PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
MUSA vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MUSA 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.


-0.50.00.51.00.4

Performance

MUSA vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Murphy USA Inc. (MUSA) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

200.00%400.00%600.00%800.00%1,000.00%1,200.00%1,400.00%JulyAugustSeptemberOctoberNovemberDecember
1,269.63%
338.40%
MUSA
SPY

Key characteristics

Sharpe Ratio

MUSA:

1.91

SPY:

2.21

Sortino Ratio

MUSA:

2.82

SPY:

2.93

Omega Ratio

MUSA:

1.33

SPY:

1.41

Calmar Ratio

MUSA:

3.93

SPY:

3.26

Martin Ratio

MUSA:

10.74

SPY:

14.43

Ulcer Index

MUSA:

4.38%

SPY:

1.90%

Daily Std Dev

MUSA:

24.59%

SPY:

12.41%

Max Drawdown

MUSA:

-33.72%

SPY:

-55.19%

Current Drawdown

MUSA:

-6.39%

SPY:

-2.74%

Returns By Period

In the year-to-date period, MUSA achieves a 46.41% return, which is significantly higher than SPY's 25.54% return. Over the past 10 years, MUSA has outperformed SPY with an annualized return of 23.33%, while SPY has yielded a comparatively lower 12.97% annualized return.


MUSA

YTD

46.41%

1M

-0.96%

6M

8.64%

1Y

44.49%

5Y*

34.70%

10Y*

23.33%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

MUSA vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Murphy USA Inc. (MUSA) 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.


Sharpe ratio
The chart of Sharpe ratio for MUSA, currently valued at 1.91, compared to the broader market-4.00-2.000.002.001.912.21
The chart of Sortino ratio for MUSA, currently valued at 2.82, compared to the broader market-4.00-2.000.002.004.002.822.93
The chart of Omega ratio for MUSA, currently valued at 1.33, compared to the broader market0.501.001.502.001.331.41
The chart of Calmar ratio for MUSA, currently valued at 3.93, compared to the broader market0.002.004.006.003.933.26
The chart of Martin ratio for MUSA, currently valued at 10.74, compared to the broader market-5.000.005.0010.0015.0020.0025.0010.7414.43
MUSA
SPY

The current MUSA Sharpe Ratio is 1.91, which is comparable to the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of MUSA 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.91
2.21
MUSA
SPY

Dividends

MUSA vs. SPY - Dividend Comparison

MUSA's dividend yield for the trailing twelve months is around 0.34%, less than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
MUSA
Murphy USA Inc.
0.34%0.43%0.45%0.52%0.19%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

MUSA vs. SPY - Drawdown Comparison

The maximum MUSA drawdown since its inception was -33.72%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for MUSA and SPY. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.39%
-2.74%
MUSA
SPY

Volatility

MUSA vs. SPY - Volatility Comparison

Murphy USA Inc. (MUSA) has a higher volatility of 6.28% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that MUSA'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%JulyAugustSeptemberOctoberNovemberDecember
6.28%
3.72%
MUSA
SPY
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab