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

Key characteristics


IMOSPY
YTD Return29.99%26.83%
1Y Return31.38%34.88%
3Y Return (Ann)31.15%10.16%
5Y Return (Ann)26.76%15.71%
10Y Return (Ann)6.66%13.33%
Sharpe Ratio1.223.08
Sortino Ratio1.754.10
Omega Ratio1.211.58
Calmar Ratio2.224.46
Martin Ratio5.5620.22
Ulcer Index5.75%1.85%
Daily Std Dev26.20%12.18%
Max Drawdown-84.96%-55.19%
Current Drawdown-7.95%-0.26%

Correlation

-0.50.00.51.00.4

The correlation between IMO and SPY 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.

Performance

IMO vs. SPY - Performance Comparison

In the year-to-date period, IMO achieves a 29.99% return, which is significantly higher than SPY's 26.83% return. Over the past 10 years, IMO has underperformed SPY with an annualized return of 6.66%, while SPY has yielded a comparatively higher 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
6.66%
13.43%
IMO
SPY

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Risk-Adjusted Performance

IMO vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Imperial Oil Limited (IMO) 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.


IMO
Sharpe ratio
The chart of Sharpe ratio for IMO, currently valued at 1.22, compared to the broader market-4.00-2.000.002.004.001.22
Sortino ratio
The chart of Sortino ratio for IMO, currently valued at 1.75, compared to the broader market-4.00-2.000.002.004.006.001.75
Omega ratio
The chart of Omega ratio for IMO, currently valued at 1.21, compared to the broader market0.501.001.502.001.21
Calmar ratio
The chart of Calmar ratio for IMO, currently valued at 2.22, compared to the broader market0.002.004.006.002.22
Martin ratio
The chart of Martin ratio for IMO, currently valued at 5.56, compared to the broader market0.0010.0020.0030.005.56
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.08, compared to the broader market-4.00-2.000.002.004.003.08
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.10, compared to the broader market-4.00-2.000.002.004.006.004.10
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market0.501.001.502.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.46, compared to the broader market0.002.004.006.004.46
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.22, compared to the broader market0.0010.0020.0030.0020.22

IMO vs. SPY - Sharpe Ratio Comparison

The current IMO Sharpe Ratio is 1.22, which is lower than the SPY Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of IMO 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.22
3.08
IMO
SPY

Dividends

IMO vs. SPY - Dividend Comparison

IMO's dividend yield for the trailing twelve months is around 2.32%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
IMO
Imperial Oil Limited
2.32%2.50%2.30%2.28%3.50%2.41%2.39%1.55%1.39%1.29%1.70%1.06%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

IMO vs. SPY - Drawdown Comparison

The maximum IMO drawdown since its inception was -84.96%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for IMO and SPY. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.95%
-0.26%
IMO
SPY

Volatility

IMO vs. SPY - Volatility Comparison

Imperial Oil Limited (IMO) has a higher volatility of 7.75% compared to SPDR S&P 500 ETF (SPY) at 3.77%. This indicates that IMO'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.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.75%
3.77%
IMO
SPY