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^SP600 vs. MGK
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SP600 and MGK is 0.75, 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.


-0.50.00.51.00.7

Performance

^SP600 vs. MGK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 600 (^SP600) and Vanguard Mega Cap Growth ETF (MGK). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
10.39%
10.10%
^SP600
MGK

Key characteristics

Sharpe Ratio

^SP600:

0.49

MGK:

1.90

Sortino Ratio

^SP600:

0.84

MGK:

2.49

Omega Ratio

^SP600:

1.10

MGK:

1.35

Calmar Ratio

^SP600:

0.64

MGK:

2.49

Martin Ratio

^SP600:

2.63

MGK:

9.43

Ulcer Index

^SP600:

3.73%

MGK:

3.58%

Daily Std Dev

^SP600:

19.90%

MGK:

17.74%

Max Drawdown

^SP600:

-59.17%

MGK:

-48.36%

Current Drawdown

^SP600:

-8.46%

MGK:

-3.56%

Returns By Period

In the year-to-date period, ^SP600 achieves a 7.26% return, which is significantly lower than MGK's 33.42% return. Over the past 10 years, ^SP600 has underperformed MGK with an annualized return of 7.52%, while MGK has yielded a comparatively higher 16.57% annualized return.


^SP600

YTD

7.26%

1M

-3.31%

6M

10.06%

1Y

7.59%

5Y*

6.71%

10Y*

7.52%

MGK

YTD

33.42%

1M

3.79%

6M

9.40%

1Y

33.12%

5Y*

19.72%

10Y*

16.57%

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Risk-Adjusted Performance

^SP600 vs. MGK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 600 (^SP600) and Vanguard Mega Cap Growth ETF (MGK). 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 ^SP600, currently valued at 0.49, compared to the broader market-1.000.001.002.000.491.90
The chart of Sortino ratio for ^SP600, currently valued at 0.84, compared to the broader market-1.000.001.002.003.000.842.49
The chart of Omega ratio for ^SP600, currently valued at 1.10, compared to the broader market0.800.901.001.101.201.301.401.101.35
The chart of Calmar ratio for ^SP600, currently valued at 0.64, compared to the broader market0.001.002.003.004.000.642.49
The chart of Martin ratio for ^SP600, currently valued at 2.63, compared to the broader market0.005.0010.0015.002.639.43
^SP600
MGK

The current ^SP600 Sharpe Ratio is 0.49, which is lower than the MGK Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of ^SP600 and MGK, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.49
1.90
^SP600
MGK

Drawdowns

^SP600 vs. MGK - Drawdown Comparison

The maximum ^SP600 drawdown since its inception was -59.17%, which is greater than MGK's maximum drawdown of -48.36%. Use the drawdown chart below to compare losses from any high point for ^SP600 and MGK. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.46%
-3.56%
^SP600
MGK

Volatility

^SP600 vs. MGK - Volatility Comparison

S&P 600 (^SP600) has a higher volatility of 5.84% compared to Vanguard Mega Cap Growth ETF (MGK) at 4.94%. This indicates that ^SP600's price experiences larger fluctuations and is considered to be riskier than MGK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
5.84%
4.94%
^SP600
MGK
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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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