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

Key characteristics


GPN^GSPC
YTD Return-12.09%25.70%
1Y Return4.30%37.91%
3Y Return (Ann)-5.03%8.59%
5Y Return (Ann)-7.59%14.18%
10Y Return (Ann)10.61%11.41%
Sharpe Ratio0.062.97
Sortino Ratio0.293.97
Omega Ratio1.041.56
Calmar Ratio0.033.93
Martin Ratio0.0919.39
Ulcer Index19.24%1.90%
Daily Std Dev29.52%12.38%
Max Drawdown-56.97%-56.78%
Current Drawdown-47.96%0.00%

Correlation

-0.50.00.51.00.6

The correlation between GPN and ^GSPC is 0.56, 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

GPN vs. ^GSPC - Performance Comparison

In the year-to-date period, GPN achieves a -12.09% return, which is significantly lower than ^GSPC's 25.70% return. Over the past 10 years, GPN has underperformed ^GSPC with an annualized return of 10.61%, while ^GSPC has yielded a comparatively higher 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.


-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
2.02%
14.80%
GPN
^GSPC

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Risk-Adjusted Performance

GPN vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global Payments Inc. (GPN) 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.


GPN
Sharpe ratio
The chart of Sharpe ratio for GPN, currently valued at 0.06, compared to the broader market-4.00-2.000.002.004.000.06
Sortino ratio
The chart of Sortino ratio for GPN, currently valued at 0.29, compared to the broader market-4.00-2.000.002.004.006.000.29
Omega ratio
The chart of Omega ratio for GPN, currently valued at 1.04, compared to the broader market0.501.001.502.001.04
Calmar ratio
The chart of Calmar ratio for GPN, currently valued at 0.03, compared to the broader market0.002.004.006.000.03
Martin ratio
The chart of Martin ratio for GPN, currently valued at 0.09, compared to the broader market0.0010.0020.0030.000.09
^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

GPN vs. ^GSPC - Sharpe Ratio Comparison

The current GPN Sharpe Ratio is 0.06, which is lower than the ^GSPC Sharpe Ratio of 2.97. The chart below compares the historical Sharpe Ratios of GPN 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 Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.06
2.97
GPN
^GSPC

Drawdowns

GPN vs. ^GSPC - Drawdown Comparison

The maximum GPN drawdown since its inception was -56.97%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for GPN and ^GSPC. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-47.96%
0
GPN
^GSPC

Volatility

GPN vs. ^GSPC - Volatility Comparison

Global Payments Inc. (GPN) has a higher volatility of 10.36% compared to S&P 500 (^GSPC) at 3.92%. This indicates that GPN'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
10.36%
3.92%
GPN
^GSPC