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OC vs. WFSPX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between OC and WFSPX is 0.58, 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

OC vs. WFSPX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Owens Corning (OC) and iShares S&P 500 Index Fund (WFSPX). The values are adjusted to include any dividend payments, if applicable.

-15.00%-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
-3.48%
9.81%
OC
WFSPX

Key characteristics

Sharpe Ratio

OC:

0.57

WFSPX:

2.15

Sortino Ratio

OC:

0.95

WFSPX:

2.86

Omega Ratio

OC:

1.12

WFSPX:

1.40

Calmar Ratio

OC:

0.88

WFSPX:

3.18

Martin Ratio

OC:

2.61

WFSPX:

13.94

Ulcer Index

OC:

6.61%

WFSPX:

1.93%

Daily Std Dev

OC:

30.17%

WFSPX:

12.55%

Max Drawdown

OC:

-85.22%

WFSPX:

-89.72%

Current Drawdown

OC:

-18.93%

WFSPX:

-2.28%

Returns By Period

In the year-to-date period, OC achieves a 17.01% return, which is significantly lower than WFSPX's 26.25% return. Over the past 10 years, OC has outperformed WFSPX with an annualized return of 18.82%, while WFSPX has yielded a comparatively lower 12.76% annualized return.


OC

YTD

17.01%

1M

-15.71%

6M

-3.48%

1Y

16.78%

5Y*

23.19%

10Y*

18.82%

WFSPX

YTD

26.25%

1M

-0.25%

6M

9.80%

1Y

26.69%

5Y*

14.57%

10Y*

12.76%

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Risk-Adjusted Performance

OC vs. WFSPX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Owens Corning (OC) and iShares S&P 500 Index Fund (WFSPX). 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 OC, currently valued at 0.57, compared to the broader market-4.00-2.000.002.000.572.15
The chart of Sortino ratio for OC, currently valued at 0.95, compared to the broader market-4.00-2.000.002.004.000.952.86
The chart of Omega ratio for OC, currently valued at 1.12, compared to the broader market0.501.001.502.001.121.40
The chart of Calmar ratio for OC, currently valued at 0.88, compared to the broader market0.002.004.006.000.883.18
The chart of Martin ratio for OC, currently valued at 2.61, compared to the broader market-5.000.005.0010.0015.0020.0025.002.6113.94
OC
WFSPX

The current OC Sharpe Ratio is 0.57, which is lower than the WFSPX Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of OC and WFSPX, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.57
2.15
OC
WFSPX

Dividends

OC vs. WFSPX - Dividend Comparison

OC's dividend yield for the trailing twelve months is around 1.40%, more than WFSPX's 0.89% yield.


TTM20232022202120202019201820172016201520142013
OC
Owens Corning
1.40%1.40%1.64%1.15%1.27%1.35%1.43%0.88%1.44%1.45%1.79%0.00%
WFSPX
iShares S&P 500 Index Fund
0.89%1.44%1.69%1.25%1.55%1.99%2.03%1.74%2.07%1.95%1.84%1.70%

Drawdowns

OC vs. WFSPX - Drawdown Comparison

The maximum OC drawdown since its inception was -85.22%, smaller than the maximum WFSPX drawdown of -89.72%. Use the drawdown chart below to compare losses from any high point for OC and WFSPX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-18.93%
-2.28%
OC
WFSPX

Volatility

OC vs. WFSPX - Volatility Comparison

Owens Corning (OC) has a higher volatility of 8.94% compared to iShares S&P 500 Index Fund (WFSPX) at 3.91%. This indicates that OC's price experiences larger fluctuations and is considered to be riskier than WFSPX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
8.94%
3.91%
OC
WFSPX
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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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