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

Correlation

The correlation between SPYX and CRM is 0.64, 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.


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.

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Key characteristics

Sharpe Ratio

SPYX:

0.72

CRM:

0.07

Sortino Ratio

SPYX:

1.21

CRM:

0.47

Omega Ratio

SPYX:

1.18

CRM:

1.07

Calmar Ratio

SPYX:

0.83

CRM:

0.16

Martin Ratio

SPYX:

3.15

CRM:

0.38

Ulcer Index

SPYX:

4.90%

CRM:

15.21%

Daily Std Dev

SPYX:

19.93%

CRM:

38.87%

Max Drawdown

SPYX:

-32.84%

CRM:

-70.50%

Current Drawdown

SPYX:

-2.64%

CRM:

-20.64%

Returns By Period

In the year-to-date period, SPYX achieves a 1.77% return, which is significantly higher than CRM's -12.78% return.


SPYX

YTD

1.77%

1M

13.26%

6M

2.39%

1Y

14.32%

5Y*

17.23%

10Y*

N/A

CRM

YTD

-12.78%

1M

16.53%

6M

-10.24%

1Y

2.87%

5Y*

11.38%

10Y*

15.20%

*Annualized

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Risk-Adjusted Performance

SPYX vs. CRM — Risk-Adjusted Performance Rank

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

SPYX
The Risk-Adjusted Performance Rank of SPYX is 7373
Overall Rank
The Sharpe Ratio Rank of SPYX is 7070
Sharpe Ratio Rank
The Sortino Ratio Rank of SPYX is 7171
Sortino Ratio Rank
The Omega Ratio Rank of SPYX is 7474
Omega Ratio Rank
The Calmar Ratio Rank of SPYX is 7474
Calmar Ratio Rank
The Martin Ratio Rank of SPYX is 7474
Martin Ratio Rank

CRM
The Risk-Adjusted Performance Rank of CRM is 5454
Overall Rank
The Sharpe Ratio Rank of CRM is 5555
Sharpe Ratio Rank
The Sortino Ratio Rank of CRM is 5050
Sortino Ratio Rank
The Omega Ratio Rank of CRM is 5252
Omega Ratio Rank
The Calmar Ratio Rank of CRM is 5959
Calmar Ratio Rank
The Martin Ratio Rank of CRM is 5757
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.

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.


The current SPYX Sharpe Ratio is 0.72, which is higher than the CRM Sharpe Ratio of 0.07. 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.


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Dividends

SPYX vs. CRM - Dividend Comparison

SPYX's dividend yield for the trailing twelve months is around 1.05%, more than CRM's 0.56% yield.


TTM2024202320222021202020192018201720162015
SPYX
SPDR S&P 500 Fossil Fuel Reserves Free ETF
1.05%1.05%1.21%1.41%1.04%1.33%1.56%1.92%1.68%1.91%0.49%
CRM
salesforce.com, inc.
0.56%0.48%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.


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Volatility

SPYX vs. CRM - Volatility Comparison

The current volatility for SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) is 5.43%, while salesforce.com, inc. (CRM) has a volatility of 10.00%. 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.


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