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EQH vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EQH and SPY is 0.63, 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.


-0.50.00.51.00.6

Performance

EQH vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Equitable Holdings, Inc. (EQH) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

120.00%140.00%160.00%180.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
171.88%
141.59%
EQH
SPY

Key characteristics

Sharpe Ratio

EQH:

1.57

SPY:

2.21

Sortino Ratio

EQH:

2.33

SPY:

2.93

Omega Ratio

EQH:

1.31

SPY:

1.41

Calmar Ratio

EQH:

2.80

SPY:

3.26

Martin Ratio

EQH:

10.27

SPY:

14.43

Ulcer Index

EQH:

4.10%

SPY:

1.90%

Daily Std Dev

EQH:

26.78%

SPY:

12.41%

Max Drawdown

EQH:

-61.33%

SPY:

-55.19%

Current Drawdown

EQH:

-7.24%

SPY:

-2.74%

Returns By Period

In the year-to-date period, EQH achieves a 43.04% return, which is significantly higher than SPY's 25.54% return.


EQH

YTD

43.04%

1M

0.04%

6M

14.43%

1Y

42.23%

5Y*

16.37%

10Y*

N/A

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

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Risk-Adjusted Performance

EQH vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Equitable Holdings, Inc. (EQH) and SPDR S&P 500 ETF (SPY). 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.


Sharpe ratio
The chart of Sharpe ratio for EQH, currently valued at 1.57, compared to the broader market-4.00-2.000.002.001.572.21
The chart of Sortino ratio for EQH, currently valued at 2.33, compared to the broader market-4.00-2.000.002.004.002.332.93
The chart of Omega ratio for EQH, currently valued at 1.31, compared to the broader market0.501.001.502.001.311.41
The chart of Calmar ratio for EQH, currently valued at 2.80, compared to the broader market0.002.004.006.002.803.26
The chart of Martin ratio for EQH, currently valued at 10.27, compared to the broader market-5.000.005.0010.0015.0020.0025.0010.2714.43
EQH
SPY

The current EQH Sharpe Ratio is 1.57, which is comparable to the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of EQH and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.57
2.21
EQH
SPY

Dividends

EQH vs. SPY - Dividend Comparison

EQH's dividend yield for the trailing twelve months is around 2.02%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
EQH
Equitable Holdings, Inc.
2.02%2.58%2.72%2.17%2.58%2.34%1.56%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

EQH vs. SPY - Drawdown Comparison

The maximum EQH drawdown since its inception was -61.33%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for EQH and SPY. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.24%
-2.74%
EQH
SPY

Volatility

EQH vs. SPY - Volatility Comparison

Equitable Holdings, Inc. (EQH) has a higher volatility of 8.11% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that EQH's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
8.11%
3.72%
EQH
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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