^GSPC vs. IWM
Compare and contrast key facts about S&P 500 (^GSPC) and iShares Russell 2000 ETF (IWM).
IWM is a passively managed fund by iShares that tracks the performance of the Russell 2000 Index. It was launched on May 22, 2000.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^GSPC or IWM.
Performance
^GSPC vs. IWM - Performance Comparison
Returns By Period
In the year-to-date period, ^GSPC achieves a 24.05% return, which is significantly higher than IWM's 16.07% return. Over the past 10 years, ^GSPC has outperformed IWM with an annualized return of 11.13%, while IWM has yielded a comparatively lower 8.53% annualized return.
^GSPC
24.05%
1.08%
11.50%
30.38%
13.77%
11.13%
IWM
16.07%
3.98%
12.48%
32.08%
9.30%
8.53%
Key characteristics
| ^GSPC | IWM | |
|---|---|---|
| Sharpe Ratio | 2.46 | 1.45 |
| Sortino Ratio | 3.31 | 2.12 |
| Omega Ratio | 1.46 | 1.25 |
| Calmar Ratio | 3.55 | 1.22 |
| Martin Ratio | 15.76 | 7.96 |
| Ulcer Index | 1.91% | 3.82% |
| Daily Std Dev | 12.23% | 20.97% |
| Max Drawdown | -56.78% | -59.05% |
| Current Drawdown | -1.40% | -4.46% |
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Correlation
The correlation between ^GSPC and IWM is 0.86, 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.
Risk-Adjusted Performance
^GSPC vs. IWM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 (^GSPC) and iShares Russell 2000 ETF (IWM). 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
^GSPC vs. IWM - Drawdown Comparison
The maximum ^GSPC drawdown since its inception was -56.78%, roughly equal to the maximum IWM drawdown of -59.05%. Use the drawdown chart below to compare losses from any high point for ^GSPC and IWM. For additional features, visit the drawdowns tool.
Volatility
^GSPC vs. IWM - Volatility Comparison
The current volatility for S&P 500 (^GSPC) is 4.07%, while iShares Russell 2000 ETF (IWM) has a volatility of 7.47%. This indicates that ^GSPC experiences smaller price fluctuations and is considered to be less risky than IWM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.