^GSPC vs. CMB1.L
^GSPC (S&P 500 Index) is an index, while CMB1.L (iShares FTSE MIB UCITS ETF (Acc)) is Europe Equities fund tracking the FTSE Italia AllShare TR EUR. Over the past 10 years, ^GSPC returned 13.81%/yr vs 16.17%/yr for CMB1.L. At a 0.48 correlation, their price movements are largely independent.
Performance
^GSPC vs. CMB1.L - Performance Comparison
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Different Trading Currencies
^GSPC is traded in USD, while CMB1.L is traded in GBp. To make them comparable, the CMB1.L values have been converted to USD using the latest available exchange rates.
Returns By Period
In the year-to-date period, ^GSPC achieves a 10.35% return, which is significantly lower than CMB1.L's 17.02% return. Over the past 10 years, ^GSPC has underperformed CMB1.L with an annualized return of 13.81%, while CMB1.L has yielded a comparatively higher 16.17% annualized return.
^GSPC
- 1D
- 1.65%
- 1M
- 1.97%
- YTD
- 10.35%
- 6M
- 10.82%
- 1Y
- 26.39%
- 3Y*
- 19.66%
- 5Y*
- 12.33%
- 10Y*
- 13.81%
CMB1.L
- 1D
- 1.03%
- 1M
- 6.84%
- YTD
- 17.02%
- 6M
- 18.75%
- 1Y
- 37.91%
- 3Y*
- 31.24%
- 5Y*
- 19.47%
- 10Y*
- 16.17%
^GSPC vs. CMB1.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^GSPC S&P 500 Index | 10.35% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
CMB1.L iShares FTSE MIB UCITS ETF (Acc) | 17.02% | 54.68% | 11.37% | 37.57% | -13.87% | 17.22% | 4.63% | 29.84% | -18.67% | 34.14% |
Correlation
The correlation between ^GSPC and CMB1.L is 0.54, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.54 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.40 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.48 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.46 |
Correlation (All Time) Calculated using the full available price history since Jan 26, 2010 | 0.48 |
The correlation between ^GSPC and CMB1.L shifts across timeframes, from 0.40 (3 years) to 0.54 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
^GSPC vs. CMB1.L — Risk / Return Rank
^GSPC
CMB1.L
^GSPC vs. CMB1.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Index (^GSPC) and iShares FTSE MIB UCITS ETF (Acc) (CMB1.L). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^GSPC | CMB1.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.06 | ||
| Sortino ratioReturn per unit of downside risk | -0.11 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 1.38 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 2.91 | 3.35 | -0.44 |
| Martin ratioReturn relative to average drawdown | 13.08 | 11.77 | +1.31 |
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Drawdowns
^GSPC vs. CMB1.L - Drawdown Comparison
The maximum ^GSPC drawdown since its inception was -56.78%, roughly equal to the maximum CMB1.L drawdown of -57.87%. Use the drawdown chart below to compare losses from any high point for ^GSPC and CMB1.L.
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Drawdown Indicators
| ^GSPC | CMB1.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.78% | -57.87% | +1.09% |
Max Drawdown (1Y)Largest decline over 1 year | -9.10% | -11.25% | +2.15% |
Max Drawdown (3Y)Largest decline over 3 years | -18.90% | -17.48% | -1.42% |
Max Drawdown (5Y)Largest decline over 5 years | -25.43% | -35.65% | +10.22% |
Max Drawdown (10Y)Largest decline over 10 years | -33.92% | -41.93% | +8.01% |
Current DrawdownCurrent decline from peak | -0.73% | 0.00% | -0.73% |
Average DrawdownAverage peak-to-trough decline | -10.72% | -19.36% | +8.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 3.20% | -1.18% |
Volatility
^GSPC vs. CMB1.L - Volatility Comparison
S&P 500 Index (^GSPC) and iShares FTSE MIB UCITS ETF (Acc) (CMB1.L) have volatilities of 4.67% and 4.73%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^GSPC | CMB1.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.67% | 4.73% | -0.06% |
Volatility (6M)Calculated over the trailing 6-month period | 9.83% | 13.97% | -4.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.44% | 17.22% | -4.78% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.99% | 21.24% | -4.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.11% | 22.73% | -4.62% |
Frequently Asked Questions
^GSPC and CMB1.L have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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