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

Performance

RELX vs. SPY - Performance Comparison

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

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.21%
12.15%
RELX
SPY

Returns By Period

In the year-to-date period, RELX achieves a 15.82% return, which is significantly lower than SPY's 25.41% return. Both investments have delivered pretty close results over the past 10 years, with RELX having a 13.38% annualized return and SPY not far behind at 13.07%.


RELX

YTD

15.82%

1M

-5.29%

6M

2.21%

1Y

21.55%

5Y (annualized)

16.14%

10Y (annualized)

13.38%

SPY

YTD

25.41%

1M

1.18%

6M

12.15%

1Y

32.04%

5Y (annualized)

15.51%

10Y (annualized)

13.07%

Key characteristics


RELXSPY
Sharpe Ratio1.332.62
Sortino Ratio1.873.50
Omega Ratio1.231.49
Calmar Ratio2.543.78
Martin Ratio7.2717.00
Ulcer Index3.15%1.87%
Daily Std Dev17.22%12.14%
Max Drawdown-55.06%-55.19%
Current Drawdown-7.67%-1.38%

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Correlation

-0.50.00.51.00.4

The correlation between RELX and SPY is 0.42, 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.

Risk-Adjusted Performance

RELX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for RELX PLC (RELX) 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 RELX, currently valued at 1.33, compared to the broader market-4.00-2.000.002.004.001.332.62
The chart of Sortino ratio for RELX, currently valued at 1.87, compared to the broader market-4.00-2.000.002.004.001.873.50
The chart of Omega ratio for RELX, currently valued at 1.23, compared to the broader market0.501.001.502.001.231.49
The chart of Calmar ratio for RELX, currently valued at 2.54, compared to the broader market0.002.004.006.002.543.78
The chart of Martin ratio for RELX, currently valued at 7.27, compared to the broader market-10.000.0010.0020.0030.007.2717.00
RELX
SPY

The current RELX Sharpe Ratio is 1.33, which is lower than the SPY Sharpe Ratio of 2.62. The chart below compares the historical Sharpe Ratios of RELX 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.33
2.62
RELX
SPY

Dividends

RELX vs. SPY - Dividend Comparison

RELX's dividend yield for the trailing twelve months is around 1.68%, more than SPY's 1.19% yield.


TTM20232022202120202019201820172016201520142013
RELX
RELX PLC
1.68%1.73%2.42%2.05%2.39%2.20%2.69%1.99%2.48%3.64%3.96%2.38%
SPY
SPDR S&P 500 ETF
1.19%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

RELX vs. SPY - Drawdown Comparison

The maximum RELX drawdown since its inception was -55.06%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for RELX and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.67%
-1.38%
RELX
SPY

Volatility

RELX vs. SPY - Volatility Comparison

RELX PLC (RELX) has a higher volatility of 6.30% compared to SPDR S&P 500 ETF (SPY) at 4.09%. This indicates that RELX'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%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
6.30%
4.09%
RELX
SPY