COFF.L vs. ^GSPC
COFF.L (WisdomTree Coffee) is Agricultural Commodities fund tracking the Bloomberg Coffee, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, COFF.L returned 4.55%/yr vs 13.65%/yr for ^GSPC. At a 0.10 correlation, their price movements are largely independent.
Performance
COFF.L vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, COFF.L achieves a -26.25% return, which is significantly lower than ^GSPC's 10.79% return. Over the past 10 years, COFF.L has underperformed ^GSPC with an annualized return of 4.55%, while ^GSPC has yielded a comparatively higher 13.65% annualized return.
COFF.L
- 1D
- -2.94%
- 1M
- -15.62%
- YTD
- -26.25%
- 6M
- -31.38%
- 1Y
- -17.13%
- 3Y*
- 24.64%
- 5Y*
- 17.48%
- 10Y*
- 4.55%
^GSPC
- 1D
- 0.41%
- 1M
- 4.48%
- YTD
- 10.79%
- 6M
- 10.60%
- 1Y
- 27.02%
- 3Y*
- 21.07%
- 5Y*
- 12.39%
- 10Y*
- 13.65%
COFF.L vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
COFF.L WisdomTree Coffee | -26.25% | 29.87% | 74.91% | 24.52% | -20.98% | 63.12% | -12.25% | 13.69% | -27.12% | -17.66% |
^GSPC S&P 500 Index | 10.79% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between COFF.L and ^GSPC is 0.14, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.14 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.12 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.10 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.07 |
Correlation (All Time) Calculated using the full available price history since Mar 19, 2007 | 0.10 |
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Return for Risk
COFF.L vs. ^GSPC — Risk / Return Rank
COFF.L
^GSPC
COFF.L vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for WisdomTree Coffee (COFF.L) 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.
| COFF.L | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.78 | ||
| Sortino ratioReturn per unit of downside risk | -3.63 | ||
| Omega ratioGain probability vs. loss probability | 0.94 | 1.41 | -0.47 |
| Calmar ratioReturn relative to maximum drawdown | -0.49 | 2.98 | -3.47 |
| Martin ratioReturn relative to average drawdown | -0.99 | 13.78 | -14.76 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| COFF.L | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.49 | 2.28 | -2.78 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.51 | 0.74 | -0.23 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.15 | 0.76 | -0.61 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.04 | 0.47 | -0.52 |
Drawdowns
COFF.L vs. ^GSPC - Drawdown Comparison
The maximum COFF.L drawdown since its inception was -88.11%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for COFF.L and ^GSPC.
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Drawdown Indicators
| COFF.L | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -88.11% | -56.78% | -31.33% |
Max Drawdown (1Y)Largest decline over 1 year | -35.03% | -9.10% | -25.93% |
Max Drawdown (3Y)Largest decline over 3 years | -35.03% | -18.90% | -16.13% |
Max Drawdown (5Y)Largest decline over 5 years | -41.94% | -25.43% | -16.51% |
Max Drawdown (10Y)Largest decline over 10 years | -64.13% | -33.92% | -30.21% |
Current DrawdownCurrent decline from peak | -59.32% | -0.33% | -58.99% |
Average DrawdownAverage peak-to-trough decline | -58.91% | -10.72% | -48.19% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 17.36% | 1.97% | +15.39% |
Volatility
COFF.L vs. ^GSPC - Volatility Comparison
WisdomTree Coffee (COFF.L) has a higher volatility of 8.89% compared to S&P 500 Index (^GSPC) at 2.88%. This indicates that COFF.L'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.
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Volatility by Period
| COFF.L | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.89% | 2.88% | +6.01% |
Volatility (6M)Calculated over the trailing 6-month period | 22.24% | 9.00% | +13.24% |
Volatility (1Y)Calculated over the trailing 1-year period | 34.56% | 11.89% | +22.67% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 34.95% | 16.90% | +18.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.52% | 18.06% | +13.46% |
Frequently Asked Questions
COFF.L and ^GSPC have a correlation of 0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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