EQL vs. ^SPXEW
Compare and contrast key facts about Alps Equal Sector Weight ETF (EQL) and S&P 500 Equal Weighted Index (^SPXEW).
EQL is a passively managed fund by SS&C that tracks the performance of the NYSE Select Sector Equal Weight Index. It was launched on Jul 7, 2009.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EQL or ^SPXEW.
Performance
EQL vs. ^SPXEW - Performance Comparison
Returns By Period
In the year-to-date period, EQL achieves a 21.27% return, which is significantly higher than ^SPXEW's 16.41% return. Over the past 10 years, EQL has outperformed ^SPXEW with an annualized return of 11.09%, while ^SPXEW has yielded a comparatively lower 8.66% annualized return.
EQL
21.27%
2.26%
13.33%
27.52%
13.50%
11.09%
^SPXEW
16.41%
2.43%
11.65%
25.57%
10.50%
8.66%
Key characteristics
| EQL | ^SPXEW | |
|---|---|---|
| Sharpe Ratio | 2.78 | 2.26 |
| Sortino Ratio | 3.78 | 3.14 |
| Omega Ratio | 1.50 | 1.40 |
| Calmar Ratio | 5.54 | 2.38 |
| Martin Ratio | 20.25 | 12.47 |
| Ulcer Index | 1.39% | 2.10% |
| Daily Std Dev | 10.15% | 11.55% |
| Max Drawdown | -35.65% | -60.83% |
| Current Drawdown | 0.00% | -0.54% |
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Correlation
The correlation between EQL and ^SPXEW is 0.94, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
EQL vs. ^SPXEW - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Alps Equal Sector Weight ETF (EQL) and S&P 500 Equal Weighted Index (^SPXEW). 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
EQL vs. ^SPXEW - Drawdown Comparison
The maximum EQL drawdown since its inception was -35.65%, smaller than the maximum ^SPXEW drawdown of -60.83%. Use the drawdown chart below to compare losses from any high point for EQL and ^SPXEW. For additional features, visit the drawdowns tool.
Volatility
EQL vs. ^SPXEW - Volatility Comparison
The current volatility for Alps Equal Sector Weight ETF (EQL) is 2.99%, while S&P 500 Equal Weighted Index (^SPXEW) has a volatility of 3.64%. This indicates that EQL experiences smaller price fluctuations and is considered to be less risky than ^SPXEW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.