CSPCY vs. ^GSPC
CSPCY (CSPC Pharmaceutical Group Limited) is a stock, while ^GSPC (S&P 500 Index) is an index. Over the past 5 years, CSPCY returned -7.02%/yr vs 12.30%/yr for ^GSPC. At a 0.13 correlation, their price movements are largely independent.
Performance
CSPCY vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, CSPCY achieves a -15.55% return, which is significantly lower than ^GSPC's 10.35% return.
CSPCY
- 1D
- -4.46%
- 1M
- -16.32%
- YTD
- -15.55%
- 6M
- -7.05%
- 1Y
- -1.12%
- 3Y*
- 6.77%
- 5Y*
- -7.02%
- 10Y*
- —
^GSPC
- 1D
- -0.74%
- 1M
- 4.90%
- YTD
- 10.35%
- 6M
- 10.28%
- 1Y
- 26.52%
- 3Y*
- 20.83%
- 5Y*
- 12.30%
- 10Y*
- 13.66%
CSPCY vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
CSPCY CSPC Pharmaceutical Group Limited | -15.55% | 88.02% | -31.60% | -5.79% | -2.57% | 10.40% | -40.15% | 85.31% |
^GSPC S&P 500 Index | 10.35% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 11.57% |
Correlation
The correlation between CSPCY and ^GSPC is 0.10, 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 | 0.10 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.12 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.16 |
Correlation (All Time) Calculated using the full available price history since Apr 9, 2019 | 0.13 |
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Return for Risk
CSPCY vs. ^GSPC — Risk / Return Rank
CSPCY
^GSPC
CSPCY vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CSPC Pharmaceutical Group Limited (CSPCY) 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.
| CSPCY | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.26 | ||
| Sortino ratioReturn per unit of downside risk | -2.66 | ||
| Omega ratioGain probability vs. loss probability | 1.05 | 1.41 | -0.36 |
| Calmar ratioReturn relative to maximum drawdown | -0.03 | 2.93 | -2.96 |
| Martin ratioReturn relative to average drawdown | -0.06 | 13.52 | -13.58 |
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
| CSPCY | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.02 | 2.24 | -2.26 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.15 | 0.73 | -0.88 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.76 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.02 | 0.47 | -0.45 |
Drawdowns
CSPCY vs. ^GSPC - Drawdown Comparison
The maximum CSPCY drawdown since its inception was -69.41%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for CSPCY and ^GSPC.
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Drawdown Indicators
| CSPCY | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -69.41% | -56.78% | -12.63% |
Max Drawdown (1Y)Largest decline over 1 year | -37.22% | -9.10% | -28.12% |
Max Drawdown (3Y)Largest decline over 3 years | -38.99% | -18.90% | -20.09% |
Max Drawdown (5Y)Largest decline over 5 years | -60.59% | -25.43% | -35.16% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -35.26% | -0.74% | -34.52% |
Average DrawdownAverage peak-to-trough decline | -34.55% | -10.72% | -23.83% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 19.23% | 1.97% | +17.26% |
Volatility
CSPCY vs. ^GSPC - Volatility Comparison
CSPC Pharmaceutical Group Limited (CSPCY) has a higher volatility of 14.78% compared to S&P 500 Index (^GSPC) at 2.93%. This indicates that CSPCY'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
| CSPCY | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 14.78% | 2.93% | +11.85% |
Volatility (6M)Calculated over the trailing 6-month period | 37.85% | 8.99% | +28.86% |
Volatility (1Y)Calculated over the trailing 1-year period | 58.01% | 11.89% | +46.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 48.12% | 16.90% | +31.22% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 136.65% | 18.06% | +118.59% |
Frequently Asked Questions
CSPCY and ^GSPC have a correlation of 0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CSPCY has higher volatility (14.78%) compared to ^GSPC (2.93%). In terms of maximum drawdown, CSPCY dropped -69.41% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (2.24 vs -0.02), 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.
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