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STX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between STX and SPY is 0.52, 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.


-0.50.00.51.00.5

Performance

STX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Seagate Technology plc (STX) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

800.00%1,000.00%1,200.00%1,400.00%1,600.00%1,800.00%2,000.00%JulyAugustSeptemberOctoberNovemberDecember
1,601.31%
876.09%
STX
SPY

Key characteristics

Sharpe Ratio

STX:

0.43

SPY:

2.03

Sortino Ratio

STX:

0.80

SPY:

2.71

Omega Ratio

STX:

1.10

SPY:

1.38

Calmar Ratio

STX:

0.53

SPY:

3.02

Martin Ratio

STX:

1.71

SPY:

13.49

Ulcer Index

STX:

7.74%

SPY:

1.88%

Daily Std Dev

STX:

30.66%

SPY:

12.48%

Max Drawdown

STX:

-88.74%

SPY:

-55.19%

Current Drawdown

STX:

-18.07%

SPY:

-3.54%

Returns By Period

In the year-to-date period, STX achieves a 10.46% return, which is significantly lower than SPY's 24.51% return. Over the past 10 years, STX has underperformed SPY with an annualized return of 8.16%, while SPY has yielded a comparatively higher 12.94% annualized return.


STX

YTD

10.46%

1M

-4.89%

6M

-11.75%

1Y

13.34%

5Y*

13.64%

10Y*

8.16%

SPY

YTD

24.51%

1M

-0.32%

6M

7.56%

1Y

24.63%

5Y*

14.51%

10Y*

12.94%

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Risk-Adjusted Performance

STX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Seagate Technology plc (STX) and SPDR S&P 500 ETF (SPY). 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 STX, currently valued at 0.43, compared to the broader market-4.00-2.000.002.000.432.03
The chart of Sortino ratio for STX, currently valued at 0.80, compared to the broader market-4.00-2.000.002.004.000.802.71
The chart of Omega ratio for STX, currently valued at 1.10, compared to the broader market0.501.001.502.001.101.38
The chart of Calmar ratio for STX, currently valued at 0.53, compared to the broader market0.002.004.006.000.533.02
The chart of Martin ratio for STX, currently valued at 1.71, compared to the broader market0.0010.0020.001.7113.49
STX
SPY

The current STX Sharpe Ratio is 0.43, which is lower than the SPY Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of STX and SPY, 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
0.43
2.03
STX
SPY

Dividends

STX vs. SPY - Dividend Comparison

STX's dividend yield for the trailing twelve months is around 3.84%, more than SPY's 0.87% yield.


TTM20232022202120202019201820172016201520142013
STX
Seagate Technology plc
3.84%3.28%5.32%2.40%4.21%4.27%6.53%6.02%6.60%6.14%2.75%2.12%
SPY
SPDR S&P 500 ETF
0.87%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

STX vs. SPY - Drawdown Comparison

The maximum STX drawdown since its inception was -88.74%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for STX and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-18.07%
-3.54%
STX
SPY

Volatility

STX vs. SPY - Volatility Comparison

Seagate Technology plc (STX) has a higher volatility of 7.28% compared to SPDR S&P 500 ETF (SPY) at 3.64%. This indicates that STX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
7.28%
3.64%
STX
SPY
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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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