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^SP400 vs. FIX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SP400 and FIX is 0.53, 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.


-0.50.00.51.00.5

Performance

^SP400 vs. FIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 400 (^SP400) and Comfort Systems USA, Inc. (FIX). The values are adjusted to include any dividend payments, if applicable.

500.00%1,000.00%1,500.00%2,000.00%2,500.00%3,000.00%3,500.00%4,000.00%JulyAugustSeptemberOctoberNovemberDecember
986.63%
3,305.81%
^SP400
FIX

Key characteristics

Sharpe Ratio

^SP400:

0.88

FIX:

2.52

Sortino Ratio

^SP400:

1.31

FIX:

2.88

Omega Ratio

^SP400:

1.16

FIX:

1.40

Calmar Ratio

^SP400:

1.66

FIX:

7.12

Martin Ratio

^SP400:

4.58

FIX:

17.97

Ulcer Index

^SP400:

3.05%

FIX:

6.26%

Daily Std Dev

^SP400:

15.91%

FIX:

44.68%

Max Drawdown

^SP400:

-56.32%

FIX:

-93.36%

Current Drawdown

^SP400:

-7.85%

FIX:

-13.03%

Returns By Period

In the year-to-date period, ^SP400 achieves a 12.32% return, which is significantly lower than FIX's 113.90% return. Over the past 10 years, ^SP400 has underperformed FIX with an annualized return of 7.92%, while FIX has yielded a comparatively higher 39.41% annualized return.


^SP400

YTD

12.32%

1M

-3.37%

6M

6.56%

1Y

12.46%

5Y*

8.64%

10Y*

7.92%

FIX

YTD

113.90%

1M

-7.94%

6M

38.85%

1Y

113.01%

5Y*

55.24%

10Y*

39.41%

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Risk-Adjusted Performance

^SP400 vs. FIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 400 (^SP400) and Comfort Systems USA, Inc. (FIX). 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 ^SP400, currently valued at 0.88, compared to the broader market0.001.002.000.882.52
The chart of Sortino ratio for ^SP400, currently valued at 1.31, compared to the broader market-1.000.001.002.003.001.312.88
The chart of Omega ratio for ^SP400, currently valued at 1.16, compared to the broader market0.901.001.101.201.301.401.161.40
The chart of Calmar ratio for ^SP400, currently valued at 1.66, compared to the broader market0.001.002.003.001.667.12
The chart of Martin ratio for ^SP400, currently valued at 4.58, compared to the broader market0.005.0010.0015.0020.004.5817.97
^SP400
FIX

The current ^SP400 Sharpe Ratio is 0.88, which is lower than the FIX Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of ^SP400 and FIX, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.88
2.52
^SP400
FIX

Drawdowns

^SP400 vs. FIX - Drawdown Comparison

The maximum ^SP400 drawdown since its inception was -56.32%, smaller than the maximum FIX drawdown of -93.36%. Use the drawdown chart below to compare losses from any high point for ^SP400 and FIX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.85%
-13.03%
^SP400
FIX

Volatility

^SP400 vs. FIX - Volatility Comparison

The current volatility for S&P 400 (^SP400) is 5.33%, while Comfort Systems USA, Inc. (FIX) has a volatility of 11.06%. This indicates that ^SP400 experiences smaller price fluctuations and is considered to be less risky than FIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
5.33%
11.06%
^SP400
FIX
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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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