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

Correlation

The correlation between ^SP500TR and TMO is 0.51, 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.


Performance

^SP500TR vs. TMO - Performance Comparison

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

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Key characteristics

Sharpe Ratio

^SP500TR:

0.60

TMO:

-1.20

Sortino Ratio

^SP500TR:

0.88

TMO:

-1.85

Omega Ratio

^SP500TR:

1.13

TMO:

0.78

Calmar Ratio

^SP500TR:

0.56

TMO:

-0.82

Martin Ratio

^SP500TR:

2.15

TMO:

-2.11

Ulcer Index

^SP500TR:

4.91%

TMO:

15.65%

Daily Std Dev

^SP500TR:

19.70%

TMO:

27.22%

Max Drawdown

^SP500TR:

-55.25%

TMO:

-71.16%

Current Drawdown

^SP500TR:

-5.21%

TMO:

-40.50%

Returns By Period

In the year-to-date period, ^SP500TR achieves a -0.82% return, which is significantly higher than TMO's -24.27% return. Both investments have delivered pretty close results over the past 10 years, with ^SP500TR having a 12.67% annualized return and TMO not far behind at 12.06%.


^SP500TR

YTD

-0.82%

1M

5.15%

6M

-2.14%

1Y

10.86%

3Y*

15.52%

5Y*

16.20%

10Y*

12.67%

TMO

YTD

-24.27%

1M

-7.21%

6M

-23.18%

1Y

-32.40%

3Y*

-10.25%

5Y*

3.21%

10Y*

12.06%

*Annualized

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S&P 500 Total Return

Thermo Fisher Scientific Inc.

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

^SP500TR vs. TMO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^SP500TR
The Risk-Adjusted Performance Rank of ^SP500TR is 7272
Overall Rank
The Sharpe Ratio Rank of ^SP500TR is 7474
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SP500TR is 6868
Sortino Ratio Rank
The Omega Ratio Rank of ^SP500TR is 7373
Omega Ratio Rank
The Calmar Ratio Rank of ^SP500TR is 7070
Calmar Ratio Rank
The Martin Ratio Rank of ^SP500TR is 7777
Martin Ratio Rank

TMO
The Risk-Adjusted Performance Rank of TMO is 33
Overall Rank
The Sharpe Ratio Rank of TMO is 11
Sharpe Ratio Rank
The Sortino Ratio Rank of TMO is 33
Sortino Ratio Rank
The Omega Ratio Rank of TMO is 55
Omega Ratio Rank
The Calmar Ratio Rank of TMO is 55
Calmar Ratio Rank
The Martin Ratio Rank of TMO is 00
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^SP500TR vs. TMO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Total Return (^SP500TR) and Thermo Fisher Scientific Inc. (TMO). 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.


The current ^SP500TR Sharpe Ratio is 0.60, which is higher than the TMO Sharpe Ratio of -1.20. The chart below compares the historical Sharpe Ratios of ^SP500TR and TMO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Drawdowns

^SP500TR vs. TMO - Drawdown Comparison

The maximum ^SP500TR drawdown since its inception was -55.25%, smaller than the maximum TMO drawdown of -71.16%. Use the drawdown chart below to compare losses from any high point for ^SP500TR and TMO.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

^SP500TR vs. TMO - Volatility Comparison

The current volatility for S&P 500 Total Return (^SP500TR) is 4.37%, while Thermo Fisher Scientific Inc. (TMO) has a volatility of 11.44%. This indicates that ^SP500TR experiences smaller price fluctuations and is considered to be less risky than TMO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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