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TRGP vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between TRGP and ^GSPC is 0.46, 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

TRGP vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Targa Resources Corp. (TRGP) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

400.00%600.00%800.00%1,000.00%1,200.00%1,400.00%JulyAugustSeptemberOctoberNovemberDecember
1,236.68%
384.65%
TRGP
^GSPC

Key characteristics

Sharpe Ratio

TRGP:

4.62

^GSPC:

2.10

Sortino Ratio

TRGP:

4.99

^GSPC:

2.80

Omega Ratio

TRGP:

1.71

^GSPC:

1.39

Calmar Ratio

TRGP:

6.43

^GSPC:

3.09

Martin Ratio

TRGP:

32.66

^GSPC:

13.49

Ulcer Index

TRGP:

3.39%

^GSPC:

1.94%

Daily Std Dev

TRGP:

23.97%

^GSPC:

12.52%

Max Drawdown

TRGP:

-95.21%

^GSPC:

-56.78%

Current Drawdown

TRGP:

-14.88%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, TRGP achieves a 108.11% return, which is significantly higher than ^GSPC's 24.34% return. Both investments have delivered pretty close results over the past 10 years, with TRGP having a 10.96% annualized return and ^GSPC not far ahead at 11.06%.


TRGP

YTD

108.11%

1M

-14.88%

6M

42.76%

1Y

108.50%

5Y*

37.84%

10Y*

10.96%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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Risk-Adjusted Performance

TRGP vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Targa Resources Corp. (TRGP) and S&P 500 (^GSPC). 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 TRGP, currently valued at 4.62, compared to the broader market-4.00-2.000.002.004.622.10
The chart of Sortino ratio for TRGP, currently valued at 4.99, compared to the broader market-4.00-2.000.002.004.004.992.80
The chart of Omega ratio for TRGP, currently valued at 1.71, compared to the broader market0.501.001.502.001.711.39
The chart of Calmar ratio for TRGP, currently valued at 6.43, compared to the broader market0.002.004.006.006.433.09
The chart of Martin ratio for TRGP, currently valued at 32.66, compared to the broader market-5.000.005.0010.0015.0020.0025.0032.6613.49
TRGP
^GSPC

The current TRGP Sharpe Ratio is 4.62, which is higher than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of TRGP and ^GSPC, 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 Ratio1.002.003.004.005.006.00JulyAugustSeptemberOctoberNovemberDecember
4.62
2.10
TRGP
^GSPC

Drawdowns

TRGP vs. ^GSPC - Drawdown Comparison

The maximum TRGP drawdown since its inception was -95.21%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for TRGP and ^GSPC. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-14.88%
-2.62%
TRGP
^GSPC

Volatility

TRGP vs. ^GSPC - Volatility Comparison

Targa Resources Corp. (TRGP) has a higher volatility of 10.00% compared to S&P 500 (^GSPC) at 3.79%. This indicates that TRGP's price experiences larger fluctuations and is considered to be riskier than ^GSPC 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%JulyAugustSeptemberOctoberNovemberDecember
10.00%
3.79%
TRGP
^GSPC
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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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