VWDRY vs. ^GSPC
Compare and contrast key facts about Vestas Wind Systems A/S (VWDRY) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VWDRY or ^GSPC.
Key characteristics
| VWDRY | ^GSPC | |
|---|---|---|
| YTD Return | -40.13% | 22.47% |
| 1Y Return | -4.99% | 35.39% |
| 3Y Return (Ann) | -21.28% | 9.22% |
| 5Y Return (Ann) | 4.09% | 14.40% |
| 10Y Return (Ann) | 12.56% | 11.89% |
| Sharpe Ratio | -0.21 | 2.69 |
| Sortino Ratio | -0.05 | 3.58 |
| Omega Ratio | 0.99 | 1.49 |
| Calmar Ratio | -0.13 | 2.37 |
| Martin Ratio | -0.44 | 17.17 |
| Ulcer Index | 18.93% | 1.96% |
| Daily Std Dev | 38.80% | 12.50% |
| Max Drawdown | -97.29% | -56.78% |
| Current Drawdown | -63.37% | -0.31% |
Correlation
The correlation between VWDRY and ^GSPC is 0.36, 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
VWDRY vs. ^GSPC - Performance Comparison
In the year-to-date period, VWDRY achieves a -40.13% return, which is significantly lower than ^GSPC's 22.47% return. Over the past 10 years, VWDRY has outperformed ^GSPC with an annualized return of 12.56%, while ^GSPC has yielded a comparatively lower 11.89% annualized 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
VWDRY vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Vestas Wind Systems A/S (VWDRY) 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
VWDRY vs. ^GSPC - Drawdown Comparison
The maximum VWDRY drawdown since its inception was -97.29%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for VWDRY and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
VWDRY vs. ^GSPC - Volatility Comparison
Vestas Wind Systems A/S (VWDRY) has a higher volatility of 10.18% compared to S&P 500 (^GSPC) at 3.00%. This indicates that VWDRY'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.