SAN.PA vs. ^GSPC
SAN.PA (Sanofi) is a stock, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, SAN.PA returned 4.73%/yr vs 13.40%/yr for ^GSPC. At a 0.29 correlation, their price movements are largely independent.
Performance
SAN.PA vs. ^GSPC - Performance Comparison
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Different Trading Currencies
SAN.PA is traded in EUR, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to EUR using the latest available exchange rates.
Returns By Period
In the year-to-date period, SAN.PA achieves a -2.43% return, which is significantly lower than ^GSPC's 12.06% return. Over the past 10 years, SAN.PA has underperformed ^GSPC with an annualized return of 4.73%, while ^GSPC has yielded a comparatively higher 13.40% annualized return.
SAN.PA
- 1D
- 3.97%
- 1M
- 3.07%
- YTD
- -2.43%
- 6M
- -4.56%
- 1Y
- -7.35%
- 3Y*
- -2.72%
- 5Y*
- 1.93%
- 10Y*
- 4.73%
^GSPC
- 1D
- 0.27%
- 1M
- 5.17%
- YTD
- 12.06%
- 6M
- 10.90%
- 1Y
- 24.89%
- 3Y*
- 17.85%
- 5Y*
- 13.43%
- 10Y*
- 13.40%
SAN.PA vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SAN.PA Sanofi | -2.43% | -7.87% | 8.77% | 3.64% | 5.51% | 16.86% | -8.97% | 23.41% | 10.36% | -3.49% |
^GSPC S&P 500 Index | 12.06% | 2.58% | 31.45% | 20.51% | -14.45% | 36.38% | 6.68% | 31.79% | -1.84% | 4.74% |
Correlation
The correlation between SAN.PA and ^GSPC is 0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.07 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.08 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.17 |
Correlation (All Time) Calculated using the full available price history since Aug 28, 2007 | 0.29 |
Over the past year, the correlation between SAN.PA and ^GSPC has dropped to 0.07 - well below their long-term average of 0.29, suggesting their price drivers have been diverging.
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Return for Risk
SAN.PA vs. ^GSPC — Risk / Return Rank
SAN.PA
^GSPC
SAN.PA vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Sanofi (SAN.PA) and S&P 500 Index (^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.
| SAN.PA | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.34 | ||
| Sortino ratioReturn per unit of downside risk | -2.91 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.37 | -0.41 |
| Calmar ratioReturn relative to maximum drawdown | -0.45 | 3.30 | -3.75 |
| Martin ratioReturn relative to average drawdown | -0.79 | 12.34 | -13.13 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SAN.PA | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.30 | 2.04 | -2.34 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.08 | 0.80 | -0.72 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.22 | 0.72 | -0.50 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.36 | 0.51 | -0.15 |
Drawdowns
SAN.PA vs. ^GSPC - Drawdown Comparison
The maximum SAN.PA drawdown since its inception was -50.84%, roughly equal to the maximum ^GSPC drawdown of -51.62%. Use the drawdown chart below to compare losses from any high point for SAN.PA and ^GSPC.
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Drawdown Indicators
| SAN.PA | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -50.84% | -51.62% | +0.78% |
Max Drawdown (1Y)Largest decline over 1 year | -16.18% | -7.57% | -8.61% |
Max Drawdown (3Y)Largest decline over 3 years | -27.80% | -23.99% | -3.81% |
Max Drawdown (5Y)Largest decline over 5 years | -27.80% | -23.99% | -3.81% |
Max Drawdown (10Y)Largest decline over 10 years | -30.35% | -33.42% | +3.07% |
Current DrawdownCurrent decline from peak | -23.13% | -0.20% | -22.93% |
Average DrawdownAverage peak-to-trough decline | -14.68% | -9.08% | -5.60% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.03% | 2.02% | +7.01% |
Volatility
SAN.PA vs. ^GSPC - Volatility Comparison
Sanofi (SAN.PA) has a higher volatility of 6.23% compared to S&P 500 Index (^GSPC) at 2.24%. This indicates that SAN.PA'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.
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Volatility by Period
| SAN.PA | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.23% | 2.24% | +3.99% |
Volatility (6M)Calculated over the trailing 6-month period | 15.24% | 8.62% | +6.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.93% | 12.29% | +11.64% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.77% | 16.79% | +5.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.36% | 18.59% | +2.77% |
Frequently Asked Questions
SAN.PA and ^GSPC have a correlation of 0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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