^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.
Performance
^GSPC vs. SPHD - Performance Comparison
Returns By Period
In the year-to-date period, ^GSPC achieves a 24.05% return, which is significantly higher than SPHD's 22.49% return. Over the past 10 years, ^GSPC has outperformed SPHD with an annualized return of 11.13%, while SPHD has yielded a comparatively lower 8.74% annualized return.
^GSPC
24.05%
1.08%
11.50%
30.38%
13.77%
11.13%
SPHD
22.49%
-0.18%
13.83%
32.04%
7.70%
8.74%
Key characteristics
| ^GSPC | SPHD | |
|---|---|---|
| Sharpe Ratio | 2.46 | 2.85 |
| Sortino Ratio | 3.31 | 4.07 |
| Omega Ratio | 1.46 | 1.52 |
| Calmar Ratio | 3.55 | 2.25 |
| Martin Ratio | 15.76 | 19.55 |
| Ulcer Index | 1.91% | 1.63% |
| Daily Std Dev | 12.23% | 11.16% |
| Max Drawdown | -56.78% | -41.39% |
| Current Drawdown | -1.40% | -1.06% |
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Correlation
The correlation between ^GSPC and SPHD is 0.72, 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. 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 4.07% compared to Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) at 2.62%. 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.