EQB.TO vs. ^GSPC
Compare and contrast key facts about Equitable Group Inc. (EQB.TO) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EQB.TO or ^GSPC.
Key characteristics
| EQB.TO | ^GSPC | |
|---|---|---|
| YTD Return | 25.72% | 19.77% |
| 1Y Return | 48.73% | 31.07% |
| 3Y Return (Ann) | 12.84% | 6.78% |
| 5Y Return (Ann) | 14.11% | 13.22% |
| 10Y Return (Ann) | 13.47% | 10.92% |
| Sharpe Ratio | 1.85 | 2.67 |
| Sortino Ratio | 2.68 | 3.55 |
| Omega Ratio | 1.34 | 1.50 |
| Calmar Ratio | 2.72 | 3.45 |
| Martin Ratio | 7.80 | 17.04 |
| Ulcer Index | 6.65% | 1.90% |
| Daily Std Dev | 28.04% | 12.10% |
| Max Drawdown | -95.05% | -56.78% |
| Current Drawdown | -0.35% | -2.59% |
Correlation
The correlation between EQB.TO and ^GSPC is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
EQB.TO vs. ^GSPC - Performance Comparison
In the year-to-date period, EQB.TO achieves a 25.72% return, which is significantly higher than ^GSPC's 19.77% return. Over the past 10 years, EQB.TO has outperformed ^GSPC with an annualized return of 13.47%, while ^GSPC has yielded a comparatively lower 10.92% 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
EQB.TO vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Equitable Group Inc. (EQB.TO) 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
EQB.TO vs. ^GSPC - Drawdown Comparison
The maximum EQB.TO drawdown since its inception was -95.05%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for EQB.TO and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
EQB.TO vs. ^GSPC - Volatility Comparison
Equitable Group Inc. (EQB.TO) has a higher volatility of 5.20% compared to S&P 500 (^GSPC) at 3.11%. This indicates that EQB.TO'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.