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^SP500TR vs. SPY
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SP500TR and SPY is 0.98, 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

^SP500TR vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 Total Return (^SP500TR) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
7.91%
7.86%
^SP500TR
SPY

Key characteristics

Sharpe Ratio

^SP500TR:

1.97

SPY:

2.03

Sortino Ratio

^SP500TR:

2.63

SPY:

2.71

Omega Ratio

^SP500TR:

1.37

SPY:

1.38

Calmar Ratio

^SP500TR:

2.93

SPY:

3.02

Martin Ratio

^SP500TR:

13.00

SPY:

13.49

Ulcer Index

^SP500TR:

1.90%

SPY:

1.88%

Daily Std Dev

^SP500TR:

12.58%

SPY:

12.48%

Max Drawdown

^SP500TR:

-55.25%

SPY:

-55.19%

Current Drawdown

^SP500TR:

-3.62%

SPY:

-3.54%

Returns By Period

The year-to-date returns for both stocks are quite close, with ^SP500TR having a 24.66% return and SPY slightly lower at 24.51%. Both investments have delivered pretty close results over the past 10 years, with ^SP500TR having a 12.99% annualized return and SPY not far behind at 12.94%.


^SP500TR

YTD

24.66%

1M

-0.72%

6M

7.91%

1Y

26.59%

5Y*

14.57%

10Y*

12.99%

SPY

YTD

24.51%

1M

-0.32%

6M

7.56%

1Y

24.63%

5Y*

14.51%

10Y*

12.94%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^SP500TR vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Total Return (^SP500TR) and SPDR S&P 500 ETF (SPY). 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.


Sharpe ratio
The chart of Sharpe ratio for ^SP500TR, currently valued at 1.97, compared to the broader market-1.000.001.002.001.971.97
The chart of Sortino ratio for ^SP500TR, currently valued at 2.63, compared to the broader market-1.000.001.002.003.002.632.64
The chart of Omega ratio for ^SP500TR, currently valued at 1.37, compared to the broader market0.800.901.001.101.201.301.401.371.37
The chart of Calmar ratio for ^SP500TR, currently valued at 2.93, compared to the broader market0.001.002.003.004.002.932.93
The chart of Martin ratio for ^SP500TR, currently valued at 13.00, compared to the broader market0.005.0010.0015.0013.0013.01
^SP500TR
SPY

The current ^SP500TR Sharpe Ratio is 1.97, which is comparable to the SPY Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of ^SP500TR and SPY, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.97
1.97
^SP500TR
SPY

Drawdowns

^SP500TR vs. SPY - Drawdown Comparison

The maximum ^SP500TR drawdown since its inception was -55.25%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^SP500TR and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.62%
-3.54%
^SP500TR
SPY

Volatility

^SP500TR vs. SPY - Volatility Comparison

S&P 500 Total Return (^SP500TR) and SPDR S&P 500 ETF (SPY) have volatilities of 3.62% and 3.61%, 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.62%
3.61%
^SP500TR
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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