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^NYA vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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.


-0.50.00.51.01.0

Performance

^NYA vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NYSE Composite (^NYA) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%SeptemberOctoberNovemberDecember2025February
4.13%
6.72%
^NYA
^GSPC

Key characteristics

Sharpe Ratio

^NYA:

1.37

^GSPC:

1.62

Sortino Ratio

^NYA:

1.94

^GSPC:

2.20

Omega Ratio

^NYA:

1.24

^GSPC:

1.30

Calmar Ratio

^NYA:

2.26

^GSPC:

2.46

Martin Ratio

^NYA:

6.38

^GSPC:

10.01

Ulcer Index

^NYA:

2.30%

^GSPC:

2.08%

Daily Std Dev

^NYA:

10.69%

^GSPC:

12.88%

Max Drawdown

^NYA:

-59.01%

^GSPC:

-56.78%

Current Drawdown

^NYA:

-1.93%

^GSPC:

-2.13%

Returns By Period

In the year-to-date period, ^NYA achieves a 4.11% return, which is significantly higher than ^GSPC's 2.24% return. Over the past 10 years, ^NYA has underperformed ^GSPC with an annualized return of 6.00%, while ^GSPC has yielded a comparatively higher 11.05% annualized return.


^NYA

YTD

4.11%

1M

-0.49%

6M

4.13%

1Y

12.86%

5Y*

8.02%

10Y*

6.00%

^GSPC

YTD

2.24%

1M

-1.73%

6M

6.72%

1Y

18.16%

5Y*

13.31%

10Y*

11.05%

*Annualized

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Risk-Adjusted Performance

^NYA vs. ^GSPC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^NYA
The Risk-Adjusted Performance Rank of ^NYA is 7171
Overall Rank
The Sharpe Ratio Rank of ^NYA is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of ^NYA is 7373
Sortino Ratio Rank
The Omega Ratio Rank of ^NYA is 6565
Omega Ratio Rank
The Calmar Ratio Rank of ^NYA is 8080
Calmar Ratio Rank
The Martin Ratio Rank of ^NYA is 6868
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 8383
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 8181
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 8080
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 8282
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 8787
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 8888
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^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.


The chart of Sharpe ratio for ^NYA, currently valued at 1.37, compared to the broader market-0.500.000.501.001.502.002.501.371.62
The chart of Sortino ratio for ^NYA, currently valued at 1.94, compared to the broader market0.001.002.003.001.942.20
The chart of Omega ratio for ^NYA, currently valued at 1.24, compared to the broader market1.001.101.201.301.401.501.241.30
The chart of Calmar ratio for ^NYA, currently valued at 2.26, compared to the broader market0.001.002.003.002.262.46
The chart of Martin ratio for ^NYA, currently valued at 6.38, compared to the broader market0.005.0010.0015.0020.006.3810.01
^NYA
^GSPC

The current ^NYA Sharpe Ratio is 1.37, which is comparable to the ^GSPC Sharpe Ratio of 1.62. The chart below compares the historical Sharpe Ratios of ^NYA and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.502.002.503.003.50SeptemberOctoberNovemberDecember2025February
1.37
1.62
^NYA
^GSPC

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.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%SeptemberOctoberNovemberDecember2025February
-1.93%
-2.13%
^NYA
^GSPC

Volatility

^NYA vs. ^GSPC - Volatility Comparison

The current volatility for NYSE Composite (^NYA) is 2.82%, while S&P 500 (^GSPC) has a volatility of 3.43%. 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.


2.00%3.00%4.00%5.00%6.00%SeptemberOctoberNovemberDecember2025February
2.82%
3.43%
^NYA
^GSPC