PEN vs. SPY
Compare and contrast key facts about Penumbra, Inc. (PEN) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: PEN or SPY.
Key characteristics
| PEN | SPY | |
|---|---|---|
| YTD Return | -6.16% | 26.83% |
| 1Y Return | 9.79% | 34.88% |
| 3Y Return (Ann) | -4.00% | 10.16% |
| 5Y Return (Ann) | 7.22% | 15.71% |
| Sharpe Ratio | 0.32 | 3.08 |
| Sortino Ratio | 0.75 | 4.10 |
| Omega Ratio | 1.09 | 1.58 |
| Calmar Ratio | 0.25 | 4.46 |
| Martin Ratio | 0.57 | 20.22 |
| Ulcer Index | 22.92% | 1.85% |
| Daily Std Dev | 40.28% | 12.18% |
| Max Drawdown | -62.64% | -55.19% |
| Current Drawdown | -31.39% | -0.26% |
Correlation
The correlation between PEN and SPY is 0.41, 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.
Performance
PEN vs. SPY - Performance Comparison
In the year-to-date period, PEN achieves a -6.16% return, which is significantly lower than SPY's 26.83% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
PEN vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Penumbra, Inc. (PEN) 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.
Dividends
PEN vs. SPY - Dividend Comparison
PEN has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.17%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PEN Penumbra, 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 | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
PEN vs. SPY - Drawdown Comparison
The maximum PEN drawdown since its inception was -62.64%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PEN and SPY. For additional features, visit the drawdowns tool.
Volatility
PEN vs. SPY - Volatility Comparison
Penumbra, Inc. (PEN) has a higher volatility of 10.20% compared to SPDR S&P 500 ETF (SPY) at 3.77%. This indicates that PEN'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.