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

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.


-0.50.00.51.00.4

Performance

ROG vs. ^GSPC - Performance Comparison

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

1,500.00%2,000.00%2,500.00%3,000.00%3,500.00%JulyAugustSeptemberOctoberNovemberDecember
1,650.57%
3,383.31%
ROG
^GSPC

Key characteristics

Sharpe Ratio

ROG:

-0.73

^GSPC:

1.90

Sortino Ratio

ROG:

-0.96

^GSPC:

2.54

Omega Ratio

ROG:

0.89

^GSPC:

1.35

Calmar Ratio

ROG:

-0.37

^GSPC:

2.81

Martin Ratio

ROG:

-1.29

^GSPC:

12.39

Ulcer Index

ROG:

18.13%

^GSPC:

1.93%

Daily Std Dev

ROG:

32.20%

^GSPC:

12.58%

Max Drawdown

ROG:

-80.07%

^GSPC:

-56.78%

Current Drawdown

ROG:

-63.07%

^GSPC:

-3.58%

Returns By Period

In the year-to-date period, ROG achieves a -23.40% return, which is significantly lower than ^GSPC's 23.11% return. Over the past 10 years, ROG has underperformed ^GSPC with an annualized return of 2.49%, while ^GSPC has yielded a comparatively higher 11.01% annualized return.


ROG

YTD

-23.40%

1M

-2.33%

6M

-18.39%

1Y

-25.15%

5Y*

-4.65%

10Y*

2.49%

^GSPC

YTD

23.11%

1M

-0.36%

6M

7.02%

1Y

23.15%

5Y*

12.80%

10Y*

11.01%

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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.


Sharpe ratio
The chart of Sharpe ratio for ROG, currently valued at -0.73, compared to the broader market-4.00-2.000.002.00-0.731.90
The chart of Sortino ratio for ROG, currently valued at -0.96, compared to the broader market-4.00-2.000.002.004.00-0.962.54
The chart of Omega ratio for ROG, currently valued at 0.89, compared to the broader market0.501.001.502.000.891.35
The chart of Calmar ratio for ROG, currently valued at -0.37, compared to the broader market0.002.004.006.00-0.372.81
The chart of Martin ratio for ROG, currently valued at -1.29, compared to the broader market0.0010.0020.00-1.2912.39
ROG
^GSPC

The current ROG Sharpe Ratio is -0.73, which is lower than the ^GSPC Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of ROG 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.73
1.90
ROG
^GSPC

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.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-63.07%
-3.58%
ROG
^GSPC

Volatility

ROG vs. ^GSPC - Volatility Comparison

Rogers Corporation (ROG) has a higher volatility of 8.61% compared to S&P 500 (^GSPC) at 3.64%. 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.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
8.61%
3.64%
ROG
^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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