^NYA vs. ^GSPC
Compare and contrast key facts about NYSE Composite (^NYA) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^NYA or ^GSPC.
Key characteristics
| ^NYA | ^GSPC | |
|---|---|---|
| YTD Return | 17.76% | 25.48% |
| 1Y Return | 26.14% | 33.14% |
| 3Y Return (Ann) | 4.70% | 8.55% |
| 5Y Return (Ann) | 8.05% | 13.96% |
| 10Y Return (Ann) | 6.21% | 11.39% |
| Sharpe Ratio | 2.71 | 2.91 |
| Sortino Ratio | 3.77 | 3.88 |
| Omega Ratio | 1.48 | 1.55 |
| Calmar Ratio | 3.06 | 4.20 |
| Martin Ratio | 17.33 | 18.80 |
| Ulcer Index | 1.66% | 1.90% |
| Daily Std Dev | 10.65% | 12.27% |
| Max Drawdown | -59.01% | -56.78% |
| Current Drawdown | -0.85% | -0.27% |
Correlation
The correlation between ^NYA and ^GSPC is 0.97, 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
^NYA vs. ^GSPC - Performance Comparison
In the year-to-date period, ^NYA achieves a 17.76% return, which is significantly lower than ^GSPC's 25.48% return. Over the past 10 years, ^NYA has underperformed ^GSPC with an annualized return of 6.21%, while ^GSPC has yielded a comparatively higher 11.39% 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
^NYA vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for NYSE Composite (^NYA) and S&P 500 (^GSPC). 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
^NYA vs. ^GSPC - Drawdown Comparison
The maximum ^NYA drawdown since its inception was -59.01%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^NYA and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^NYA vs. ^GSPC - Volatility Comparison
The current volatility for NYSE Composite (^NYA) is 3.05%, while S&P 500 (^GSPC) has a volatility of 3.75%. This indicates that ^NYA experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.