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ZTS vs. ^SP500TR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ZTS and ^SP500TR is 0.56, 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.


-0.50.00.51.00.6

Performance

ZTS vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Zoetis Inc. (ZTS) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

350.00%400.00%450.00%500.00%550.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
480.22%
389.18%
ZTS
^SP500TR

Key characteristics

Sharpe Ratio

ZTS:

-0.58

^SP500TR:

2.23

Sortino Ratio

ZTS:

-0.67

^SP500TR:

2.97

Omega Ratio

ZTS:

0.91

^SP500TR:

1.42

Calmar Ratio

ZTS:

-0.36

^SP500TR:

3.31

Martin Ratio

ZTS:

-1.28

^SP500TR:

14.64

Ulcer Index

ZTS:

11.27%

^SP500TR:

1.91%

Daily Std Dev

ZTS:

24.93%

^SP500TR:

12.52%

Max Drawdown

ZTS:

-46.52%

^SP500TR:

-55.25%

Current Drawdown

ZTS:

-31.50%

^SP500TR:

-2.57%

Returns By Period

In the year-to-date period, ZTS achieves a -15.65% return, which is significantly lower than ^SP500TR's 26.03% return. Over the past 10 years, ZTS has outperformed ^SP500TR with an annualized return of 15.03%, while ^SP500TR has yielded a comparatively lower 13.10% annualized return.


ZTS

YTD

-15.65%

1M

-6.72%

6M

-3.20%

1Y

-14.62%

5Y*

5.28%

10Y*

15.03%

^SP500TR

YTD

26.03%

1M

0.36%

6M

9.25%

1Y

26.67%

5Y*

14.81%

10Y*

13.10%

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Risk-Adjusted Performance

ZTS vs. ^SP500TR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Zoetis Inc. (ZTS) and S&P 500 Total Return (^SP500TR). 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 ZTS, currently valued at -0.58, compared to the broader market-4.00-2.000.002.00-0.582.23
The chart of Sortino ratio for ZTS, currently valued at -0.67, compared to the broader market-4.00-2.000.002.004.00-0.672.97
The chart of Omega ratio for ZTS, currently valued at 0.91, compared to the broader market0.501.001.502.000.911.42
The chart of Calmar ratio for ZTS, currently valued at -0.36, compared to the broader market0.002.004.006.00-0.363.31
The chart of Martin ratio for ZTS, currently valued at -1.28, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.2814.64
ZTS
^SP500TR

The current ZTS Sharpe Ratio is -0.58, which is lower than the ^SP500TR Sharpe Ratio of 2.23. The chart below compares the historical Sharpe Ratios of ZTS and ^SP500TR, 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 Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.58
2.23
ZTS
^SP500TR

Drawdowns

ZTS vs. ^SP500TR - Drawdown Comparison

The maximum ZTS drawdown since its inception was -46.52%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for ZTS and ^SP500TR. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-31.50%
-2.57%
ZTS
^SP500TR

Volatility

ZTS vs. ^SP500TR - Volatility Comparison

Zoetis Inc. (ZTS) has a higher volatility of 5.52% compared to S&P 500 Total Return (^SP500TR) at 3.79%. This indicates that ZTS's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.52%
3.79%
ZTS
^SP500TR
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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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