VAL vs. ^GSPC
Compare and contrast key facts about Valaris Limited (VAL) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VAL or ^GSPC.
Key characteristics
| VAL | ^GSPC | |
|---|---|---|
| YTD Return | -27.08% | 25.70% |
| 1Y Return | -26.08% | 37.91% |
| 3Y Return (Ann) | 10.01% | 8.59% |
| Sharpe Ratio | -0.65 | 2.97 |
| Sortino Ratio | -0.77 | 3.97 |
| Omega Ratio | 0.91 | 1.56 |
| Calmar Ratio | -0.63 | 3.93 |
| Martin Ratio | -1.45 | 19.39 |
| Ulcer Index | 17.03% | 1.90% |
| Daily Std Dev | 37.81% | 12.38% |
| Max Drawdown | -39.45% | -56.78% |
| Current Drawdown | -37.48% | 0.00% |
Correlation
The correlation between VAL and ^GSPC is 0.35, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
VAL vs. ^GSPC - Performance Comparison
In the year-to-date period, VAL achieves a -27.08% return, which is significantly lower than ^GSPC's 25.70% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
VAL vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Valaris Limited (VAL) 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.
Drawdowns
VAL vs. ^GSPC - Drawdown Comparison
The maximum VAL drawdown since its inception was -39.45%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for VAL and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
VAL vs. ^GSPC - Volatility Comparison
Valaris Limited (VAL) has a higher volatility of 11.95% compared to S&P 500 (^GSPC) at 3.92%. This indicates that VAL'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.