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SFM vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SFM and SPY is 0.26, 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.


-0.50.00.51.00.3

Performance

SFM vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Sprouts Farmers Market, Inc. (SFM) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%250.00%300.00%JulyAugustSeptemberOctoberNovemberDecember
228.35%
323.27%
SFM
SPY

Key characteristics

Sharpe Ratio

SFM:

5.29

SPY:

2.21

Sortino Ratio

SFM:

6.67

SPY:

2.93

Omega Ratio

SFM:

1.90

SPY:

1.41

Calmar Ratio

SFM:

11.87

SPY:

3.26

Martin Ratio

SFM:

55.78

SPY:

14.43

Ulcer Index

SFM:

3.14%

SPY:

1.90%

Daily Std Dev

SFM:

33.07%

SPY:

12.41%

Max Drawdown

SFM:

-72.88%

SPY:

-55.19%

Current Drawdown

SFM:

-14.75%

SPY:

-2.74%

Returns By Period

In the year-to-date period, SFM achieves a 173.75% return, which is significantly higher than SPY's 25.54% return. Over the past 10 years, SFM has outperformed SPY with an annualized return of 14.99%, while SPY has yielded a comparatively lower 12.97% annualized return.


SFM

YTD

173.75%

1M

-9.73%

6M

70.27%

1Y

169.71%

5Y*

46.36%

10Y*

14.99%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

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Risk-Adjusted Performance

SFM vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Sprouts Farmers Market, Inc. (SFM) and SPDR S&P 500 ETF (SPY). 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 SFM, currently valued at 5.29, compared to the broader market-4.00-2.000.002.005.292.21
The chart of Sortino ratio for SFM, currently valued at 6.67, compared to the broader market-4.00-2.000.002.004.006.672.93
The chart of Omega ratio for SFM, currently valued at 1.90, compared to the broader market0.501.001.502.001.901.41
The chart of Calmar ratio for SFM, currently valued at 11.87, compared to the broader market0.002.004.006.0011.873.26
The chart of Martin ratio for SFM, currently valued at 55.78, compared to the broader market-5.000.005.0010.0015.0020.0025.0055.7814.43
SFM
SPY

The current SFM Sharpe Ratio is 5.29, which is higher than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of SFM and SPY, 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 Ratio2.004.006.008.00JulyAugustSeptemberOctoberNovemberDecember
5.29
2.21
SFM
SPY

Dividends

SFM vs. SPY - Dividend Comparison

SFM has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 0.86%.


TTM20232022202120202019201820172016201520142013
SFM
Sprouts Farmers Market, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

SFM vs. SPY - Drawdown Comparison

The maximum SFM drawdown since its inception was -72.88%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SFM and SPY. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-14.75%
-2.74%
SFM
SPY

Volatility

SFM vs. SPY - Volatility Comparison

Sprouts Farmers Market, Inc. (SFM) has a higher volatility of 9.75% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that SFM's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
9.75%
3.72%
SFM
SPY
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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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