WERN vs. ^GSPC
Compare and contrast key facts about Werner Enterprises, Inc. (WERN) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: WERN or ^GSPC.
Performance
WERN vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, WERN achieves a -5.40% return, which is significantly lower than ^GSPC's 23.08% return. Over the past 10 years, WERN has underperformed ^GSPC with an annualized return of 5.67%, while ^GSPC has yielded a comparatively higher 11.11% annualized return.
WERN
-5.40%
4.29%
6.91%
4.45%
2.12%
5.67%
^GSPC
23.08%
0.10%
10.70%
30.05%
13.52%
11.11%
Key characteristics
| WERN | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 0.07 | 2.48 |
| Sortino Ratio | 0.30 | 3.33 |
| Omega Ratio | 1.03 | 1.46 |
| Calmar Ratio | 0.06 | 3.58 |
| Martin Ratio | 0.16 | 15.96 |
| Ulcer Index | 11.37% | 1.90% |
| Daily Std Dev | 25.92% | 12.24% |
| Max Drawdown | -52.75% | -56.78% |
| Current Drawdown | -17.90% | -2.18% |
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Correlation
The correlation between WERN and ^GSPC is 0.42, 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.
Risk-Adjusted Performance
WERN vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Werner Enterprises, Inc. (WERN) 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
WERN vs. ^GSPC - Drawdown Comparison
The maximum WERN drawdown since its inception was -52.75%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for WERN and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
WERN vs. ^GSPC - Volatility Comparison
Werner Enterprises, Inc. (WERN) has a higher volatility of 10.74% compared to S&P 500 (^GSPC) at 4.06%. This indicates that WERN'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.