^STOXX vs. ^GSPC
Compare and contrast key facts about STOXX Europe 600 Index (^STOXX) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^STOXX or ^GSPC.
Key characteristics
| ^STOXX | ^GSPC | |
|---|---|---|
| YTD Return | 7.97% | 18.13% |
| 1Y Return | 13.24% | 26.52% |
| 3Y Return (Ann) | 3.76% | 8.36% |
| 5Y Return (Ann) | 5.60% | 13.43% |
| 10Y Return (Ann) | 3.96% | 10.88% |
| Sharpe Ratio | 1.39 | 2.10 |
| Daily Std Dev | 10.22% | 12.68% |
| Max Drawdown | -61.04% | -56.78% |
| Current Drawdown | -1.50% | -0.58% |
Correlation
The correlation between ^STOXX and ^GSPC is 0.44, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
^STOXX vs. ^GSPC - Performance Comparison
In the year-to-date period, ^STOXX achieves a 7.97% return, which is significantly lower than ^GSPC's 18.13% return. Over the past 10 years, ^STOXX has underperformed ^GSPC with an annualized return of 3.96%, while ^GSPC has yielded a comparatively higher 10.88% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^STOXX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for STOXX Europe 600 Index (^STOXX) and S&P 500 (^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.
Drawdowns
^STOXX vs. ^GSPC - Drawdown Comparison
The maximum ^STOXX drawdown since its inception was -61.04%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^STOXX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^STOXX vs. ^GSPC - Volatility Comparison
The current volatility for STOXX Europe 600 Index (^STOXX) is 3.08%, while S&P 500 (^GSPC) has a volatility of 3.97%. This indicates that ^STOXX experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.