PortfoliosLab logo
STZ vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between STZ and SPY is 0.40, 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.


-0.50.00.51.0
Correlation: 0.4

Performance

STZ vs. SPY - Performance Comparison

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

2,000.00%4,000.00%6,000.00%8,000.00%10,000.00%12,000.00%NovemberDecember2025FebruaryMarchApril
9,473.37%
2,152.01%
STZ
SPY

Key characteristics

Sharpe Ratio

STZ:

-0.96

SPY:

0.51

Sortino Ratio

STZ:

-1.18

SPY:

0.86

Omega Ratio

STZ:

0.82

SPY:

1.13

Calmar Ratio

STZ:

-0.70

SPY:

0.55

Martin Ratio

STZ:

-1.52

SPY:

2.26

Ulcer Index

STZ:

18.27%

SPY:

4.55%

Daily Std Dev

STZ:

28.99%

SPY:

20.08%

Max Drawdown

STZ:

-75.46%

SPY:

-55.19%

Current Drawdown

STZ:

-30.61%

SPY:

-9.89%

Returns By Period

In the year-to-date period, STZ achieves a -15.63% return, which is significantly lower than SPY's -5.76% return. Over the past 10 years, STZ has underperformed SPY with an annualized return of 6.15%, while SPY has yielded a comparatively higher 11.99% annualized return.


STZ

YTD

-15.63%

1M

0.67%

6M

-21.78%

1Y

-27.87%

5Y*

4.73%

10Y*

6.15%

SPY

YTD

-5.76%

1M

-3.16%

6M

-4.30%

1Y

10.76%

5Y*

15.96%

10Y*

11.99%

*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

STZ vs. SPY — Risk-Adjusted Performance Rank

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

STZ
The Risk-Adjusted Performance Rank of STZ is 88
Overall Rank
The Sharpe Ratio Rank of STZ is 55
Sharpe Ratio Rank
The Sortino Ratio Rank of STZ is 1010
Sortino Ratio Rank
The Omega Ratio Rank of STZ is 88
Omega Ratio Rank
The Calmar Ratio Rank of STZ is 99
Calmar Ratio Rank
The Martin Ratio Rank of STZ is 77
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6161
Overall Rank
The Sharpe Ratio Rank of SPY is 5757
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 5858
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6161
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 6464
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6363
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.

STZ vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Constellation Brands, Inc. (STZ) 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.


The chart of Sharpe ratio for STZ, currently valued at -0.96, compared to the broader market-2.00-1.000.001.002.003.00
STZ: -0.96
SPY: 0.51
The chart of Sortino ratio for STZ, currently valued at -1.18, compared to the broader market-6.00-4.00-2.000.002.004.00
STZ: -1.18
SPY: 0.86
The chart of Omega ratio for STZ, currently valued at 0.82, compared to the broader market0.501.001.502.00
STZ: 0.82
SPY: 1.13
The chart of Calmar ratio for STZ, currently valued at -0.70, compared to the broader market0.001.002.003.004.005.00
STZ: -0.70
SPY: 0.55
The chart of Martin ratio for STZ, currently valued at -1.52, compared to the broader market-5.000.005.0010.0015.0020.00
STZ: -1.52
SPY: 2.26

The current STZ Sharpe Ratio is -0.96, which is lower than the SPY Sharpe Ratio of 0.51. The chart below compares the historical Sharpe Ratios of STZ 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 Ratio-1.000.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
-0.96
0.51
STZ
SPY

Dividends

STZ vs. SPY - Dividend Comparison

STZ's dividend yield for the trailing twelve months is around 2.18%, more than SPY's 1.30% yield.


TTM20242023202220212020201920182017201620152014
STZ
Constellation Brands, Inc.
2.18%1.77%1.44%1.36%1.21%1.37%1.58%1.70%0.86%0.98%0.65%0.00%
SPY
SPDR S&P 500 ETF
1.30%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

STZ vs. SPY - Drawdown Comparison

The maximum STZ drawdown since its inception was -75.46%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for STZ and SPY. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-30.61%
-9.89%
STZ
SPY

Volatility

STZ vs. SPY - Volatility Comparison

The current volatility for Constellation Brands, Inc. (STZ) is 9.28%, while SPDR S&P 500 ETF (SPY) has a volatility of 15.12%. This indicates that STZ experiences smaller price fluctuations and is considered to be less risky than SPY 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%NovemberDecember2025FebruaryMarchApril
9.28%
15.12%
STZ
SPY