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HEN3.DE vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


HEN3.DE^GSPC
YTD Return16.08%10.00%
1Y Return9.55%26.85%
3Y Return (Ann)-2.21%7.95%
5Y Return (Ann)1.99%12.81%
10Y Return (Ann)1.93%10.84%
Sharpe Ratio0.512.35
Daily Std Dev15.92%11.56%
Max Drawdown-56.29%-56.78%
Current Drawdown-23.13%-0.15%

Correlation

-0.50.00.51.00.3

The correlation between HEN3.DE and ^GSPC is 0.25, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

HEN3.DE vs. ^GSPC - Performance Comparison

In the year-to-date period, HEN3.DE achieves a 16.08% return, which is significantly higher than ^GSPC's 10.00% return. Over the past 10 years, HEN3.DE has underperformed ^GSPC with an annualized return of 1.93%, while ^GSPC has yielded a comparatively higher 10.84% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


800.00%900.00%1,000.00%1,100.00%1,200.00%December2024FebruaryMarchAprilMay
1,169.71%
993.92%
HEN3.DE
^GSPC

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Henkel AG & Co. KGaA

S&P 500

Risk-Adjusted Performance

HEN3.DE vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Henkel AG & Co. KGaA (HEN3.DE) 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.


HEN3.DE
Sharpe ratio
The chart of Sharpe ratio for HEN3.DE, currently valued at 0.58, compared to the broader market-2.00-1.000.001.002.003.004.000.58
Sortino ratio
The chart of Sortino ratio for HEN3.DE, currently valued at 1.05, compared to the broader market-4.00-2.000.002.004.006.001.05
Omega ratio
The chart of Omega ratio for HEN3.DE, currently valued at 1.12, compared to the broader market0.501.001.502.001.12
Calmar ratio
The chart of Calmar ratio for HEN3.DE, currently valued at 0.23, compared to the broader market0.002.004.006.000.23
Martin ratio
The chart of Martin ratio for HEN3.DE, currently valued at 1.45, compared to the broader market-10.000.0010.0020.0030.001.45
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.33, compared to the broader market-2.00-1.000.001.002.003.004.002.33
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.31, compared to the broader market-4.00-2.000.002.004.006.003.31
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.501.001.502.001.41
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.87, compared to the broader market0.002.004.006.001.87
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.81, compared to the broader market-10.000.0010.0020.0030.008.81

HEN3.DE vs. ^GSPC - Sharpe Ratio Comparison

The current HEN3.DE Sharpe Ratio is 0.51, which is lower than the ^GSPC Sharpe Ratio of 2.35. The chart below compares the 12-month rolling Sharpe Ratio of HEN3.DE and ^GSPC.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00December2024FebruaryMarchAprilMay
0.58
2.33
HEN3.DE
^GSPC

Drawdowns

HEN3.DE vs. ^GSPC - Drawdown Comparison

The maximum HEN3.DE drawdown since its inception was -56.29%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for HEN3.DE and ^GSPC. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%December2024FebruaryMarchAprilMay
-25.44%
-0.15%
HEN3.DE
^GSPC

Volatility

HEN3.DE vs. ^GSPC - Volatility Comparison

Henkel AG & Co. KGaA (HEN3.DE) has a higher volatility of 7.89% compared to S&P 500 (^GSPC) at 3.35%. This indicates that HEN3.DE'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%December2024FebruaryMarchAprilMay
7.89%
3.35%
HEN3.DE
^GSPC