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

Correlation

The correlation between GXO and SPY is 0.57, 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.


-0.50.00.51.00.6

Performance

GXO vs. SPY - Performance Comparison

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

-20.00%-10.00%0.00%10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
-17.23%
41.15%
GXO
SPY

Key characteristics

Sharpe Ratio

GXO:

-0.73

SPY:

2.03

Sortino Ratio

GXO:

-0.95

SPY:

2.71

Omega Ratio

GXO:

0.88

SPY:

1.38

Calmar Ratio

GXO:

-0.47

SPY:

3.02

Martin Ratio

GXO:

-1.56

SPY:

13.49

Ulcer Index

GXO:

16.84%

SPY:

1.88%

Daily Std Dev

GXO:

35.93%

SPY:

12.48%

Max Drawdown

GXO:

-67.94%

SPY:

-55.19%

Current Drawdown

GXO:

-56.44%

SPY:

-3.54%

Returns By Period

In the year-to-date period, GXO achieves a -26.24% return, which is significantly lower than SPY's 24.51% return.


GXO

YTD

-26.24%

1M

-23.22%

6M

-4.35%

1Y

-27.97%

5Y*

N/A

10Y*

N/A

SPY

YTD

24.51%

1M

-0.32%

6M

7.56%

1Y

24.63%

5Y*

14.51%

10Y*

12.94%

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

GXO vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for GXO Logistics, Inc. (GXO) 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 GXO, currently valued at -0.73, compared to the broader market-4.00-2.000.002.00-0.732.03
The chart of Sortino ratio for GXO, currently valued at -0.95, compared to the broader market-4.00-2.000.002.004.00-0.952.71
The chart of Omega ratio for GXO, currently valued at 0.88, compared to the broader market0.501.001.502.000.881.38
The chart of Calmar ratio for GXO, currently valued at -0.47, compared to the broader market0.002.004.006.00-0.473.02
The chart of Martin ratio for GXO, currently valued at -1.56, compared to the broader market0.0010.0020.00-1.5613.49
GXO
SPY

The current GXO Sharpe Ratio is -0.73, which is lower than the SPY Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of GXO 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 Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.73
2.03
GXO
SPY

Dividends

GXO vs. SPY - Dividend Comparison

GXO has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 0.87%.


TTM20232022202120202019201820172016201520142013
GXO
GXO Logistics, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.87%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

GXO vs. SPY - Drawdown Comparison

The maximum GXO drawdown since its inception was -67.94%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for GXO and SPY. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-56.44%
-3.54%
GXO
SPY

Volatility

GXO vs. SPY - Volatility Comparison

GXO Logistics, Inc. (GXO) has a higher volatility of 15.73% compared to SPDR S&P 500 ETF (SPY) at 3.64%. This indicates that GXO'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.


0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
15.73%
3.64%
GXO
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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