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

Correlation

The correlation between TOL and SPY is 0.49, 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

TOL vs. SPY - Performance Comparison

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

-10.00%0.00%10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
9.07%
7.86%
TOL
SPY

Key characteristics

Sharpe Ratio

TOL:

0.70

SPY:

2.03

Sortino Ratio

TOL:

1.17

SPY:

2.71

Omega Ratio

TOL:

1.15

SPY:

1.38

Calmar Ratio

TOL:

0.99

SPY:

3.02

Martin Ratio

TOL:

3.37

SPY:

13.49

Ulcer Index

TOL:

7.39%

SPY:

1.88%

Daily Std Dev

TOL:

35.42%

SPY:

12.48%

Max Drawdown

TOL:

-76.39%

SPY:

-55.19%

Current Drawdown

TOL:

-25.08%

SPY:

-3.54%

Returns By Period

In the year-to-date period, TOL achieves a 23.22% return, which is significantly lower than SPY's 24.51% return. Over the past 10 years, TOL has outperformed SPY with an annualized return of 15.55%, while SPY has yielded a comparatively lower 12.94% annualized return.


TOL

YTD

23.22%

1M

-17.51%

6M

7.38%

1Y

22.52%

5Y*

27.39%

10Y*

15.55%

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

TOL vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Toll Brothers, Inc. (TOL) 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 TOL, currently valued at 0.70, compared to the broader market-4.00-2.000.002.000.702.03
The chart of Sortino ratio for TOL, currently valued at 1.17, compared to the broader market-4.00-2.000.002.004.001.172.71
The chart of Omega ratio for TOL, currently valued at 1.15, compared to the broader market0.501.001.502.001.151.38
The chart of Calmar ratio for TOL, currently valued at 0.99, compared to the broader market0.002.004.006.000.993.02
The chart of Martin ratio for TOL, currently valued at 3.37, compared to the broader market0.0010.0020.003.3713.49
TOL
SPY

The current TOL Sharpe Ratio is 0.70, which is lower than the SPY Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of TOL 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 Ratio0.501.001.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
0.70
2.03
TOL
SPY

Dividends

TOL vs. SPY - Dividend Comparison

TOL's dividend yield for the trailing twelve months is around 0.72%, less than SPY's 0.87% yield.


TTM20232022202120202019201820172016201520142013
TOL
Toll Brothers, Inc.
0.72%0.81%1.54%0.86%1.01%1.11%1.25%0.50%0.00%0.00%0.00%0.00%
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

TOL vs. SPY - Drawdown Comparison

The maximum TOL drawdown since its inception was -76.39%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for TOL and SPY. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-25.08%
-3.54%
TOL
SPY

Volatility

TOL vs. SPY - Volatility Comparison

Toll Brothers, Inc. (TOL) has a higher volatility of 13.27% compared to SPDR S&P 500 ETF (SPY) at 3.64%. This indicates that TOL'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.


0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
13.27%
3.64%
TOL
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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