RNR vs. SPY
Compare and contrast key facts about RenaissanceRe Holdings Ltd. (RNR) 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: RNR or SPY.
Key characteristics
| RNR | SPY | |
|---|---|---|
| YTD Return | 31.75% | 26.01% |
| 1Y Return | 27.99% | 33.73% |
| 3Y Return (Ann) | 19.21% | 9.91% |
| 5Y Return (Ann) | 7.88% | 15.54% |
| 10Y Return (Ann) | 10.94% | 13.25% |
| Sharpe Ratio | 0.98 | 2.82 |
| Sortino Ratio | 1.39 | 3.76 |
| Omega Ratio | 1.19 | 1.53 |
| Calmar Ratio | 1.63 | 4.05 |
| Martin Ratio | 4.55 | 18.33 |
| Ulcer Index | 5.36% | 1.86% |
| Daily Std Dev | 24.91% | 12.07% |
| Max Drawdown | -45.67% | -55.19% |
| Current Drawdown | -9.36% | -0.90% |
Correlation
The correlation between RNR and SPY 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.
Performance
RNR vs. SPY - Performance Comparison
In the year-to-date period, RNR achieves a 31.75% return, which is significantly higher than SPY's 26.01% return. Over the past 10 years, RNR has underperformed SPY with an annualized return of 10.94%, while SPY has yielded a comparatively higher 13.25% annualized 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
RNR vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for RenaissanceRe Holdings Ltd. (RNR) 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
RNR vs. SPY - Dividend Comparison
RNR's dividend yield for the trailing twelve months is around 0.60%, less than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
RNR RenaissanceRe Holdings Ltd. | 0.60% | 0.78% | 0.80% | 0.85% | 0.84% | 0.69% | 0.99% | 1.02% | 0.91% | 1.06% | 1.19% | 1.15% |
SPY SPDR S&P 500 ETF | 1.18% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
RNR vs. SPY - Drawdown Comparison
The maximum RNR drawdown since its inception was -45.67%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for RNR and SPY. For additional features, visit the drawdowns tool.
Volatility
RNR vs. SPY - Volatility Comparison
RenaissanceRe Holdings Ltd. (RNR) has a higher volatility of 7.47% compared to SPDR S&P 500 ETF (SPY) at 3.84%. This indicates that RNR'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.