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PNW vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between PNW and ^GSPC is 0.34, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.3

Performance

PNW vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Pinnacle West Capital Corporation (PNW) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

2,500.00%3,000.00%3,500.00%4,000.00%JulyAugustSeptemberOctoberNovemberDecember
2,837.25%
3,844.17%
PNW
^GSPC

Key characteristics

Sharpe Ratio

PNW:

1.39

^GSPC:

2.10

Sortino Ratio

PNW:

2.01

^GSPC:

2.80

Omega Ratio

PNW:

1.25

^GSPC:

1.39

Calmar Ratio

PNW:

1.10

^GSPC:

3.09

Martin Ratio

PNW:

6.75

^GSPC:

13.49

Ulcer Index

PNW:

3.81%

^GSPC:

1.94%

Daily Std Dev

PNW:

18.42%

^GSPC:

12.52%

Max Drawdown

PNW:

-79.18%

^GSPC:

-56.78%

Current Drawdown

PNW:

-10.11%

^GSPC:

-2.62%

Returns By Period

The year-to-date returns for both investments are quite close, with PNW having a 23.73% return and ^GSPC slightly higher at 24.34%. Over the past 10 years, PNW has underperformed ^GSPC with an annualized return of 6.32%, while ^GSPC has yielded a comparatively higher 11.06% annualized return.


PNW

YTD

23.73%

1M

-7.44%

6M

16.27%

1Y

25.53%

5Y*

3.25%

10Y*

6.32%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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Risk-Adjusted Performance

PNW vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Pinnacle West Capital Corporation (PNW) and S&P 500 (^GSPC). 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 PNW, currently valued at 1.39, compared to the broader market-4.00-2.000.002.001.392.10
The chart of Sortino ratio for PNW, currently valued at 2.01, compared to the broader market-4.00-2.000.002.004.002.012.80
The chart of Omega ratio for PNW, currently valued at 1.25, compared to the broader market0.501.001.502.001.251.39
The chart of Calmar ratio for PNW, currently valued at 1.10, compared to the broader market0.002.004.006.001.103.09
The chart of Martin ratio for PNW, currently valued at 6.75, compared to the broader market-5.000.005.0010.0015.0020.0025.006.7513.49
PNW
^GSPC

The current PNW Sharpe Ratio is 1.39, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of PNW and ^GSPC, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
1.39
2.10
PNW
^GSPC

Drawdowns

PNW vs. ^GSPC - Drawdown Comparison

The maximum PNW drawdown since its inception was -79.18%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for PNW and ^GSPC. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.11%
-2.62%
PNW
^GSPC

Volatility

PNW vs. ^GSPC - Volatility Comparison

Pinnacle West Capital Corporation (PNW) has a higher volatility of 5.08% compared to S&P 500 (^GSPC) at 3.79%. This indicates that PNW's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.08%
3.79%
PNW
^GSPC
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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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