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

Correlation

The correlation between PBR and SPY is 0.43, 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.


-0.50.00.51.00.4

Performance

PBR vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Petróleo Brasileiro S.A. - Petrobras (PBR) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

400.00%600.00%800.00%1,000.00%1,200.00%JulyAugustSeptemberOctoberNovemberDecember
1,080.41%
526.89%
PBR
SPY

Key characteristics

Sharpe Ratio

PBR:

-0.04

SPY:

2.21

Sortino Ratio

PBR:

0.15

SPY:

2.93

Omega Ratio

PBR:

1.02

SPY:

1.41

Calmar Ratio

PBR:

-0.04

SPY:

3.26

Martin Ratio

PBR:

-0.12

SPY:

14.43

Ulcer Index

PBR:

11.37%

SPY:

1.90%

Daily Std Dev

PBR:

30.13%

SPY:

12.41%

Max Drawdown

PBR:

-95.28%

SPY:

-55.19%

Current Drawdown

PBR:

-34.31%

SPY:

-2.74%

Returns By Period

In the year-to-date period, PBR achieves a -4.36% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, PBR has outperformed SPY with an annualized return of 18.05%, while SPY has yielded a comparatively lower 12.97% annualized return.


PBR

YTD

-4.36%

1M

-5.13%

6M

-1.25%

1Y

-1.84%

5Y*

20.43%

10Y*

18.05%

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

PBR vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Petróleo Brasileiro S.A. - Petrobras (PBR) 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 PBR, currently valued at -0.04, compared to the broader market-4.00-2.000.002.00-0.042.21
The chart of Sortino ratio for PBR, currently valued at 0.15, compared to the broader market-4.00-2.000.002.004.000.152.93
The chart of Omega ratio for PBR, currently valued at 1.02, compared to the broader market0.501.001.502.001.021.41
The chart of Calmar ratio for PBR, currently valued at -0.04, compared to the broader market0.002.004.006.00-0.043.26
The chart of Martin ratio for PBR, currently valued at -0.12, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.1214.43
PBR
SPY

The current PBR Sharpe Ratio is -0.04, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of PBR 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.04
2.21
PBR
SPY

Dividends

PBR vs. SPY - Dividend Comparison

PBR's dividend yield for the trailing twelve months is around 18.54%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
PBR
Petróleo Brasileiro S.A. - Petrobras
18.54%18.47%60.50%18.59%2.42%1.53%0.98%0.00%0.00%0.00%6.57%1.91%
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

PBR vs. SPY - Drawdown Comparison

The maximum PBR drawdown since its inception was -95.28%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PBR and SPY. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-34.31%
-2.74%
PBR
SPY

Volatility

PBR vs. SPY - Volatility Comparison

Petróleo Brasileiro S.A. - Petrobras (PBR) has a higher volatility of 10.21% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that PBR'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%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
10.21%
3.72%
PBR
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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