^GSPC vs. META
^GSPC (S&P 500 Index) is an index, while META (Meta Platforms, Inc.) is a stock. Over the past 10 years, ^GSPC returned 13.61%/yr vs 17.39%/yr for META. A 0.56 correlation means they provide meaningful diversification when combined.
Performance
^GSPC vs. META - Performance Comparison
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Returns By Period
In the year-to-date period, ^GSPC achieves a 8.56% return, which is significantly higher than META's -14.03% return. Over the past 10 years, ^GSPC has underperformed META with an annualized return of 13.61%, while META has yielded a comparatively higher 17.39% annualized return.
^GSPC
- 1D
- 0.50%
- 1M
- -0.17%
- YTD
- 8.56%
- 6M
- 8.85%
- 1Y
- 22.93%
- 3Y*
- 19.37%
- 5Y*
- 11.84%
- 10Y*
- 13.61%
META
- 1D
- -0.26%
- 1M
- -8.05%
- YTD
- -14.03%
- 6M
- -11.84%
- 1Y
- -17.97%
- 3Y*
- 28.18%
- 5Y*
- 11.52%
- 10Y*
- 17.39%
^GSPC vs. META - 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% |
META Meta Platforms, Inc. | -14.03% | 13.09% | 66.05% | 194.13% | -64.22% | 23.13% | 33.09% | 56.57% | -25.71% | 53.38% |
Correlation
The correlation between ^GSPC and META is 0.57, 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 | 0.57 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.60 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.65 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.62 |
Correlation (All Time) Calculated using the full available price history since May 18, 2012 | 0.56 |
The correlation between ^GSPC and META has been stable across timeframes, ranging from 0.56 to 0.65 - a consistent structural relationship.
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Return for Risk
^GSPC vs. META — Risk / Return Rank
^GSPC
META
^GSPC vs. META - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Index (^GSPC) and Meta Platforms, Inc. (META). 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 | META | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.37 | ||
| Sortino ratioReturn per unit of downside risk | +3.08 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 0.93 | +0.41 |
| Calmar ratioReturn relative to maximum drawdown | 2.53 | -0.54 | +3.07 |
| Martin ratioReturn relative to average drawdown | 11.37 | -1.12 | +12.49 |
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Drawdowns
^GSPC vs. META - Drawdown Comparison
The maximum ^GSPC drawdown since its inception was -56.78%, smaller than the maximum META drawdown of -76.74%. Use the drawdown chart below to compare losses from any high point for ^GSPC and META.
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Drawdown Indicators
| ^GSPC | META | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.78% | -76.74% | +19.96% |
Max Drawdown (1Y)Largest decline over 1 year | -9.10% | -33.30% | +24.20% |
Max Drawdown (3Y)Largest decline over 3 years | -18.90% | -34.15% | +15.25% |
Max Drawdown (5Y)Largest decline over 5 years | -25.43% | -76.74% | +51.31% |
Max Drawdown (10Y)Largest decline over 10 years | -33.92% | -76.74% | +42.82% |
Current DrawdownCurrent decline from peak | -2.34% | -28.06% | +25.72% |
Average DrawdownAverage peak-to-trough decline | -10.72% | -15.83% | +5.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 16.06% | -14.04% |
Volatility
^GSPC vs. META - Volatility Comparison
The current volatility for S&P 500 Index (^GSPC) is 4.43%, while Meta Platforms, Inc. (META) has a volatility of 10.17%. This indicates that ^GSPC experiences smaller price fluctuations and is considered to be less risky than META based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^GSPC | META | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.43% | 10.17% | -5.74% |
Volatility (6M)Calculated over the trailing 6-month period | 9.70% | 26.91% | -17.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.38% | 35.52% | -23.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.97% | 44.04% | -27.07% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.09% | 38.67% | -20.58% |
Frequently Asked Questions
^GSPC and META have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
META has higher volatility (10.17%) compared to ^GSPC (4.43%). In terms of maximum drawdown, ^GSPC dropped -56.78% vs META's -76.74%.
^GSPC currently has the higher Sharpe Ratio (1.86 vs -0.51), 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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