^GSPC vs. QUAL
^GSPC (S&P 500 Index) is an index, while QUAL (iShares MSCI USA Quality Factor ETF) is Large Cap Blend Equities fund tracking the MSCI USA Sector Neutral Quality Index. Over the past 10 years, ^GSPC returned 13.53%/yr vs 14.39%/yr for QUAL. With a 0.97 correlation, they move nearly in lockstep.
Performance
^GSPC vs. QUAL - Performance Comparison
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Returns By Period
In the year-to-date period, ^GSPC achieves a 8.02% return, which is significantly lower than QUAL's 8.93% return. Over the past 10 years, ^GSPC has underperformed QUAL with an annualized return of 13.53%, while QUAL has yielded a comparatively higher 14.39% annualized return.
^GSPC
- 1D
- 1.75%
- 1M
- -0.09%
- YTD
- 8.02%
- 6M
- 7.15%
- 1Y
- 22.78%
- 3Y*
- 19.45%
- 5Y*
- 11.73%
- 10Y*
- 13.53%
QUAL
- 1D
- 1.68%
- 1M
- 2.62%
- YTD
- 8.93%
- 6M
- 7.97%
- 1Y
- 20.75%
- 3Y*
- 19.36%
- 5Y*
- 11.86%
- 10Y*
- 14.39%
^GSPC vs. QUAL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^GSPC S&P 500 Index | 8.02% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
QUAL iShares MSCI USA Quality Factor ETF | 8.93% | 12.65% | 22.29% | 30.88% | -20.50% | 26.94% | 17.04% | 33.89% | -5.70% | 22.26% |
Correlation
The correlation between ^GSPC and QUAL is 0.94, 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 | 0.94 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.96 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.97 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.97 |
Correlation (All Time) Calculated using the full available price history since Jul 18, 2013 | 0.97 |
The correlation between ^GSPC and QUAL has been stable across timeframes, ranging from 0.94 to 0.97 - a consistent structural relationship.
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Return for Risk
^GSPC vs. QUAL — Risk / Return Rank
^GSPC
QUAL
^GSPC vs. QUAL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Index (^GSPC) and iShares MSCI USA Quality Factor ETF (QUAL). 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 | QUAL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.13 | ||
| Sortino ratioReturn per unit of downside risk | +0.07 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.30 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.52 | 2.31 | +0.21 |
| Martin ratioReturn relative to average drawdown | 11.31 | 10.45 | +0.86 |
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Drawdowns
^GSPC vs. QUAL - Drawdown Comparison
The maximum ^GSPC drawdown since its inception was -56.78%, which is greater than QUAL's maximum drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for ^GSPC and QUAL.
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Drawdown Indicators
| ^GSPC | QUAL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.78% | -34.06% | -22.72% |
Max Drawdown (1Y)Largest decline over 1 year | -9.10% | -9.03% | -0.07% |
Max Drawdown (3Y)Largest decline over 3 years | -18.90% | -18.00% | -0.90% |
Max Drawdown (5Y)Largest decline over 5 years | -25.43% | -28.23% | +2.80% |
Max Drawdown (10Y)Largest decline over 10 years | -33.92% | -34.06% | +0.14% |
Current DrawdownCurrent decline from peak | -2.83% | -0.66% | -2.17% |
Average DrawdownAverage peak-to-trough decline | -10.72% | -4.10% | -6.62% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 1.99% | +0.03% |
Volatility
^GSPC vs. QUAL - Volatility Comparison
S&P 500 Index (^GSPC) has a higher volatility of 4.44% compared to iShares MSCI USA Quality Factor ETF (QUAL) at 3.61%. This indicates that ^GSPC's price experiences larger fluctuations and is considered to be riskier than QUAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^GSPC | QUAL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.44% | 3.61% | +0.83% |
Volatility (6M)Calculated over the trailing 6-month period | 9.71% | 9.43% | +0.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.38% | 12.10% | +0.28% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.97% | 17.37% | -0.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.09% | 18.11% | -0.02% |
Frequently Asked Questions
With a correlation of 0.94, ^GSPC and QUAL move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
^GSPC has higher volatility (4.44%) compared to QUAL (3.61%). In terms of maximum drawdown, ^GSPC dropped -56.78% vs QUAL's -34.06%.
^GSPC currently has the higher Sharpe Ratio (1.85 vs 1.72), 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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