EBLU vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about Ecofin Global Water ESG Fund (EBLU) and S&P 500 Index (^GSPC).

EBLU is a passively managed fund by Tortoise that tracks the performance of the Ecofin Water ESG Index. It was launched on Feb 15, 2017.

Performance

EBLU vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Ecofin Global Water ESG Fund (EBLU) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

EBLU vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EBLU Ecofin Global Water ESG Fund	0.43%	11.82%	8.54%	20.95%	-25.99%	28.93%	15.74%	38.72%	-12.80%	20.21%
^GSPC S&P 500 Index	-3.95%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	13.81%

Returns By Period

In the year-to-date period, EBLU achieves a 0.43% return, which is significantly higher than ^GSPC's -3.95% return.

EBLU

• 1D: 1.19%
• 1M: -8.21%
• YTD: 0.43%
• 6M: -1.42%
• 1Y: 11.49%
• 3Y*: 11.06%
• 5Y*: 5.76%
• 10Y*: —

^GSPC

• 1D: 0.72%
• 1M: -4.45%
• YTD: -3.95%
• 6M: -2.02%
• 1Y: 16.73%
• 3Y*: 16.96%
• 5Y*: 10.34%
• 10Y*: 12.24%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

EBLU vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EBLU

EBLU Risk / Return Rank: 33
EBLU Sharpe Ratio Rank: 33
EBLU Sortino Ratio Rank: 36
EBLU Omega Ratio Rank: 31
EBLU Calmar Ratio Rank: 32
EBLU Martin Ratio Rank: 31

^GSPC

^GSPC Risk / Return Rank: 67
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 64
^GSPC Omega Ratio Rank: 69
^GSPC Calmar Ratio Rank: 60
^GSPC Martin Ratio Rank: 77

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

EBLU vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Ecofin Global Water ESG Fund (EBLU) 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.

	EBLU	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	0.67	0.92	-0.25
Sortino ratio Return per unit of downside risk	1.10	1.41	-0.31
Omega ratio Gain probability vs. loss probability	1.14	1.21	-0.08
Calmar ratio Return relative to maximum drawdown	0.86	1.41	-0.55
Martin ratio Return relative to average drawdown	2.79	6.61	-3.83
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EBLU vs. ^GSPC - Sharpe Ratio Comparison

The current EBLU Sharpe Ratio is 0.67, which is comparable to the ^GSPC Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of EBLU and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	EBLU	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.67	0.92	-0.25
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.34	0.61	-0.28
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.68	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.52	0.46	+0.07

Correlation

The correlation between EBLU and ^GSPC is 0.65, 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.

Drawdowns

EBLU vs. ^GSPC - Drawdown Comparison

The maximum EBLU drawdown since its inception was -37.58%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for EBLU and ^GSPC.

Drawdown Indicators

	EBLU	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-37.58%	-56.78%	+19.20%
Max Drawdown (1Y) Largest decline over 1 year	-13.17%	-12.14%	-1.03%
Max Drawdown (5Y) Largest decline over 5 years	-35.36%	-25.43%	-9.93%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.92%	—
Current Drawdown Current decline from peak	-9.47%	-5.78%	-3.69%
Average Drawdown Average peak-to-trough decline	-8.13%	-10.75%	+2.62%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.07%	2.60%	+1.47%

Volatility

EBLU vs. ^GSPC - Volatility Comparison

Ecofin Global Water ESG Fund (EBLU) has a higher volatility of 5.83% compared to S&P 500 Index (^GSPC) at 5.37%. This indicates that EBLU'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.

Volatility by Period

	EBLU	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.83%	5.37%	+0.46%
Volatility (6M) Calculated over the trailing 6-month period	10.60%	9.55%	+1.05%
Volatility (1Y) Calculated over the trailing 1-year period	17.19%	18.33%	-1.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.20%	16.90%	+0.30%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.00%	18.05%	+0.95%