EBLU vs. ^GSPC
Compare and contrast key facts about Ecofin Global Water ESG Fund (EBLU) and S&P 500 (^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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EBLU or ^GSPC.
Key characteristics
| EBLU | ^GSPC | |
|---|---|---|
| YTD Return | 10.92% | 11.05% |
| 1Y Return | 24.19% | 27.37% |
| 3Y Return (Ann) | 4.82% | 8.37% |
| 5Y Return (Ann) | 12.91% | 13.14% |
| Sharpe Ratio | 1.79 | 2.49 |
| Daily Std Dev | 13.64% | 11.59% |
| Max Drawdown | -37.58% | -56.78% |
| Current Drawdown | -0.71% | -0.21% |
Correlation
The correlation between EBLU and ^GSPC is 0.66, 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.
Performance
EBLU vs. ^GSPC - Performance Comparison
The year-to-date returns for both investments are quite close, with EBLU having a 10.92% return and ^GSPC slightly higher at 11.05%. 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
EBLU vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Ecofin Global Water ESG Fund (EBLU) 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
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. For additional features, visit the drawdowns tool.
Volatility
EBLU vs. ^GSPC - Volatility Comparison
The current volatility for Ecofin Global Water ESG Fund (EBLU) is 2.92%, while S&P 500 (^GSPC) has a volatility of 3.40%. This indicates that EBLU experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.