SAR vs. ^GSPC
Compare and contrast key facts about Saratoga Investment Corp. (SAR) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SAR or ^GSPC.
Performance
SAR vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, SAR achieves a 7.93% return, which is significantly lower than ^GSPC's 24.05% return. Over the past 10 years, SAR has outperformed ^GSPC with an annualized return of 15.80%, while ^GSPC has yielded a comparatively lower 11.14% annualized return.
SAR
7.93%
5.00%
15.51%
12.17%
9.46%
15.80%
^GSPC
24.05%
0.89%
11.19%
30.12%
13.82%
11.14%
Key characteristics
| SAR | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 0.64 | 2.54 |
| Sortino Ratio | 0.92 | 3.40 |
| Omega Ratio | 1.15 | 1.47 |
| Calmar Ratio | 0.84 | 3.66 |
| Martin Ratio | 1.49 | 16.28 |
| Ulcer Index | 7.84% | 1.91% |
| Daily Std Dev | 18.16% | 12.25% |
| Max Drawdown | -90.83% | -56.78% |
| Current Drawdown | -0.43% | -1.41% |
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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.
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.
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.
Volatility
SAR vs. ^GSPC - Volatility Comparison
Saratoga Investment Corp. (SAR) has a higher volatility of 4.94% compared to S&P 500 (^GSPC) at 4.07%. 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.