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

Correlation

The correlation between GFL and SPY is 0.44, 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

GFL vs. SPY - Performance Comparison

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

80.00%100.00%120.00%140.00%160.00%180.00%JulyAugustSeptemberOctoberNovemberDecember
169.97%
111.66%
GFL
SPY

Key characteristics

Sharpe Ratio

GFL:

1.35

SPY:

2.21

Sortino Ratio

GFL:

2.10

SPY:

2.93

Omega Ratio

GFL:

1.25

SPY:

1.41

Calmar Ratio

GFL:

1.41

SPY:

3.26

Martin Ratio

GFL:

5.85

SPY:

14.43

Ulcer Index

GFL:

6.36%

SPY:

1.90%

Daily Std Dev

GFL:

27.67%

SPY:

12.41%

Max Drawdown

GFL:

-42.59%

SPY:

-55.19%

Current Drawdown

GFL:

-4.71%

SPY:

-2.74%

Returns By Period

In the year-to-date period, GFL achieves a 30.25% return, which is significantly higher than SPY's 25.54% return.


GFL

YTD

30.25%

1M

-0.86%

6M

17.08%

1Y

34.82%

5Y*

N/A

10Y*

N/A

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

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Risk-Adjusted Performance

GFL vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for GFL Environmental Inc. (GFL) 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 GFL, currently valued at 1.35, compared to the broader market-4.00-2.000.002.001.352.21
The chart of Sortino ratio for GFL, currently valued at 2.10, compared to the broader market-4.00-2.000.002.004.002.102.93
The chart of Omega ratio for GFL, currently valued at 1.25, compared to the broader market0.501.001.502.001.251.41
The chart of Calmar ratio for GFL, currently valued at 1.41, compared to the broader market0.002.004.006.001.413.26
The chart of Martin ratio for GFL, currently valued at 5.85, compared to the broader market-5.000.005.0010.0015.0020.0025.005.8514.43
GFL
SPY

The current GFL Sharpe Ratio is 1.35, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of GFL 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.35
2.21
GFL
SPY

Dividends

GFL vs. SPY - Dividend Comparison

GFL's dividend yield for the trailing twelve months is around 0.12%, less than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
GFL
GFL Environmental Inc.
0.12%0.15%0.50%0.11%0.10%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

GFL vs. SPY - Drawdown Comparison

The maximum GFL drawdown since its inception was -42.59%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for GFL and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.71%
-2.74%
GFL
SPY

Volatility

GFL vs. SPY - Volatility Comparison

GFL Environmental Inc. (GFL) has a higher volatility of 5.32% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that GFL's price experiences larger fluctuations and is considered to be riskier than SPY 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%14.00%JulyAugustSeptemberOctoberNovemberDecember
5.32%
3.72%
GFL
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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