HEN3.DE vs. ^GSPC
Compare and contrast key facts about Henkel AG & Co. KGaA (HEN3.DE) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: HEN3.DE or ^GSPC.
Performance
HEN3.DE vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, HEN3.DE achieves a 11.35% return, which is significantly lower than ^GSPC's 23.56% return. Over the past 10 years, HEN3.DE has underperformed ^GSPC with an annualized return of 1.46%, while ^GSPC has yielded a comparatively higher 11.10% annualized return.
HEN3.DE
11.35%
-6.77%
-6.43%
13.81%
-0.67%
1.46%
^GSPC
23.56%
0.49%
11.03%
30.56%
13.70%
11.10%
Key characteristics
| HEN3.DE | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 0.91 | 2.51 |
| Sortino Ratio | 1.53 | 3.36 |
| Omega Ratio | 1.18 | 1.47 |
| Calmar Ratio | 0.38 | 3.62 |
| Martin Ratio | 3.47 | 16.12 |
| Ulcer Index | 4.14% | 1.91% |
| Daily Std Dev | 15.83% | 12.27% |
| Max Drawdown | -56.29% | -56.78% |
| Current Drawdown | -26.26% | -1.80% |
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Correlation
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.
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.
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.
Volatility
HEN3.DE vs. ^GSPC - Volatility Comparison
Henkel AG & Co. KGaA (HEN3.DE) has a higher volatility of 6.04% compared to S&P 500 (^GSPC) at 4.06%. 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.