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SPYX vs. CRM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPYX and CRM is 0.62, 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.


-0.50.00.51.00.6

Performance

SPYX vs. CRM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) and salesforce.com, inc. (CRM). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
9.98%
43.84%
SPYX
CRM

Key characteristics

Sharpe Ratio

SPYX:

2.25

CRM:

0.91

Sortino Ratio

SPYX:

3.01

CRM:

1.32

Omega Ratio

SPYX:

1.42

CRM:

1.22

Calmar Ratio

SPYX:

3.38

CRM:

1.05

Martin Ratio

SPYX:

14.88

CRM:

2.46

Ulcer Index

SPYX:

1.92%

CRM:

13.30%

Daily Std Dev

SPYX:

12.67%

CRM:

36.00%

Max Drawdown

SPYX:

-32.84%

CRM:

-70.50%

Current Drawdown

SPYX:

-2.30%

CRM:

-6.48%

Returns By Period

In the year-to-date period, SPYX achieves a 26.72% return, which is significantly lower than CRM's 31.33% return.


SPYX

YTD

26.72%

1M

0.27%

6M

9.71%

1Y

26.95%

5Y*

14.67%

10Y*

N/A

CRM

YTD

31.33%

1M

5.63%

6M

40.83%

1Y

29.31%

5Y*

16.02%

10Y*

19.08%

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Risk-Adjusted Performance

SPYX vs. CRM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) and salesforce.com, inc. (CRM). 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 SPYX, currently valued at 2.25, compared to the broader market0.002.004.002.250.91
The chart of Sortino ratio for SPYX, currently valued at 3.01, compared to the broader market-2.000.002.004.006.008.0010.003.011.32
The chart of Omega ratio for SPYX, currently valued at 1.42, compared to the broader market0.501.001.502.002.503.001.421.22
The chart of Calmar ratio for SPYX, currently valued at 3.38, compared to the broader market0.005.0010.0015.003.381.05
The chart of Martin ratio for SPYX, currently valued at 14.88, compared to the broader market0.0020.0040.0060.0080.00100.0014.882.46
SPYX
CRM

The current SPYX Sharpe Ratio is 2.25, which is higher than the CRM Sharpe Ratio of 0.91. The chart below compares the historical Sharpe Ratios of SPYX and CRM, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
2.25
0.91
SPYX
CRM

Dividends

SPYX vs. CRM - Dividend Comparison

SPYX's dividend yield for the trailing twelve months is around 0.76%, more than CRM's 0.47% yield.


TTM202320222021202020192018201720162015
SPYX
SPDR S&P 500 Fossil Fuel Reserves Free ETF
0.76%1.21%1.41%1.04%1.33%1.56%1.92%1.68%1.91%0.49%
CRM
salesforce.com, inc.
0.47%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

SPYX vs. CRM - Drawdown Comparison

The maximum SPYX drawdown since its inception was -32.84%, smaller than the maximum CRM drawdown of -70.50%. Use the drawdown chart below to compare losses from any high point for SPYX and CRM. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.30%
-6.48%
SPYX
CRM

Volatility

SPYX vs. CRM - Volatility Comparison

The current volatility for SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) is 3.78%, while salesforce.com, inc. (CRM) has a volatility of 13.69%. This indicates that SPYX experiences smaller price fluctuations and is considered to be less risky than CRM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
3.78%
13.69%
SPYX
CRM
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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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