CSM vs. ^GSPC
Compare and contrast key facts about Proshares Large Cap Core Plus (CSM) and S&P 500 (^GSPC).
CSM is a passively managed fund by ProShares that tracks the performance of the Credit Suisse 130/30 Large-Cap Index. It was launched on Jul 13, 2009.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CSM or ^GSPC.
Key characteristics
| CSM | ^GSPC | |
|---|---|---|
| YTD Return | 24.45% | 24.72% |
| 1Y Return | 33.97% | 32.12% |
| 3Y Return (Ann) | 8.94% | 8.33% |
| 5Y Return (Ann) | 14.01% | 13.81% |
| 10Y Return (Ann) | 12.00% | 11.31% |
| Sharpe Ratio | 2.72 | 2.66 |
| Sortino Ratio | 3.61 | 3.56 |
| Omega Ratio | 1.50 | 1.50 |
| Calmar Ratio | 3.87 | 3.81 |
| Martin Ratio | 16.02 | 17.03 |
| Ulcer Index | 2.13% | 1.90% |
| Daily Std Dev | 12.57% | 12.16% |
| Max Drawdown | -36.12% | -56.78% |
| Current Drawdown | -0.94% | -0.87% |
Correlation
The correlation between CSM and ^GSPC is 0.97, 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
CSM vs. ^GSPC - Performance Comparison
The year-to-date returns for both investments are quite close, with CSM having a 24.45% return and ^GSPC slightly higher at 24.72%. Over the past 10 years, CSM has outperformed ^GSPC with an annualized return of 12.00%, while ^GSPC has yielded a comparatively lower 11.31% 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
CSM vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Proshares Large Cap Core Plus (CSM) 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
CSM vs. ^GSPC - Drawdown Comparison
The maximum CSM drawdown since its inception was -36.12%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for CSM and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
CSM vs. ^GSPC - Volatility Comparison
Proshares Large Cap Core Plus (CSM) has a higher volatility of 4.12% compared to S&P 500 (^GSPC) at 3.81%. This indicates that CSM'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.