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

Correlation

The correlation between MYRG and SPY is 0.46, 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.


-0.50.00.51.00.5

Performance

MYRG vs. SPY - Performance Comparison

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

400.00%500.00%600.00%700.00%800.00%900.00%JulyAugustSeptemberOctoberNovemberDecember
823.49%
526.30%
MYRG
SPY

Key characteristics

Sharpe Ratio

MYRG:

0.10

SPY:

2.21

Sortino Ratio

MYRG:

0.46

SPY:

2.93

Omega Ratio

MYRG:

1.07

SPY:

1.41

Calmar Ratio

MYRG:

0.10

SPY:

3.26

Martin Ratio

MYRG:

0.20

SPY:

14.43

Ulcer Index

MYRG:

23.75%

SPY:

1.90%

Daily Std Dev

MYRG:

46.81%

SPY:

12.41%

Max Drawdown

MYRG:

-64.46%

SPY:

-55.19%

Current Drawdown

MYRG:

-13.98%

SPY:

-2.74%

Returns By Period

In the year-to-date period, MYRG achieves a 5.99% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, MYRG has outperformed SPY with an annualized return of 18.82%, while SPY has yielded a comparatively lower 12.97% annualized return.


MYRG

YTD

5.99%

1M

5.39%

6M

9.41%

1Y

5.43%

5Y*

35.30%

10Y*

18.82%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

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Risk-Adjusted Performance

MYRG vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MYR Group Inc. (MYRG) 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 MYRG, currently valued at 0.10, compared to the broader market-4.00-2.000.002.000.102.21
The chart of Sortino ratio for MYRG, currently valued at 0.46, compared to the broader market-4.00-2.000.002.004.000.462.93
The chart of Omega ratio for MYRG, currently valued at 1.07, compared to the broader market0.501.001.502.001.071.41
The chart of Calmar ratio for MYRG, currently valued at 0.10, compared to the broader market0.002.004.006.000.103.26
The chart of Martin ratio for MYRG, currently valued at 0.20, compared to the broader market-5.000.005.0010.0015.0020.0025.000.2014.43
MYRG
SPY

The current MYRG Sharpe Ratio is 0.10, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of MYRG 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-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.10
2.21
MYRG
SPY

Dividends

MYRG vs. SPY - Dividend Comparison

MYRG has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 0.86%.


TTM20232022202120202019201820172016201520142013
MYRG
MYR Group Inc.
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
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

MYRG vs. SPY - Drawdown Comparison

The maximum MYRG drawdown since its inception was -64.46%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for MYRG and SPY. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-13.98%
-2.74%
MYRG
SPY

Volatility

MYRG vs. SPY - Volatility Comparison

MYR Group Inc. (MYRG) has a higher volatility of 11.76% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that MYRG'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%20.00%25.00%30.00%35.00%JulyAugustSeptemberOctoberNovemberDecember
11.76%
3.72%
MYRG
SPY
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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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