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

Correlation

The correlation between SFM and TUR is 0.11, 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.


-0.50.00.51.00.1

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.

-50.00%0.00%50.00%100.00%150.00%200.00%250.00%300.00%JulyAugustSeptemberOctoberNovemberDecember
228.35%
-15.16%
SFM
TUR

Key characteristics

Sharpe Ratio

SFM:

5.29

TUR:

0.39

Sortino Ratio

SFM:

6.67

TUR:

0.71

Omega Ratio

SFM:

1.90

TUR:

1.08

Calmar Ratio

SFM:

11.87

TUR:

0.21

Martin Ratio

SFM:

55.78

TUR:

0.77

Ulcer Index

SFM:

3.14%

TUR:

12.16%

Daily Std Dev

SFM:

33.07%

TUR:

23.81%

Max Drawdown

SFM:

-72.88%

TUR:

-72.34%

Current Drawdown

SFM:

-14.75%

TUR:

-36.12%

Returns By Period

In the year-to-date period, SFM achieves a 173.75% return, which is significantly higher than TUR's 12.85% return. Over the past 10 years, SFM has outperformed TUR with an annualized return of 14.99%, while TUR has yielded a comparatively lower -1.38% annualized return.


SFM

YTD

173.75%

1M

-9.73%

6M

70.27%

1Y

169.71%

5Y*

46.36%

10Y*

14.99%

TUR

YTD

12.85%

1M

1.93%

6M

-14.84%

1Y

10.06%

5Y*

9.10%

10Y*

-1.38%

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Risk-Adjusted Performance

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.


Sharpe ratio
The chart of Sharpe ratio for SFM, currently valued at 5.29, compared to the broader market-4.00-2.000.002.005.290.39
The chart of Sortino ratio for SFM, currently valued at 6.67, compared to the broader market-4.00-2.000.002.004.006.670.71
The chart of Omega ratio for SFM, currently valued at 1.90, compared to the broader market0.501.001.502.001.901.08
The chart of Calmar ratio for SFM, currently valued at 11.87, compared to the broader market0.002.004.006.0011.870.30
The chart of Martin ratio for SFM, currently valued at 55.78, compared to the broader market-5.000.005.0010.0015.0020.0025.0055.780.77
SFM
TUR

The current SFM Sharpe Ratio is 5.29, which is higher than the TUR Sharpe Ratio of 0.39. 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.


Rolling 12-month Sharpe Ratio0.002.004.006.008.00JulyAugustSeptemberOctoberNovemberDecember
5.29
0.39
SFM
TUR

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 1.79%.


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%
TUR
iShares MSCI Turkey ETF
1.79%4.43%1.97%4.22%0.87%3.29%4.05%2.63%2.89%3.04%1.63%2.34%

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.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-14.75%
-21.09%
SFM
TUR

Volatility

SFM vs. TUR - Volatility Comparison

Sprouts Farmers Market, Inc. (SFM) has a higher volatility of 9.75% compared to iShares MSCI Turkey ETF (TUR) at 6.64%. 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.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%JulyAugustSeptemberOctoberNovemberDecember
9.75%
6.64%
SFM
TUR
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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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