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^GSPC vs. IVV
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^GSPC and IVV is 0.99, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.01.0

Performance

^GSPC vs. IVV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 (^GSPC) and iShares Core S&P 500 ETF (IVV). The values are adjusted to include any dividend payments, if applicable.

250.00%300.00%350.00%400.00%450.00%500.00%550.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
321.54%
563.23%
^GSPC
IVV

Key characteristics

Sharpe Ratio

^GSPC:

2.10

IVV:

2.25

Sortino Ratio

^GSPC:

2.80

IVV:

2.98

Omega Ratio

^GSPC:

1.39

IVV:

1.42

Calmar Ratio

^GSPC:

3.09

IVV:

3.32

Martin Ratio

^GSPC:

13.49

IVV:

14.68

Ulcer Index

^GSPC:

1.94%

IVV:

1.90%

Daily Std Dev

^GSPC:

12.52%

IVV:

12.43%

Max Drawdown

^GSPC:

-56.78%

IVV:

-55.25%

Current Drawdown

^GSPC:

-2.62%

IVV:

-2.52%

Returns By Period

In the year-to-date period, ^GSPC achieves a 24.34% return, which is significantly lower than IVV's 25.92% return. Over the past 10 years, ^GSPC has underperformed IVV with an annualized return of 11.06%, while IVV has yielded a comparatively higher 13.05% annualized return.


^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

IVV

YTD

25.92%

1M

0.33%

6M

9.27%

1Y

26.64%

5Y*

14.77%

10Y*

13.05%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^GSPC vs. IVV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 (^GSPC) and iShares Core S&P 500 ETF (IVV). 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 ^GSPC, currently valued at 2.10, compared to the broader market0.001.002.002.102.25
The chart of Sortino ratio for ^GSPC, currently valued at 2.80, compared to the broader market-1.000.001.002.003.002.802.98
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.901.001.101.201.301.401.391.42
The chart of Calmar ratio for ^GSPC, currently valued at 3.09, compared to the broader market0.001.002.003.003.093.32
The chart of Martin ratio for ^GSPC, currently valued at 13.49, compared to the broader market0.005.0010.0015.0020.0013.4914.68
^GSPC
IVV

The current ^GSPC Sharpe Ratio is 2.10, which is comparable to the IVV Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of ^GSPC and IVV, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.10
2.25
^GSPC
IVV

Drawdowns

^GSPC vs. IVV - Drawdown Comparison

The maximum ^GSPC drawdown since its inception was -56.78%, roughly equal to the maximum IVV drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for ^GSPC and IVV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.62%
-2.52%
^GSPC
IVV

Volatility

^GSPC vs. IVV - Volatility Comparison

S&P 500 (^GSPC) and iShares Core S&P 500 ETF (IVV) have volatilities of 3.79% and 3.75%, 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.79%
3.75%
^GSPC
IVV
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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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