^GSPC vs. URTH
^GSPC (S&P 500 Index) is an index, while URTH (iShares MSCI World ETF) is Global Equities fund tracking the MSCI World Index (Net). Over the past 10 years, ^GSPC returned 13.61%/yr vs 13.38%/yr for URTH. Their correlation of 0.86 suggests significant overlap in exposure.
Performance
^GSPC vs. URTH - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with ^GSPC having a 8.56% return and URTH slightly higher at 8.91%. Both investments have delivered pretty close results over the past 10 years, with ^GSPC having a 13.61% annualized return and URTH not far behind at 13.38%.
^GSPC
- 1D
- 0.50%
- 1M
- 0.31%
- YTD
- 8.56%
- 6M
- 8.85%
- 1Y
- 24.33%
- 3Y*
- 19.37%
- 5Y*
- 11.84%
- 10Y*
- 13.61%
URTH
- 1D
- 0.39%
- 1M
- 1.20%
- YTD
- 8.91%
- 6M
- 9.60%
- 1Y
- 24.56%
- 3Y*
- 19.60%
- 5Y*
- 11.45%
- 10Y*
- 13.38%
^GSPC vs. URTH - 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% |
URTH iShares MSCI World ETF | 8.91% | 21.36% | 18.66% | 23.95% | -17.97% | 22.27% | 15.78% | 28.15% | -8.56% | 22.95% |
Correlation
The correlation between ^GSPC and URTH is 0.98 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.98 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.97 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.98 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.96 |
Correlation (All Time) Calculated using the full available price history since Jan 12, 2012 | 0.86 |
The correlation between ^GSPC and URTH shifts across timeframes, from 0.86 (all time) to 0.98 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
^GSPC vs. URTH — Risk / Return Rank
^GSPC
URTH
^GSPC vs. URTH - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Index (^GSPC) and iShares MSCI World ETF (URTH). 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 | URTH | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.02 | ||
| Sortino ratioReturn per unit of downside risk | -0.02 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.33 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 2.53 | 2.56 | -0.03 |
| Martin ratioReturn relative to average drawdown | 11.37 | 11.37 | 0.00 |
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Drawdowns
^GSPC vs. URTH - Drawdown Comparison
The maximum ^GSPC drawdown since its inception was -56.78%, which is greater than URTH's maximum drawdown of -34.01%. Use the drawdown chart below to compare losses from any high point for ^GSPC and URTH.
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Drawdown Indicators
| ^GSPC | URTH | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.78% | -34.01% | -22.77% |
Max Drawdown (1Y)Largest decline over 1 year | -9.10% | -9.06% | -0.04% |
Max Drawdown (3Y)Largest decline over 3 years | -18.90% | -16.94% | -1.96% |
Max Drawdown (5Y)Largest decline over 5 years | -25.43% | -26.05% | +0.62% |
Max Drawdown (10Y)Largest decline over 10 years | -33.92% | -34.01% | +0.09% |
Current DrawdownCurrent decline from peak | -2.34% | -1.87% | -0.47% |
Average DrawdownAverage peak-to-trough decline | -10.72% | -4.37% | -6.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 2.04% | -0.02% |
Volatility
^GSPC vs. URTH - Volatility Comparison
S&P 500 Index (^GSPC) and iShares MSCI World ETF (URTH) have volatilities of 4.43% and 4.55%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^GSPC | URTH | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.43% | 4.55% | -0.12% |
Volatility (6M)Calculated over the trailing 6-month period | 9.70% | 10.11% | -0.41% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.38% | 12.57% | -0.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.97% | 16.26% | +0.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.09% | 17.29% | +0.80% |
Frequently Asked Questions
With a correlation of 0.98, ^GSPC and URTH 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.
URTH has higher volatility (4.55%) compared to ^GSPC (4.43%). In terms of maximum drawdown, ^GSPC dropped -56.78% vs URTH's -34.01%.
^GSPC currently has the higher Sharpe Ratio (1.86 vs 1.85), 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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