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

Correlation

The correlation between RYCEY and ^GSPC is 0.33, 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.


-0.50.00.51.0
Correlation: 0.3

Performance

RYCEY vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Rolls-Royce Holdings plc (RYCEY) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

250.00%300.00%350.00%400.00%450.00%NovemberDecember2025FebruaryMarchApril
440.66%
357.35%
RYCEY
^GSPC

Key characteristics

Sharpe Ratio

RYCEY:

2.43

^GSPC:

0.52

Sortino Ratio

RYCEY:

3.29

^GSPC:

0.77

Omega Ratio

RYCEY:

1.41

^GSPC:

1.10

Calmar Ratio

RYCEY:

2.37

^GSPC:

0.71

Martin Ratio

RYCEY:

20.84

^GSPC:

2.33

Ulcer Index

RYCEY:

4.23%

^GSPC:

3.09%

Daily Std Dev

RYCEY:

36.24%

^GSPC:

13.96%

Max Drawdown

RYCEY:

-92.08%

^GSPC:

-56.78%

Current Drawdown

RYCEY:

-6.20%

^GSPC:

-8.32%

Returns By Period

In the year-to-date period, RYCEY achieves a 42.40% return, which is significantly higher than ^GSPC's -4.23% return. Over the past 10 years, RYCEY has underperformed ^GSPC with an annualized return of 6.74%, while ^GSPC has yielded a comparatively higher 10.57% annualized return.


RYCEY

YTD

42.40%

1M

8.24%

6M

45.42%

1Y

89.18%

5Y*

48.41%

10Y*

6.74%

^GSPC

YTD

-4.23%

1M

-5.40%

6M

-1.33%

1Y

7.42%

5Y*

17.47%

10Y*

10.57%

*Annualized

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Risk-Adjusted Performance

RYCEY vs. ^GSPC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

RYCEY
The Risk-Adjusted Performance Rank of RYCEY is 9696
Overall Rank
The Sharpe Ratio Rank of RYCEY is 9797
Sharpe Ratio Rank
The Sortino Ratio Rank of RYCEY is 9696
Sortino Ratio Rank
The Omega Ratio Rank of RYCEY is 9494
Omega Ratio Rank
The Calmar Ratio Rank of RYCEY is 9595
Calmar Ratio Rank
The Martin Ratio Rank of RYCEY is 9999
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6868
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6262
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6363
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 7474
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7272
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

RYCEY vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Rolls-Royce Holdings plc (RYCEY) 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 RYCEY, currently valued at 2.43, compared to the broader market-2.00-1.000.001.002.003.00
RYCEY: 2.43
^GSPC: 0.52
The chart of Sortino ratio for RYCEY, currently valued at 3.29, compared to the broader market-6.00-4.00-2.000.002.004.00
RYCEY: 3.29
^GSPC: 0.77
The chart of Omega ratio for RYCEY, currently valued at 1.41, compared to the broader market0.501.001.502.00
RYCEY: 1.41
^GSPC: 1.10
The chart of Calmar ratio for RYCEY, currently valued at 2.37, compared to the broader market0.001.002.003.004.005.00
RYCEY: 2.37
^GSPC: 0.71
The chart of Martin ratio for RYCEY, currently valued at 20.84, compared to the broader market-5.000.005.0010.0015.0020.00
RYCEY: 20.84
^GSPC: 2.33

The current RYCEY Sharpe Ratio is 2.43, which is higher than the ^GSPC Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of RYCEY 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 Ratio0.001.002.003.004.005.006.00NovemberDecember2025FebruaryMarchApril
2.43
0.52
RYCEY
^GSPC

Drawdowns

RYCEY vs. ^GSPC - Drawdown Comparison

The maximum RYCEY drawdown since its inception was -92.08%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for RYCEY and ^GSPC. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-6.20%
-8.32%
RYCEY
^GSPC

Volatility

RYCEY vs. ^GSPC - Volatility Comparison

Rolls-Royce Holdings plc (RYCEY) has a higher volatility of 15.99% compared to S&P 500 (^GSPC) at 5.79%. This indicates that RYCEY'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.


0.00%5.00%10.00%15.00%20.00%NovemberDecember2025FebruaryMarchApril
15.99%
5.79%
RYCEY
^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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