PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SAR vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between SAR and ^GSPC is 0.25, 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.


-0.50.00.51.00.2

Performance

SAR vs. ^GSPC - Performance Comparison

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

0.00%50.00%100.00%150.00%200.00%250.00%300.00%350.00%JulyAugustSeptemberOctoberNovemberDecember
35.47%
312.98%
SAR
^GSPC

Key characteristics

Sharpe Ratio

SAR:

0.29

^GSPC:

2.10

Sortino Ratio

SAR:

0.49

^GSPC:

2.80

Omega Ratio

SAR:

1.08

^GSPC:

1.39

Calmar Ratio

SAR:

0.39

^GSPC:

3.09

Martin Ratio

SAR:

0.70

^GSPC:

13.49

Ulcer Index

SAR:

7.75%

^GSPC:

1.94%

Daily Std Dev

SAR:

18.38%

^GSPC:

12.52%

Max Drawdown

SAR:

-90.83%

^GSPC:

-56.78%

Current Drawdown

SAR:

-6.20%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, SAR achieves a 3.78% return, which is significantly lower than ^GSPC's 24.34% return. Over the past 10 years, SAR has outperformed ^GSPC with an annualized return of 15.58%, while ^GSPC has yielded a comparatively lower 11.06% annualized return.


SAR

YTD

3.78%

1M

-4.59%

6M

10.63%

1Y

5.41%

5Y*

8.65%

10Y*

15.58%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

SAR vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Saratoga Investment Corp. (SAR) 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 SAR, currently valued at 0.29, compared to the broader market-4.00-2.000.002.000.292.10
The chart of Sortino ratio for SAR, currently valued at 0.49, compared to the broader market-4.00-2.000.002.004.000.492.80
The chart of Omega ratio for SAR, currently valued at 1.08, compared to the broader market0.501.001.502.001.081.39
The chart of Calmar ratio for SAR, currently valued at 0.39, compared to the broader market0.002.004.006.000.393.09
The chart of Martin ratio for SAR, currently valued at 0.70, compared to the broader market-5.000.005.0010.0015.0020.0025.000.7013.49
SAR
^GSPC

The current SAR Sharpe Ratio is 0.29, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of SAR 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.29
2.10
SAR
^GSPC

Drawdowns

SAR vs. ^GSPC - Drawdown Comparison

The maximum SAR drawdown since its inception was -90.83%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for SAR and ^GSPC. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.20%
-2.62%
SAR
^GSPC

Volatility

SAR vs. ^GSPC - Volatility Comparison

Saratoga Investment Corp. (SAR) has a higher volatility of 4.55% compared to S&P 500 (^GSPC) at 3.79%. This indicates that SAR'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%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
4.55%
3.79%
SAR
^GSPC
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab