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INMD vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

INMD vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in InMode Ltd. (INMD) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-4.50%
11.49%
INMD
^GSPC

Returns By Period

In the year-to-date period, INMD achieves a -17.99% return, which is significantly lower than ^GSPC's 24.05% return.


INMD

YTD

-17.99%

1M

1.73%

6M

-4.50%

1Y

-18.93%

5Y (annualized)

-2.58%

10Y (annualized)

N/A

^GSPC

YTD

24.05%

1M

1.08%

6M

11.50%

1Y

30.38%

5Y (annualized)

13.77%

10Y (annualized)

11.13%

Key characteristics


INMD^GSPC
Sharpe Ratio-0.422.46
Sortino Ratio-0.333.31
Omega Ratio0.961.46
Calmar Ratio-0.233.55
Martin Ratio-0.6815.76
Ulcer Index28.46%1.91%
Daily Std Dev45.64%12.23%
Max Drawdown-84.79%-56.78%
Current Drawdown-81.36%-1.40%

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Correlation

-0.50.00.51.00.5

The correlation between INMD and ^GSPC 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.

Risk-Adjusted Performance

INMD vs. ^GSPC - Risk-Adjusted Performance Comparison

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


Sharpe ratio
The chart of Sharpe ratio for INMD, currently valued at -0.42, compared to the broader market-4.00-2.000.002.004.00-0.422.46
The chart of Sortino ratio for INMD, currently valued at -0.33, compared to the broader market-4.00-2.000.002.004.00-0.333.31
The chart of Omega ratio for INMD, currently valued at 0.96, compared to the broader market0.501.001.502.000.961.46
The chart of Calmar ratio for INMD, currently valued at -0.23, compared to the broader market0.002.004.006.00-0.233.55
The chart of Martin ratio for INMD, currently valued at -0.68, compared to the broader market-10.000.0010.0020.0030.00-0.6815.76
INMD
^GSPC

The current INMD Sharpe Ratio is -0.42, which is lower than the ^GSPC Sharpe Ratio of 2.46. The chart below compares the historical Sharpe Ratios of INMD and ^GSPC, 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.42
2.46
INMD
^GSPC

Drawdowns

INMD vs. ^GSPC - Drawdown Comparison

The maximum INMD drawdown since its inception was -84.79%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for INMD and ^GSPC. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-81.36%
-1.40%
INMD
^GSPC

Volatility

INMD vs. ^GSPC - Volatility Comparison

InMode Ltd. (INMD) has a higher volatility of 12.33% compared to S&P 500 (^GSPC) at 4.07%. This indicates that INMD'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.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.33%
4.07%
INMD
^GSPC