EMN vs. ^GSPC
EMN (Eastman Chemical Company) is a stock, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, EMN returned 2.99%/yr vs 13.41%/yr for ^GSPC. A 0.56 correlation means they provide meaningful diversification when combined.
Performance
EMN vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, EMN achieves a 8.34% return, which is significantly lower than ^GSPC's 10.66% return. Over the past 10 years, EMN has underperformed ^GSPC with an annualized return of 2.99%, while ^GSPC has yielded a comparatively higher 13.41% annualized return.
EMN
- 1D
- 0.54%
- 1M
- -9.16%
- 6M
- 0.58%
- YTD
- 8.34%
- 1Y
- -11.62%
- 3Y*
- -3.46%
- 5Y*
- -6.66%
- 10Y*
- 2.99%
^GSPC
- 1D
- 0.42%
- 1M
- 1.94%
- 6M
- 8.74%
- YTD
- 10.66%
- 1Y
- 21.02%
- 3Y*
- 19.50%
- 5Y*
- 11.63%
- 10Y*
- 13.41%
EMN vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EMN Eastman Chemical Company | 8.34% | -26.87% | 5.11% | 14.66% | -30.38% | 23.54% | 31.78% | 12.01% | -19.10% | 26.28% |
^GSPC S&P 500 Index | 10.66% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between EMN and ^GSPC is 0.36, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.36 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.42 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.54 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.57 |
Correlation (All Time) Calculated using the full available price history since Dec 14, 1993 | 0.56 |
Over the past year, the correlation between EMN and ^GSPC has dropped to 0.36 - well below their long-term average of 0.56, suggesting their price drivers have been diverging.
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Return for Risk
EMN vs. ^GSPC — Risk / Return Rank
EMN
^GSPC
EMN vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Eastman Chemical Company (EMN) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| EMN | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.99 | ||
| Sortino ratioReturn per unit of downside risk | -2.50 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.30 | -0.33 |
| Calmar ratioReturn relative to maximum drawdown | -0.45 | 2.28 | -2.73 |
| Martin ratioReturn relative to average drawdown | -0.84 | 9.88 | -10.73 |
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Drawdowns
EMN vs. ^GSPC - Drawdown Comparison
The maximum EMN drawdown since its inception was -76.11%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for EMN and ^GSPC.
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Drawdown Indicators
| EMN | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -76.11% | -56.78% | -19.33% |
Max Drawdown (1Y)Largest decline over 1 year | -28.89% | -9.10% | -19.79% |
Max Drawdown (3Y)Largest decline over 3 years | -48.40% | -18.90% | -29.50% |
Max Drawdown (5Y)Largest decline over 5 years | -49.35% | -25.43% | -23.92% |
Max Drawdown (10Y)Largest decline over 10 years | -62.74% | -33.92% | -28.82% |
Current DrawdownCurrent decline from peak | -37.05% | -0.45% | -36.60% |
Average DrawdownAverage peak-to-trough decline | -19.17% | -10.71% | -8.46% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 16.31% | 2.09% | +14.22% |
Volatility
EMN vs. ^GSPC - Volatility Comparison
Eastman Chemical Company (EMN) has a higher volatility of 10.13% compared to S&P 500 Index (^GSPC) at 4.25%. This indicates that EMN'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
| EMN | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.13% | 4.25% | +5.88% |
Volatility (6M)Calculated over the trailing 6-month period | 24.11% | 9.96% | +14.15% |
Volatility (1Y)Calculated over the trailing 1-year period | 38.95% | 12.52% | +26.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 32.22% | 17.00% | +15.22% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.84% | 18.05% | +13.79% |
Frequently Asked Questions
EMN and ^GSPC have a correlation of 0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EMN has higher volatility (10.13%) compared to ^GSPC (4.25%). In terms of maximum drawdown, EMN dropped -76.11% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.65 vs -0.34), 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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