^GSPC vs. NFLX
^GSPC (S&P 500 Index) is an index, while NFLX (Netflix, Inc.) is a stock. Over the past 10 years, ^GSPC returned 13.61%/yr vs 23.92%/yr for NFLX. At a 0.41 correlation, their price movements are largely independent.
Performance
^GSPC vs. NFLX - 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 NFLX's -14.31% return. Over the past 10 years, ^GSPC has underperformed NFLX with an annualized return of 13.61%, while NFLX has yielded a comparatively higher 23.92% 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%
NFLX
- 1D
- -1.14%
- 1M
- -8.25%
- YTD
- -14.31%
- 6M
- -15.60%
- 1Y
- -33.88%
- 3Y*
- 22.62%
- 5Y*
- 10.45%
- 10Y*
- 23.92%
^GSPC vs. NFLX - 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% |
NFLX Netflix, Inc. | -14.31% | 5.19% | 83.07% | 65.11% | -51.05% | 11.41% | 67.11% | 20.89% | 39.44% | 55.06% |
Correlation
The correlation between ^GSPC and NFLX is 0.17, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.17 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.43 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.50 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.49 |
Correlation (All Time) Calculated using the full available price history since May 23, 2002 | 0.41 |
Over the past year, the correlation between ^GSPC and NFLX has dropped to 0.17 - well below their long-term average of 0.41, suggesting their price drivers have been diverging.
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Return for Risk
^GSPC vs. NFLX — Risk / Return Rank
^GSPC
NFLX
^GSPC vs. NFLX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Index (^GSPC) and Netflix, Inc. (NFLX). 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 | NFLX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.89 | ||
| Sortino ratioReturn per unit of downside risk | +3.99 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 0.81 | +0.52 |
| Calmar ratioReturn relative to maximum drawdown | 2.53 | -0.78 | +3.32 |
| Martin ratioReturn relative to average drawdown | 11.37 | -1.35 | +12.72 |
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Drawdowns
^GSPC vs. NFLX - Drawdown Comparison
The maximum ^GSPC drawdown since its inception was -56.78%, smaller than the maximum NFLX drawdown of -81.99%. Use the drawdown chart below to compare losses from any high point for ^GSPC and NFLX.
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Drawdown Indicators
| ^GSPC | NFLX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.78% | -81.99% | +25.21% |
Max Drawdown (1Y)Largest decline over 1 year | -9.10% | -43.35% | +34.25% |
Max Drawdown (3Y)Largest decline over 3 years | -18.90% | -43.35% | +24.45% |
Max Drawdown (5Y)Largest decline over 5 years | -25.43% | -75.95% | +50.52% |
Max Drawdown (10Y)Largest decline over 10 years | -33.92% | -75.95% | +42.03% |
Current DrawdownCurrent decline from peak | -2.34% | -40.01% | +37.67% |
Average DrawdownAverage peak-to-trough decline | -10.72% | -24.91% | +14.19% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 25.19% | -23.17% |
Volatility
^GSPC vs. NFLX - Volatility Comparison
The current volatility for S&P 500 Index (^GSPC) is 4.43%, while Netflix, Inc. (NFLX) has a volatility of 5.85%. This indicates that ^GSPC experiences smaller price fluctuations and is considered to be less risky than NFLX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^GSPC | NFLX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.43% | 5.85% | -1.42% |
Volatility (6M)Calculated over the trailing 6-month period | 9.70% | 24.58% | -14.88% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.38% | 33.05% | -20.67% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.97% | 43.09% | -26.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.09% | 41.49% | -23.40% |
Frequently Asked Questions
^GSPC and NFLX have a correlation of 0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NFLX has higher volatility (5.85%) compared to ^GSPC (4.43%). In terms of maximum drawdown, ^GSPC dropped -56.78% vs NFLX's -81.99%.
^GSPC currently has the higher Sharpe Ratio (1.86 vs -1.03), 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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