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^SP600 vs. GNE
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SP600 and GNE is 0.34, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.3

Performance

^SP600 vs. GNE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 600 (^SP600) and Genie Energy Ltd. (GNE). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
10.39%
0.59%
^SP600
GNE

Key characteristics

Sharpe Ratio

^SP600:

0.49

GNE:

-1.34

Sortino Ratio

^SP600:

0.84

GNE:

-2.00

Omega Ratio

^SP600:

1.10

GNE:

0.75

Calmar Ratio

^SP600:

0.64

GNE:

-0.91

Martin Ratio

^SP600:

2.63

GNE:

-1.07

Ulcer Index

^SP600:

3.73%

GNE:

45.09%

Daily Std Dev

^SP600:

19.90%

GNE:

36.20%

Max Drawdown

^SP600:

-59.17%

GNE:

-75.12%

Current Drawdown

^SP600:

-8.46%

GNE:

-51.86%

Returns By Period

In the year-to-date period, ^SP600 achieves a 7.26% return, which is significantly higher than GNE's -47.62% return. Over the past 10 years, ^SP600 has underperformed GNE with an annualized return of 7.52%, while GNE has yielded a comparatively higher 11.71% annualized return.


^SP600

YTD

7.26%

1M

-3.31%

6M

10.06%

1Y

7.59%

5Y*

6.71%

10Y*

7.52%

GNE

YTD

-47.62%

1M

-8.48%

6M

1.99%

1Y

-49.10%

5Y*

14.94%

10Y*

11.71%

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Risk-Adjusted Performance

^SP600 vs. GNE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 600 (^SP600) and Genie Energy Ltd. (GNE). 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 ^SP600, currently valued at 0.49, compared to the broader market-1.000.001.002.000.49-1.34
The chart of Sortino ratio for ^SP600, currently valued at 0.84, compared to the broader market0-1.000.001.002.003.000.84
The chart of Omega ratio for ^SP600, currently valued at 1.10, compared to the broader market00.800.901.001.101.201.301.401.10
The chart of Calmar ratio for ^SP600, currently valued at 0.64, compared to the broader market00.001.002.003.004.000.64
The chart of Martin ratio for ^SP600, currently valued at 2.63, compared to the broader market0.005.0010.0015.002.63-1.07
^SP600
GNE

The current ^SP600 Sharpe Ratio is 0.49, which is higher than the GNE Sharpe Ratio of -1.34. The chart below compares the historical Sharpe Ratios of ^SP600 and GNE, 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-1.50-1.00-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.49
-1.34
^SP600
GNE

Drawdowns

^SP600 vs. GNE - Drawdown Comparison

The maximum ^SP600 drawdown since its inception was -59.17%, smaller than the maximum GNE drawdown of -75.12%. Use the drawdown chart below to compare losses from any high point for ^SP600 and GNE. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.46%
-51.86%
^SP600
GNE

Volatility

^SP600 vs. GNE - Volatility Comparison

The current volatility for S&P 600 (^SP600) is 5.84%, while Genie Energy Ltd. (GNE) has a volatility of 7.81%. This indicates that ^SP600 experiences smaller price fluctuations and is considered to be less risky than GNE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.84%
7.81%
^SP600
GNE
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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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