^XBD vs. ^GSPC
Compare and contrast key facts about NYSE Arca Securities Broker/Dealer Index (^XBD) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^XBD or ^GSPC.
Key characteristics
| ^XBD | ^GSPC | |
|---|---|---|
| YTD Return | 33.01% | 22.73% |
| 1Y Return | 60.65% | 38.58% |
| 3Y Return (Ann) | 13.99% | 8.85% |
| 5Y Return (Ann) | 23.26% | 14.32% |
| 10Y Return (Ann) | 16.21% | 11.57% |
| Sharpe Ratio | 3.67 | 2.98 |
| Sortino Ratio | 4.52 | 3.95 |
| Omega Ratio | 1.60 | 1.55 |
| Calmar Ratio | 4.57 | 2.60 |
| Martin Ratio | 27.37 | 19.43 |
| Ulcer Index | 2.17% | 1.90% |
| Daily Std Dev | 16.17% | 12.32% |
| Max Drawdown | -80.20% | -56.78% |
| Current Drawdown | -1.02% | -0.18% |
Correlation
The correlation between ^XBD and ^GSPC is 0.77, 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
^XBD vs. ^GSPC - Performance Comparison
In the year-to-date period, ^XBD achieves a 33.01% return, which is significantly higher than ^GSPC's 22.73% return. Over the past 10 years, ^XBD has outperformed ^GSPC with an annualized return of 16.21%, while ^GSPC has yielded a comparatively lower 11.57% 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
^XBD vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for NYSE Arca Securities Broker/Dealer Index (^XBD) 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
^XBD vs. ^GSPC - Drawdown Comparison
The maximum ^XBD drawdown since its inception was -80.20%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^XBD and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^XBD vs. ^GSPC - Volatility Comparison
NYSE Arca Securities Broker/Dealer Index (^XBD) has a higher volatility of 3.40% compared to S&P 500 (^GSPC) at 2.56%. This indicates that ^XBD'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.