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

Correlation

The correlation between MMM and ^GSPC is 0.61, 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.


-0.50.00.51.00.6

Performance

MMM vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in 3M Company (MMM) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
24.81%
7.20%
MMM
^GSPC

Key characteristics

Sharpe Ratio

MMM:

1.39

^GSPC:

1.83

Sortino Ratio

MMM:

2.59

^GSPC:

2.46

Omega Ratio

MMM:

1.36

^GSPC:

1.34

Calmar Ratio

MMM:

0.85

^GSPC:

2.72

Martin Ratio

MMM:

7.34

^GSPC:

11.89

Ulcer Index

MMM:

6.36%

^GSPC:

1.94%

Daily Std Dev

MMM:

33.64%

^GSPC:

12.57%

Max Drawdown

MMM:

-59.10%

^GSPC:

-56.78%

Current Drawdown

MMM:

-24.61%

^GSPC:

-3.66%

Returns By Period

In the year-to-date period, MMM achieves a 42.09% return, which is significantly higher than ^GSPC's 23.00% return. Over the past 10 years, MMM has underperformed ^GSPC with an annualized return of 2.43%, while ^GSPC has yielded a comparatively higher 10.96% annualized return.


MMM

YTD

42.09%

1M

-3.56%

6M

25.91%

1Y

46.20%

5Y*

0.94%

10Y*

2.43%

^GSPC

YTD

23.00%

1M

-0.84%

6M

7.20%

1Y

24.88%

5Y*

12.77%

10Y*

10.96%

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Risk-Adjusted Performance

MMM vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for 3M Company (MMM) 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 MMM, currently valued at 1.37, compared to the broader market-4.00-2.000.002.001.371.83
The chart of Sortino ratio for MMM, currently valued at 2.57, compared to the broader market-4.00-2.000.002.004.002.572.46
The chart of Omega ratio for MMM, currently valued at 1.35, compared to the broader market0.501.001.502.001.361.34
The chart of Calmar ratio for MMM, currently valued at 0.84, compared to the broader market0.002.004.006.000.842.72
The chart of Martin ratio for MMM, currently valued at 7.23, compared to the broader market0.0010.0020.007.2311.89
MMM
^GSPC

The current MMM Sharpe Ratio is 1.39, which is comparable to the ^GSPC Sharpe Ratio of 1.83. The chart below compares the historical Sharpe Ratios of MMM 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.37
1.83
MMM
^GSPC

Drawdowns

MMM vs. ^GSPC - Drawdown Comparison

The maximum MMM drawdown since its inception was -59.10%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for MMM and ^GSPC. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-24.61%
-3.66%
MMM
^GSPC

Volatility

MMM vs. ^GSPC - Volatility Comparison

3M Company (MMM) has a higher volatility of 4.94% compared to S&P 500 (^GSPC) at 3.62%. This indicates that MMM'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%20.00%JulyAugustSeptemberOctoberNovemberDecember
4.94%
3.62%
MMM
^GSPC
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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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