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

Key characteristics


INMDSPY
YTD Return-13.13%26.83%
1Y Return-7.87%34.88%
3Y Return (Ann)-40.95%10.16%
5Y Return (Ann)-4.82%15.71%
Sharpe Ratio-0.053.08
Sortino Ratio0.254.10
Omega Ratio1.031.58
Calmar Ratio-0.034.46
Martin Ratio-0.0920.22
Ulcer Index28.11%1.85%
Daily Std Dev46.07%12.18%
Max Drawdown-84.79%-55.19%
Current Drawdown-80.26%-0.26%

Correlation

-0.50.00.51.00.5

The correlation between INMD and SPY is 0.51, 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.

Performance

INMD vs. SPY - Performance Comparison

In the year-to-date period, INMD achieves a -13.13% return, which is significantly lower than SPY's 26.83% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-10.00%0.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.49%
13.43%
INMD
SPY

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Risk-Adjusted Performance

INMD vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for InMode Ltd. (INMD) 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.


INMD
Sharpe ratio
The chart of Sharpe ratio for INMD, currently valued at -0.05, compared to the broader market-4.00-2.000.002.004.00-0.05
Sortino ratio
The chart of Sortino ratio for INMD, currently valued at 0.24, compared to the broader market-4.00-2.000.002.004.006.000.25
Omega ratio
The chart of Omega ratio for INMD, currently valued at 1.03, compared to the broader market0.501.001.502.001.03
Calmar ratio
The chart of Calmar ratio for INMD, currently valued at -0.03, compared to the broader market0.002.004.006.00-0.03
Martin ratio
The chart of Martin ratio for INMD, currently valued at -0.09, compared to the broader market0.0010.0020.0030.00-0.09
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

INMD vs. SPY - Sharpe Ratio Comparison

The current INMD Sharpe Ratio is -0.05, which is lower than the SPY Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of INMD 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-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-0.05
3.08
INMD
SPY

Dividends

INMD vs. SPY - Dividend Comparison

INMD has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.17%.


TTM20232022202120202019201820172016201520142013
INMD
InMode Ltd.
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
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

INMD vs. SPY - Drawdown Comparison

The maximum INMD drawdown since its inception was -84.79%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for INMD and SPY. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-80.26%
-0.26%
INMD
SPY

Volatility

INMD vs. SPY - Volatility Comparison

InMode Ltd. (INMD) has a higher volatility of 10.99% compared to SPDR S&P 500 ETF (SPY) at 3.77%. This indicates that INMD'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%JuneJulyAugustSeptemberOctoberNovember
10.99%
3.77%
INMD
SPY