - Volatility Comparison

Federated Hermes MDT Mid Cap Growth Fund (FGSAX) has a higher volatility of 8.28% compared to S&P 500 (^GSPC) at 3.79%. This indicates that FGSAX'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%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
8.28%
3.79%
FGSAX
^GSPC
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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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