^SSEC vs. ^GSPC

Last updated Jun 3, 2026

^SSEC (Shanghai Composite) and ^GSPC (S&P 500 Index) are both indexes. Over the past 10 years, ^SSEC returned 3.32%/yr vs 14.09%/yr for ^GSPC. At a 0.05 correlation, their price movements are largely independent.

Performance

^SSEC vs. ^GSPC - Performance Comparison

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

Different Trading Currencies

^SSEC is traded in CNY, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to CNY using the latest available exchange rates.

Returns By Period

In the year-to-date period, ^SSEC achieves a 2.68% return, which is significantly lower than ^GSPC's 7.54% return. Over the past 10 years, ^SSEC has underperformed ^GSPC with an annualized return of 3.32%, while ^GSPC has yielded a comparatively higher 14.09% annualized return.

^SSEC

• 1D: 0.43%
• 1M: -0.90%
• YTD: 2.68%
• 6M: 4.55%
• 1Y: 21.74%
• 3Y*: 8.05%
• 5Y*: 2.60%
• 10Y*: 3.32%

^GSPC

• 1D: 0.13%
• 1M: 4.30%
• YTD: 7.54%
• 6M: 6.62%
• 1Y: 20.47%
• 3Y*: 19.28%
• 5Y*: 13.90%
• 10Y*: 14.09%

*Multi-year figures are annualized to reflect compound growth (CAGR)

^SSEC vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^SSEC Shanghai Composite	2.68%	18.41%	12.67%	-3.70%	-15.13%	4.80%	13.87%	22.30%	-24.59%	6.56%
^GSPC S&P 500 Index	7.54%	11.51%	26.81%	27.83%	-12.53%	23.53%	8.97%	30.50%	-0.92%	11.91%

Correlation

The correlation between ^SSEC and ^GSPC is 0.03, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.03
Correlation (3Y) Calculated over the trailing 3-year period	0.04
Correlation (5Y) Calculated over the trailing 5-year period	0.01
Correlation (10Y) Calculated over the trailing 10-year period	0.04
Correlation (All Time) Calculated using the full available price history since Jun 26, 2007	0.05

Return for Risk

^SSEC vs. ^GSPC — Risk / Return Rank

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

^SSEC

^SSEC Risk / Return Rank: 60
^SSEC Sharpe Ratio Rank: 60
^SSEC Sortino Ratio Rank: 58
^SSEC Omega Ratio Rank: 66
^SSEC Calmar Ratio Rank: 57
^SSEC Martin Ratio Rank: 59

^GSPC

^GSPC Risk / Return Rank: 79
^GSPC Sharpe Ratio Rank: 76
^GSPC Sortino Ratio Rank: 76
^GSPC Omega Ratio Rank: 77
^GSPC Calmar Ratio Rank: 79
^GSPC Martin Ratio Rank: 88

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^SSEC vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Shanghai Composite (^SSEC) and S&P 500 Index (^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.

	^SSEC	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	1.81	1.79	+0.03
Sortino ratio Return per unit of downside risk	2.40	2.45	-0.05
Omega ratio Gain probability vs. loss probability	1.33	1.32	+0.01
Calmar ratio Return relative to maximum drawdown	2.38	1.98	+0.40
Martin ratio Return relative to average drawdown	8.86	7.97	+0.89
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^SSEC vs. ^GSPC - Sharpe Ratio Comparison

The current ^SSEC Sharpe Ratio is 1.81, which is comparable to the ^GSPC Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of ^SSEC and ^GSPC, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^SSEC	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.81	1.79	+0.03
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.17	0.83	-0.65
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.21	0.79	-0.58
Sharpe Ratio (All Time) Calculated using the full available price history	0.32	0.42	-0.10

Drawdowns

^SSEC vs. ^GSPC - Drawdown Comparison

The maximum ^SSEC drawdown since its inception was -78.27%, which is greater than ^GSPC's maximum drawdown of -60.67%. Use the drawdown chart below to compare losses from any high point for ^SSEC and ^GSPC.

Drawdown Indicators

	^SSEC	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-78.27%	-60.67%	-17.60%
Max Drawdown (1Y) Largest decline over 1 year	-8.83%	-10.37%	+1.54%
Max Drawdown (3Y) Largest decline over 3 years	-17.89%	-18.28%	+0.39%
Max Drawdown (5Y) Largest decline over 5 years	-27.27%	-19.53%	-7.74%
Max Drawdown (10Y) Largest decline over 10 years	-30.77%	-33.05%	+2.28%
Current Drawdown Current decline from peak	-33.11%	0.00%	-33.11%
Average Drawdown Average peak-to-trough decline	-39.93%	-11.83%	-28.10%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.37%	2.58%	-0.21%

Volatility

^SSEC vs. ^GSPC - Volatility Comparison

Shanghai Composite (^SSEC) has a higher volatility of 4.08% compared to S&P 500 Index (^GSPC) at 2.44%. This indicates that ^SSEC's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^SSEC	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.08%	2.44%	+1.64%
Volatility (6M) Calculated over the trailing 6-month period	9.88%	8.74%	+1.14%
Volatility (1Y) Calculated over the trailing 1-year period	12.51%	11.51%	+1.00%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.61%	16.91%	-1.30%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.23%	17.94%	-1.71%

Frequently Asked Questions

Can I hold both ^SSEC and ^GSPC in my portfolio?

^SSEC and ^GSPC have a correlation of 0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^SSEC or ^GSPC?

^SSEC has higher volatility (4.08%) compared to ^GSPC (2.44%). In terms of maximum drawdown, ^SSEC dropped -78.27% vs ^GSPC's -60.67%.

Which has better risk-adjusted returns?

^SSEC currently has the higher Sharpe Ratio (1.81 vs 1.79), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.