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HUM vs. ^SP500TR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between HUM and ^SP500TR is 0.36, 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.


-0.50.00.51.00.4

Performance

HUM vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Humana Inc. (HUM) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

-30.00%-20.00%-10.00%0.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-30.12%
9.25%
HUM
^SP500TR

Key characteristics

Sharpe Ratio

HUM:

-1.10

^SP500TR:

2.23

Sortino Ratio

HUM:

-1.46

^SP500TR:

2.97

Omega Ratio

HUM:

0.77

^SP500TR:

1.42

Calmar Ratio

HUM:

-0.78

^SP500TR:

3.31

Martin Ratio

HUM:

-1.51

^SP500TR:

14.64

Ulcer Index

HUM:

29.59%

^SP500TR:

1.91%

Daily Std Dev

HUM:

40.86%

^SP500TR:

12.52%

Max Drawdown

HUM:

-85.10%

^SP500TR:

-55.25%

Current Drawdown

HUM:

-55.36%

^SP500TR:

-2.57%

Returns By Period

In the year-to-date period, HUM achieves a -45.61% return, which is significantly lower than ^SP500TR's 26.03% return. Over the past 10 years, HUM has underperformed ^SP500TR with an annualized return of 6.27%, while ^SP500TR has yielded a comparatively higher 13.10% annualized return.


HUM

YTD

-45.61%

1M

-15.94%

6M

-30.12%

1Y

-45.03%

5Y*

-7.03%

10Y*

6.27%

^SP500TR

YTD

26.03%

1M

0.36%

6M

9.25%

1Y

26.67%

5Y*

14.81%

10Y*

13.10%

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Risk-Adjusted Performance

HUM vs. ^SP500TR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Humana Inc. (HUM) and S&P 500 Total Return (^SP500TR). 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 HUM, currently valued at -1.10, compared to the broader market-4.00-2.000.002.00-1.102.23
The chart of Sortino ratio for HUM, currently valued at -1.46, compared to the broader market-4.00-2.000.002.004.00-1.462.97
The chart of Omega ratio for HUM, currently valued at 0.77, compared to the broader market0.501.001.502.000.771.42
The chart of Calmar ratio for HUM, currently valued at -0.78, compared to the broader market0.002.004.006.00-0.783.31
The chart of Martin ratio for HUM, currently valued at -1.51, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.5114.64
HUM
^SP500TR

The current HUM Sharpe Ratio is -1.10, which is lower than the ^SP500TR Sharpe Ratio of 2.23. The chart below compares the historical Sharpe Ratios of HUM and ^SP500TR, 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
-1.10
2.23
HUM
^SP500TR

Drawdowns

HUM vs. ^SP500TR - Drawdown Comparison

The maximum HUM drawdown since its inception was -85.10%, which is greater than ^SP500TR's maximum drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for HUM and ^SP500TR. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-55.36%
-2.57%
HUM
^SP500TR

Volatility

HUM vs. ^SP500TR - Volatility Comparison

Humana Inc. (HUM) has a higher volatility of 14.21% compared to S&P 500 Total Return (^SP500TR) at 3.79%. This indicates that HUM's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
14.21%
3.79%
HUM
^SP500TR
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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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