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TTEK vs. ^SP400
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between TTEK and ^SP400 is 0.48, 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

TTEK vs. ^SP400 - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Tetra Tech, Inc. (TTEK) and S&P 400 (^SP400). 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%14,000.00%JulyAugustSeptemberOctoberNovemberDecember
10,346.48%
2,013.18%
TTEK
^SP400

Key characteristics

Sharpe Ratio

TTEK:

0.77

^SP400:

0.72

Sortino Ratio

TTEK:

1.14

^SP400:

1.10

Omega Ratio

TTEK:

1.18

^SP400:

1.13

Calmar Ratio

TTEK:

1.05

^SP400:

1.38

Martin Ratio

TTEK:

3.27

^SP400:

3.83

Ulcer Index

TTEK:

6.64%

^SP400:

3.01%

Daily Std Dev

TTEK:

28.26%

^SP400:

15.98%

Max Drawdown

TTEK:

-77.90%

^SP400:

-56.32%

Current Drawdown

TTEK:

-20.69%

^SP400:

-8.39%

Returns By Period

In the year-to-date period, TTEK achieves a 20.50% return, which is significantly higher than ^SP400's 11.66% return. Over the past 10 years, TTEK has outperformed ^SP400 with an annualized return of 24.73%, while ^SP400 has yielded a comparatively lower 7.89% annualized return.


TTEK

YTD

20.50%

1M

-1.65%

6M

-4.12%

1Y

21.72%

5Y*

19.99%

10Y*

24.73%

^SP400

YTD

11.66%

1M

-3.44%

6M

6.33%

1Y

13.29%

5Y*

8.52%

10Y*

7.89%

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Risk-Adjusted Performance

TTEK vs. ^SP400 - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Tetra Tech, Inc. (TTEK) and S&P 400 (^SP400). 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 TTEK, currently valued at 0.77, compared to the broader market-4.00-2.000.002.000.770.84
The chart of Sortino ratio for TTEK, currently valued at 1.14, compared to the broader market-4.00-2.000.002.004.001.141.25
The chart of Omega ratio for TTEK, currently valued at 1.18, compared to the broader market0.501.001.502.001.181.15
The chart of Calmar ratio for TTEK, currently valued at 1.05, compared to the broader market0.002.004.006.001.051.58
The chart of Martin ratio for TTEK, currently valued at 3.27, compared to the broader market0.0010.0020.003.274.35
TTEK
^SP400

The current TTEK Sharpe Ratio is 0.77, which is comparable to the ^SP400 Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of TTEK and ^SP400, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.77
0.84
TTEK
^SP400

Drawdowns

TTEK vs. ^SP400 - Drawdown Comparison

The maximum TTEK drawdown since its inception was -77.90%, which is greater than ^SP400's maximum drawdown of -56.32%. Use the drawdown chart below to compare losses from any high point for TTEK and ^SP400. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-20.69%
-8.39%
TTEK
^SP400

Volatility

TTEK vs. ^SP400 - Volatility Comparison

The current volatility for Tetra Tech, Inc. (TTEK) is 4.20%, while S&P 400 (^SP400) has a volatility of 5.28%. This indicates that TTEK experiences smaller price fluctuations and is considered to be less risky than ^SP400 based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
4.20%
5.28%
TTEK
^SP400
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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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