ROG vs. ^GSPC
Compare and contrast key facts about Rogers Corporation (ROG) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ROG or ^GSPC.
Performance
ROG vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, ROG achieves a -21.58% return, which is significantly lower than ^GSPC's 23.56% return. Over the past 10 years, ROG has underperformed ^GSPC with an annualized return of 3.81%, while ^GSPC has yielded a comparatively higher 11.10% annualized return.
ROG
-21.58%
-1.07%
-13.29%
-21.13%
-4.26%
3.81%
^GSPC
23.56%
0.49%
11.03%
30.56%
13.70%
11.10%
Key characteristics
| ROG | ^GSPC | |
|---|---|---|
| Sharpe Ratio | -0.64 | 2.51 |
| Sortino Ratio | -0.80 | 3.36 |
| Omega Ratio | 0.91 | 1.47 |
| Calmar Ratio | -0.32 | 3.62 |
| Martin Ratio | -1.21 | 16.12 |
| Ulcer Index | 16.85% | 1.91% |
| Daily Std Dev | 32.06% | 12.27% |
| Max Drawdown | -80.07% | -56.78% |
| Current Drawdown | -62.20% | -1.80% |
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Correlation
The correlation between ROG and ^GSPC 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
ROG vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Rogers Corporation (ROG) 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.
Drawdowns
ROG vs. ^GSPC - Drawdown Comparison
The maximum ROG drawdown since its inception was -80.07%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ROG and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
ROG vs. ^GSPC - Volatility Comparison
Rogers Corporation (ROG) has a higher volatility of 11.88% compared to S&P 500 (^GSPC) at 4.06%. This indicates that ROG'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.