SND.DE vs. ^STOXX
Compare and contrast key facts about Schneider Electric S.E. (SND.DE) and STOXX Europe 600 Index (^STOXX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SND.DE or ^STOXX.
Performance
SND.DE vs. ^STOXX - Performance Comparison
Returns By Period
In the year-to-date period, SND.DE achieves a 33.36% return, which is significantly higher than ^STOXX's 4.97% return. Over the past 10 years, SND.DE has outperformed ^STOXX with an annualized return of 17.96%, while ^STOXX has yielded a comparatively lower 3.77% annualized return.
SND.DE
33.36%
-2.68%
4.75%
46.41%
25.07%
17.96%
^STOXX
4.97%
-4.22%
-4.02%
10.32%
4.40%
3.77%
Key characteristics
| SND.DE | ^STOXX | |
|---|---|---|
| Sharpe Ratio | 2.01 | 0.95 |
| Sortino Ratio | 2.55 | 1.33 |
| Omega Ratio | 1.33 | 1.17 |
| Calmar Ratio | 3.20 | 1.28 |
| Martin Ratio | 11.91 | 5.08 |
| Ulcer Index | 3.95% | 1.90% |
| Daily Std Dev | 23.37% | 10.11% |
| Max Drawdown | -62.20% | -61.04% |
| Current Drawdown | -3.76% | -4.78% |
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Correlation
The correlation between SND.DE and ^STOXX is 0.50, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
SND.DE vs. ^STOXX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Schneider Electric S.E. (SND.DE) and STOXX Europe 600 Index (^STOXX). 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
SND.DE vs. ^STOXX - Drawdown Comparison
The maximum SND.DE drawdown since its inception was -62.20%, roughly equal to the maximum ^STOXX drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for SND.DE and ^STOXX. For additional features, visit the drawdowns tool.
Volatility
SND.DE vs. ^STOXX - Volatility Comparison
Schneider Electric S.E. (SND.DE) has a higher volatility of 8.19% compared to STOXX Europe 600 Index (^STOXX) at 4.55%. This indicates that SND.DE's price experiences larger fluctuations and is considered to be riskier than ^STOXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.