PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SKM vs. SPLG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SKM and SPLG is 0.34, 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

SKM vs. SPLG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SK Telecom Co.,Ltd (SKM) and SPDR Portfolio S&P 500 ETF (SPLG). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%SeptemberOctoberNovemberDecember2025February
-2.46%
7.50%
SKM
SPLG

Key characteristics

Sharpe Ratio

SKM:

0.34

SPLG:

1.77

Sortino Ratio

SKM:

0.64

SPLG:

2.38

Omega Ratio

SKM:

1.08

SPLG:

1.32

Calmar Ratio

SKM:

0.22

SPLG:

2.67

Martin Ratio

SKM:

1.00

SPLG:

11.06

Ulcer Index

SKM:

6.44%

SPLG:

2.03%

Daily Std Dev

SKM:

18.68%

SPLG:

12.74%

Max Drawdown

SKM:

-74.37%

SPLG:

-54.52%

Current Drawdown

SKM:

-16.85%

SPLG:

-2.09%

Returns By Period

In the year-to-date period, SKM achieves a 7.89% return, which is significantly higher than SPLG's 2.39% return. Over the past 10 years, SKM has underperformed SPLG with an annualized return of 0.92%, while SPLG has yielded a comparatively higher 13.02% annualized return.


SKM

YTD

7.89%

1M

7.53%

6M

-2.46%

1Y

7.55%

5Y*

7.11%

10Y*

0.92%

SPLG

YTD

2.39%

1M

-1.05%

6M

7.50%

1Y

19.88%

5Y*

14.29%

10Y*

13.02%

*Annualized

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

SKM vs. SPLG — Risk-Adjusted Performance Rank

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

SKM
The Risk-Adjusted Performance Rank of SKM is 5454
Overall Rank
The Sharpe Ratio Rank of SKM is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of SKM is 5050
Sortino Ratio Rank
The Omega Ratio Rank of SKM is 4747
Omega Ratio Rank
The Calmar Ratio Rank of SKM is 5757
Calmar Ratio Rank
The Martin Ratio Rank of SKM is 5858
Martin Ratio Rank

SPLG
The Risk-Adjusted Performance Rank of SPLG is 7777
Overall Rank
The Sharpe Ratio Rank of SPLG is 7676
Sharpe Ratio Rank
The Sortino Ratio Rank of SPLG is 7373
Sortino Ratio Rank
The Omega Ratio Rank of SPLG is 7676
Omega Ratio Rank
The Calmar Ratio Rank of SPLG is 7878
Calmar Ratio Rank
The Martin Ratio Rank of SPLG is 8080
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.

SKM vs. SPLG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SK Telecom Co.,Ltd (SKM) and SPDR Portfolio S&P 500 ETF (SPLG). 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 SKM, currently valued at 0.34, compared to the broader market-2.000.002.000.341.77
The chart of Sortino ratio for SKM, currently valued at 0.64, compared to the broader market-4.00-2.000.002.004.006.000.642.38
The chart of Omega ratio for SKM, currently valued at 1.08, compared to the broader market0.501.001.502.001.081.32
The chart of Calmar ratio for SKM, currently valued at 0.22, compared to the broader market0.002.004.006.000.222.67
The chart of Martin ratio for SKM, currently valued at 1.00, compared to the broader market-10.000.0010.0020.0030.001.0011.06
SKM
SPLG

The current SKM Sharpe Ratio is 0.34, which is lower than the SPLG Sharpe Ratio of 1.77. The chart below compares the historical Sharpe Ratios of SKM and SPLG, 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 Ratio0.001.002.003.004.00SeptemberOctoberNovemberDecember2025February
0.34
1.77
SKM
SPLG

Dividends

SKM vs. SPLG - Dividend Comparison

SKM's dividend yield for the trailing twelve months is around 4.42%, more than SPLG's 1.25% yield.


TTM20242023202220212020201920182017201620152014
SKM
SK Telecom Co.,Ltd
4.42%4.76%6.86%6.81%73.99%2.45%2.37%2.20%2.25%2.84%2.91%2.15%
SPLG
SPDR Portfolio S&P 500 ETF
1.25%1.28%1.44%1.69%1.25%1.54%1.79%2.23%1.75%1.97%1.98%1.79%

Drawdowns

SKM vs. SPLG - Drawdown Comparison

The maximum SKM drawdown since its inception was -74.37%, which is greater than SPLG's maximum drawdown of -54.52%. Use the drawdown chart below to compare losses from any high point for SKM and SPLG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2025February
-16.85%
-2.09%
SKM
SPLG

Volatility

SKM vs. SPLG - Volatility Comparison

SK Telecom Co.,Ltd (SKM) has a higher volatility of 5.64% compared to SPDR Portfolio S&P 500 ETF (SPLG) at 3.34%. This indicates that SKM's price experiences larger fluctuations and is considered to be riskier than SPLG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%SeptemberOctoberNovemberDecember2025February
5.64%
3.34%
SKM
SPLG
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 © 2025 PortfoliosLab