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

Key characteristics


^SP600MGK
YTD Return6.77%24.12%
1Y Return25.93%41.19%
3Y Return (Ann)1.25%11.57%
5Y Return (Ann)8.64%20.22%
10Y Return (Ann)8.55%16.59%
Sharpe Ratio1.272.37
Daily Std Dev20.27%17.43%
Max Drawdown-59.17%-48.36%
Current Drawdown-3.99%-2.66%

Correlation

-0.50.00.51.00.8

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.

Performance

^SP600 vs. MGK - Performance Comparison

In the year-to-date period, ^SP600 achieves a 6.77% return, which is significantly lower than MGK's 24.12% return. Over the past 10 years, ^SP600 has underperformed MGK with an annualized return of 8.55%, while MGK has yielded a comparatively higher 16.59% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


200.00%300.00%400.00%500.00%600.00%700.00%MayJuneJulyAugustSeptemberOctober
248.08%
667.62%
^SP600
MGK

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


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.


^SP600
Sharpe ratio
The chart of Sharpe ratio for ^SP600, currently valued at 1.27, compared to the broader market0.001.002.003.001.27
Sortino ratio
The chart of Sortino ratio for ^SP600, currently valued at 1.91, compared to the broader market-1.000.001.002.003.001.91
Omega ratio
The chart of Omega ratio for ^SP600, currently valued at 1.22, compared to the broader market0.901.001.101.201.301.401.501.22
Calmar ratio
The chart of Calmar ratio for ^SP600, currently valued at 0.95, compared to the broader market0.001.002.003.004.005.000.95
Martin ratio
The chart of Martin ratio for ^SP600, currently valued at 6.92, compared to the broader market0.005.0010.0015.0020.006.92
MGK
Sharpe ratio
The chart of Sharpe ratio for MGK, currently valued at 2.37, compared to the broader market0.001.002.003.002.37
Sortino ratio
The chart of Sortino ratio for MGK, currently valued at 3.07, compared to the broader market-1.000.001.002.003.003.07
Omega ratio
The chart of Omega ratio for MGK, currently valued at 1.42, compared to the broader market0.901.001.101.201.301.401.501.42
Calmar ratio
The chart of Calmar ratio for MGK, currently valued at 2.54, compared to the broader market0.001.002.003.004.005.002.54
Martin ratio
The chart of Martin ratio for MGK, currently valued at 11.27, compared to the broader market0.005.0010.0015.0020.0011.27

^SP600 vs. MGK - Sharpe Ratio Comparison

The current ^SP600 Sharpe Ratio is 1.27, which is lower than the MGK Sharpe Ratio of 2.37. The chart below compares the 12-month rolling Sharpe Ratio of ^SP600 and MGK.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50MayJuneJulyAugustSeptemberOctober
1.27
2.37
^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.


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-3.99%
-2.66%
^SP600
MGK

Volatility

^SP600 vs. MGK - Volatility Comparison

S&P 600 (^SP600) and Vanguard Mega Cap Growth ETF (MGK) have volatilities of 5.04% and 4.82%, 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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%MayJuneJulyAugustSeptemberOctober
5.04%
4.82%
^SP600
MGK