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

Key characteristics


PNCSPY
YTD Return27.63%23.18%
1Y Return72.65%40.57%
3Y Return (Ann)0.47%9.72%
5Y Return (Ann)9.02%15.45%
10Y Return (Ann)11.63%13.15%
Sharpe Ratio3.043.45
Sortino Ratio3.964.57
Omega Ratio1.501.65
Calmar Ratio1.644.12
Martin Ratio21.1822.62
Ulcer Index3.54%1.83%
Daily Std Dev24.71%12.01%
Max Drawdown-76.65%-55.19%
Current Drawdown-5.50%-0.78%

Correlation

-0.50.00.51.00.6

The correlation between PNC and SPY is 0.61, 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

PNC vs. SPY - Performance Comparison

In the year-to-date period, PNC achieves a 27.63% return, which is significantly higher than SPY's 23.18% return. Over the past 10 years, PNC has underperformed SPY with an annualized return of 11.63%, while SPY has yielded a comparatively higher 13.15% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctober
24.39%
15.57%
PNC
SPY

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Risk-Adjusted Performance

PNC vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The PNC Financial Services Group, Inc. (PNC) 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.


PNC
Sharpe ratio
The chart of Sharpe ratio for PNC, currently valued at 3.04, compared to the broader market-4.00-2.000.002.004.003.04
Sortino ratio
The chart of Sortino ratio for PNC, currently valued at 3.96, compared to the broader market-4.00-2.000.002.004.006.003.96
Omega ratio
The chart of Omega ratio for PNC, currently valued at 1.50, compared to the broader market0.501.001.502.001.50
Calmar ratio
The chart of Calmar ratio for PNC, currently valued at 1.64, compared to the broader market0.002.004.006.001.64
Martin ratio
The chart of Martin ratio for PNC, currently valued at 21.18, compared to the broader market-10.000.0010.0020.0030.0021.18
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.45, compared to the broader market-4.00-2.000.002.004.003.45
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.57, compared to the broader market-4.00-2.000.002.004.006.004.57
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.65, compared to the broader market0.501.001.502.001.65
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.12, compared to the broader market0.002.004.006.004.12
Martin ratio
The chart of Martin ratio for SPY, currently valued at 22.62, compared to the broader market-10.000.0010.0020.0030.0022.62

PNC vs. SPY - Sharpe Ratio Comparison

The current PNC Sharpe Ratio is 3.04, which is comparable to the SPY Sharpe Ratio of 3.45. The chart below compares the historical Sharpe Ratios of PNC 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctober
3.04
3.45
PNC
SPY

Dividends

PNC vs. SPY - Dividend Comparison

PNC's dividend yield for the trailing twelve months is around 3.31%, more than SPY's 1.21% yield.


TTM20232022202120202019201820172016201520142013
PNC
The PNC Financial Services Group, Inc.
3.31%3.94%3.64%2.39%3.09%2.63%2.91%1.80%1.81%2.11%2.06%2.22%
SPY
SPDR S&P 500 ETF
1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

PNC vs. SPY - Drawdown Comparison

The maximum PNC drawdown since its inception was -76.65%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for PNC and SPY. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctober
-5.50%
-0.78%
PNC
SPY

Volatility

PNC vs. SPY - Volatility Comparison

The PNC Financial Services Group, Inc. (PNC) has a higher volatility of 5.72% compared to SPDR S&P 500 ETF (SPY) at 2.51%. This indicates that PNC'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%JuneJulyAugustSeptemberOctober
5.72%
2.51%
PNC
SPY