^OEX vs. MSFT
Compare and contrast key facts about S&P 100 Index (^OEX) and Microsoft Corporation (MSFT).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^OEX or MSFT.
Performance
^OEX vs. MSFT - Performance Comparison
Returns By Period
In the year-to-date period, ^OEX achieves a 28.09% return, which is significantly higher than MSFT's 10.62% return. Over the past 10 years, ^OEX has underperformed MSFT with an annualized return of 12.10%, while MSFT has yielded a comparatively higher 26.08% annualized return.
^OEX
28.09%
1.18%
13.88%
32.89%
15.70%
12.10%
MSFT
10.62%
-3.23%
-2.94%
10.09%
23.67%
26.08%
Key characteristics
| ^OEX | MSFT | |
|---|---|---|
| Sharpe Ratio | 2.50 | 0.59 |
| Sortino Ratio | 3.31 | 0.88 |
| Omega Ratio | 1.47 | 1.12 |
| Calmar Ratio | 3.39 | 0.74 |
| Martin Ratio | 15.04 | 1.76 |
| Ulcer Index | 2.22% | 6.55% |
| Daily Std Dev | 13.36% | 19.50% |
| Max Drawdown | -61.31% | -69.39% |
| Current Drawdown | -1.15% | -11.36% |
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Correlation
The correlation between ^OEX and MSFT is 0.63, 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
^OEX vs. MSFT - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 100 Index (^OEX) and Microsoft Corporation (MSFT). 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
^OEX vs. MSFT - Drawdown Comparison
The maximum ^OEX drawdown since its inception was -61.31%, smaller than the maximum MSFT drawdown of -69.39%. Use the drawdown chart below to compare losses from any high point for ^OEX and MSFT. For additional features, visit the drawdowns tool.
Volatility
^OEX vs. MSFT - Volatility Comparison
The current volatility for S&P 100 Index (^OEX) is 4.24%, while Microsoft Corporation (MSFT) has a volatility of 8.00%. This indicates that ^OEX experiences smaller price fluctuations and is considered to be less risky than MSFT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.