^GSPC vs. SPHD
Compare and contrast key facts about S&P 500 (^GSPC) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD).
SPHD is a passively managed fund by Invesco that tracks the performance of the S&P Low Volatility High Dividend index. It was launched on Oct 18, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^GSPC or SPHD.
Key characteristics
^GSPC | SPHD | |
---|---|---|
YTD Return | 11.29% | 8.07% |
1Y Return | 29.16% | 18.60% |
3Y Return (Ann) | 8.35% | 3.70% |
5Y Return (Ann) | 13.20% | 6.00% |
10Y Return (Ann) | 10.97% | 8.33% |
Sharpe Ratio | 2.44 | 1.29 |
Daily Std Dev | 11.61% | 12.73% |
Max Drawdown | -56.78% | -41.39% |
Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between ^GSPC and SPHD is 0.74, 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.
Performance
^GSPC vs. SPHD - Performance Comparison
In the year-to-date period, ^GSPC achieves a 11.29% return, which is significantly higher than SPHD's 8.07% return. Over the past 10 years, ^GSPC has outperformed SPHD with an annualized return of 10.97%, while SPHD has yielded a comparatively lower 8.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^GSPC vs. SPHD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 (^GSPC) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). 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. SPHD - Drawdown Comparison
The maximum ^GSPC drawdown since its inception was -56.78%, which is greater than SPHD's maximum drawdown of -41.39%. Use the drawdown chart below to compare losses from any high point for ^GSPC and SPHD. For additional features, visit the drawdowns tool.
Volatility
^GSPC vs. SPHD - Volatility Comparison
S&P 500 (^GSPC) has a higher volatility of 3.47% compared to Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) at 2.28%. This indicates that ^GSPC's price experiences larger fluctuations and is considered to be riskier than SPHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.