^BSESN vs. SPY
Compare and contrast key facts about S&P BSE SENSEX (^BSESN) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^BSESN or SPY.
Key characteristics
| ^BSESN | SPY | |
|---|---|---|
| YTD Return | 12.43% | 23.66% |
| 1Y Return | 22.27% | 35.35% |
| 3Y Return (Ann) | 9.93% | 10.96% |
| 5Y Return (Ann) | 15.83% | 16.17% |
| 10Y Return (Ann) | 12.23% | 13.96% |
| Sharpe Ratio | 1.67 | 2.85 |
| Sortino Ratio | 2.22 | 3.80 |
| Omega Ratio | 1.34 | 1.52 |
| Calmar Ratio | 3.26 | 3.03 |
| Martin Ratio | 11.70 | 17.65 |
| Ulcer Index | 1.93% | 2.00% |
| Daily Std Dev | 13.58% | 12.40% |
| Max Drawdown | -60.91% | -55.19% |
| Current Drawdown | -5.38% | -0.35% |
Correlation
The correlation between ^BSESN and SPY is 0.23, 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.
Performance
^BSESN vs. SPY - Performance Comparison
In the year-to-date period, ^BSESN achieves a 12.43% return, which is significantly lower than SPY's 23.66% return. Over the past 10 years, ^BSESN has underperformed SPY with an annualized return of 12.23%, while SPY has yielded a comparatively higher 13.96% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^BSESN vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P BSE SENSEX (^BSESN) and SPDR S&P 500 ETF (SPY). 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
^BSESN vs. SPY - Drawdown Comparison
The maximum ^BSESN drawdown since its inception was -60.91%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^BSESN and SPY. For additional features, visit the drawdowns tool.
Volatility
^BSESN vs. SPY - Volatility Comparison
S&P BSE SENSEX (^BSESN) has a higher volatility of 3.92% compared to SPDR S&P 500 ETF (SPY) at 2.97%. This indicates that ^BSESN's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.