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

Correlation

The correlation between SFM and TUR is 0.27, 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.


Performance

SFM vs. TUR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Sprouts Farmers Market, Inc. (SFM) and iShares MSCI Turkey ETF (TUR). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SFM:

2.93

TUR:

-0.77

Sortino Ratio

SFM:

3.30

TUR:

-0.84

Omega Ratio

SFM:

1.51

TUR:

0.89

Calmar Ratio

SFM:

4.47

TUR:

-0.44

Martin Ratio

SFM:

12.96

TUR:

-1.10

Ulcer Index

SFM:

8.64%

TUR:

18.39%

Daily Std Dev

SFM:

37.88%

TUR:

27.67%

Max Drawdown

SFM:

-72.88%

TUR:

-72.34%

Current Drawdown

SFM:

-8.94%

TUR:

-43.13%

Returns By Period

In the year-to-date period, SFM achieves a 26.92% return, which is significantly higher than TUR's -11.02% return. Over the past 10 years, SFM has outperformed TUR with an annualized return of 18.35%, while TUR has yielded a comparatively lower -1.93% annualized return.


SFM

YTD

26.92%

1M

0.68%

6M

13.71%

1Y

109.89%

5Y*

45.52%

10Y*

18.35%

TUR

YTD

-11.02%

1M

0.19%

6M

-9.68%

1Y

-21.22%

5Y*

12.52%

10Y*

-1.93%

*Annualized

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Risk-Adjusted Performance

SFM vs. TUR — Risk-Adjusted Performance Rank

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

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

TUR
The Risk-Adjusted Performance Rank of TUR is 22
Overall Rank
The Sharpe Ratio Rank of TUR is 11
Sharpe Ratio Rank
The Sortino Ratio Rank of TUR is 22
Sortino Ratio Rank
The Omega Ratio Rank of TUR is 22
Omega Ratio Rank
The Calmar Ratio Rank of TUR is 22
Calmar Ratio Rank
The Martin Ratio Rank of TUR is 44
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.

SFM vs. TUR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Sprouts Farmers Market, Inc. (SFM) and iShares MSCI Turkey ETF (TUR). 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.


The current SFM Sharpe Ratio is 2.93, which is higher than the TUR Sharpe Ratio of -0.77. The chart below compares the historical Sharpe Ratios of SFM and TUR, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

SFM vs. TUR - Dividend Comparison

SFM has not paid dividends to shareholders, while TUR's dividend yield for the trailing twelve months is around 2.01%.


TTM20242023202220212020201920182017201620152014
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%
TUR
iShares MSCI Turkey ETF
2.01%1.79%4.43%1.97%4.22%0.87%3.29%4.05%2.64%2.89%3.04%1.63%

Drawdowns

SFM vs. TUR - Drawdown Comparison

The maximum SFM drawdown since its inception was -72.88%, roughly equal to the maximum TUR drawdown of -72.34%. Use the drawdown chart below to compare losses from any high point for SFM and TUR. For additional features, visit the drawdowns tool.


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Volatility

SFM vs. TUR - Volatility Comparison

Sprouts Farmers Market, Inc. (SFM) has a higher volatility of 8.93% compared to iShares MSCI Turkey ETF (TUR) at 7.07%. This indicates that SFM's price experiences larger fluctuations and is considered to be riskier than TUR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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