^GSPC vs. GARIX
^GSPC (S&P 500 Index) is an index, while GARIX (Gotham Absolute Return Fund) is Long-Short fund managed by Gotham. Over the past 10 years, ^GSPC returned 13.61%/yr vs 9.83%/yr for GARIX. Their correlation of 0.87 suggests significant overlap in exposure.
Performance
^GSPC vs. GARIX - Performance Comparison
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Returns By Period
In the year-to-date period, ^GSPC achieves a 8.56% return, which is significantly lower than GARIX's 9.41% return. Over the past 10 years, ^GSPC has outperformed GARIX with an annualized return of 13.61%, while GARIX has yielded a comparatively lower 9.83% annualized return.
^GSPC
- 1D
- 0.50%
- 1M
- -0.93%
- YTD
- 8.56%
- 6M
- 8.85%
- 1Y
- 24.33%
- 3Y*
- 19.37%
- 5Y*
- 11.84%
- 10Y*
- 13.61%
GARIX
- 1D
- 1.25%
- 1M
- 1.51%
- YTD
- 9.41%
- 6M
- 9.67%
- 1Y
- 19.56%
- 3Y*
- 18.51%
- 5Y*
- 13.93%
- 10Y*
- 9.83%
^GSPC vs. GARIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^GSPC S&P 500 Index | 8.56% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
GARIX Gotham Absolute Return Fund | 9.41% | 16.18% | 20.46% | 17.70% | -5.04% | 26.87% | -6.19% | 11.50% | -4.86% | 10.01% |
Correlation
The correlation between ^GSPC and GARIX is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.81 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.85 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.89 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.87 |
Correlation (All Time) Calculated using the full available price history since Sep 4, 2012 | 0.87 |
The correlation between ^GSPC and GARIX has been stable across timeframes, ranging from 0.81 to 0.89 - a consistent structural relationship.
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Return for Risk
^GSPC vs. GARIX — Risk / Return Rank
^GSPC
GARIX
^GSPC vs. GARIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Index (^GSPC) and Gotham Absolute Return Fund (GARIX). 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 | GARIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.47 | ||
| Sortino ratioReturn per unit of downside risk | -0.74 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.41 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | 2.53 | 5.05 | -2.52 |
| Martin ratioReturn relative to average drawdown | 11.37 | 20.05 | -8.68 |
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Drawdowns
^GSPC vs. GARIX - Drawdown Comparison
The maximum ^GSPC drawdown since its inception was -56.78%, which is greater than GARIX's maximum drawdown of -26.49%. Use the drawdown chart below to compare losses from any high point for ^GSPC and GARIX.
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Drawdown Indicators
| ^GSPC | GARIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.78% | -26.49% | -30.29% |
Max Drawdown (1Y)Largest decline over 1 year | -9.10% | -3.85% | -5.25% |
Max Drawdown (3Y)Largest decline over 3 years | -18.90% | -23.15% | +4.25% |
Max Drawdown (5Y)Largest decline over 5 years | -25.43% | -23.15% | -2.28% |
Max Drawdown (10Y)Largest decline over 10 years | -33.92% | -26.49% | -7.43% |
Current DrawdownCurrent decline from peak | -2.34% | -1.96% | -0.38% |
Average DrawdownAverage peak-to-trough decline | -10.72% | -4.51% | -6.21% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 0.97% | +1.05% |
Volatility
^GSPC vs. GARIX - Volatility Comparison
S&P 500 Index (^GSPC) has a higher volatility of 4.43% compared to Gotham Absolute Return Fund (GARIX) at 3.04%. This indicates that ^GSPC's price experiences larger fluctuations and is considered to be riskier than GARIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^GSPC | GARIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.43% | 3.04% | +1.39% |
Volatility (6M)Calculated over the trailing 6-month period | 9.70% | 6.61% | +3.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.38% | 8.34% | +4.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.97% | 15.39% | +1.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.09% | 13.90% | +4.19% |
Frequently Asked Questions
^GSPC and GARIX have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^GSPC has higher volatility (4.43%) compared to GARIX (3.04%). In terms of maximum drawdown, ^GSPC dropped -56.78% vs GARIX's -26.49%.
GARIX currently has the higher Sharpe Ratio (2.33 vs 1.86), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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