PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
QLYS vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between QLYS and SPY is 0.47, 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.


-0.50.00.51.00.5

Performance

QLYS vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Qualys, Inc. (QLYS) and SPDR S&P 500 ETF (SPY). 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
4.20%
7.86%
QLYS
SPY

Key characteristics

Sharpe Ratio

QLYS:

-0.76

SPY:

2.03

Sortino Ratio

QLYS:

-1.09

SPY:

2.71

Omega Ratio

QLYS:

0.86

SPY:

1.38

Calmar Ratio

QLYS:

-0.71

SPY:

3.02

Martin Ratio

QLYS:

-1.05

SPY:

13.49

Ulcer Index

QLYS:

28.55%

SPY:

1.88%

Daily Std Dev

QLYS:

39.48%

SPY:

12.48%

Max Drawdown

QLYS:

-68.48%

SPY:

-55.19%

Current Drawdown

QLYS:

-31.34%

SPY:

-3.54%

Returns By Period

In the year-to-date period, QLYS achieves a -27.98% return, which is significantly lower than SPY's 24.51% return. Over the past 10 years, QLYS has outperformed SPY with an annualized return of 13.68%, while SPY has yielded a comparatively lower 12.94% annualized return.


QLYS

YTD

-27.98%

1M

-1.73%

6M

6.47%

1Y

-31.34%

5Y*

10.71%

10Y*

13.68%

SPY

YTD

24.51%

1M

-0.32%

6M

7.56%

1Y

24.63%

5Y*

14.51%

10Y*

12.94%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

QLYS vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Qualys, Inc. (QLYS) 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 QLYS, currently valued at -0.76, compared to the broader market-4.00-2.000.002.00-0.762.03
The chart of Sortino ratio for QLYS, currently valued at -1.09, compared to the broader market-4.00-2.000.002.004.00-1.092.71
The chart of Omega ratio for QLYS, currently valued at 0.86, compared to the broader market0.501.001.502.000.861.38
The chart of Calmar ratio for QLYS, currently valued at -0.71, compared to the broader market0.002.004.006.00-0.713.02
The chart of Martin ratio for QLYS, currently valued at -1.05, compared to the broader market0.0010.0020.00-1.0513.49
QLYS
SPY

The current QLYS Sharpe Ratio is -0.76, which is lower than the SPY Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of QLYS 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 Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.76
2.03
QLYS
SPY

Dividends

QLYS vs. SPY - Dividend Comparison

QLYS has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 0.87%.


TTM20232022202120202019201820172016201520142013
QLYS
Qualys, 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
0.87%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

QLYS vs. SPY - Drawdown Comparison

The maximum QLYS drawdown since its inception was -68.48%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for QLYS and SPY. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-31.34%
-3.54%
QLYS
SPY

Volatility

QLYS vs. SPY - Volatility Comparison

Qualys, Inc. (QLYS) has a higher volatility of 7.98% compared to SPDR S&P 500 ETF (SPY) at 3.64%. This indicates that QLYS'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.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
7.98%
3.64%
QLYS
SPY
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab