^SPXEW vs. EQL
Compare and contrast key facts about S&P 500 Equal Weighted Index (^SPXEW) and Alps Equal Sector Weight ETF (EQL).
EQL is a passively managed fund by SS&C that tracks the performance of the NYSE Select Sector Equal Weight Index. It was launched on Jul 7, 2009.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^SPXEW or EQL.
Performance
^SPXEW vs. EQL - Performance Comparison
Returns By Period
In the year-to-date period, ^SPXEW achieves a 16.41% return, which is significantly lower than EQL's 21.27% return. Over the past 10 years, ^SPXEW has underperformed EQL with an annualized return of 8.66%, while EQL has yielded a comparatively higher 11.09% annualized return.
^SPXEW
16.41%
2.43%
11.65%
25.57%
10.50%
8.66%
EQL
21.27%
2.26%
13.33%
27.52%
13.50%
11.09%
Key characteristics
| ^SPXEW | EQL | |
|---|---|---|
| Sharpe Ratio | 2.26 | 2.78 |
| Sortino Ratio | 3.14 | 3.78 |
| Omega Ratio | 1.40 | 1.50 |
| Calmar Ratio | 2.38 | 5.54 |
| Martin Ratio | 12.47 | 20.25 |
| Ulcer Index | 2.10% | 1.39% |
| Daily Std Dev | 11.55% | 10.15% |
| Max Drawdown | -60.83% | -35.65% |
| Current Drawdown | -0.54% | 0.00% |
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Correlation
The correlation between ^SPXEW and EQL is 0.94, 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.
Risk-Adjusted Performance
^SPXEW vs. EQL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Equal Weighted Index (^SPXEW) and Alps Equal Sector Weight ETF (EQL). 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
^SPXEW vs. EQL - Drawdown Comparison
The maximum ^SPXEW drawdown since its inception was -60.83%, which is greater than EQL's maximum drawdown of -35.65%. Use the drawdown chart below to compare losses from any high point for ^SPXEW and EQL. For additional features, visit the drawdowns tool.
Volatility
^SPXEW vs. EQL - Volatility Comparison
S&P 500 Equal Weighted Index (^SPXEW) has a higher volatility of 3.64% compared to Alps Equal Sector Weight ETF (EQL) at 2.99%. This indicates that ^SPXEW's price experiences larger fluctuations and is considered to be riskier than EQL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.