HGLB vs. ^GSPC
HGLB (Highland Global Allocation Fund) is Global Allocation fund managed by Highland Funds, while ^GSPC (S&P 500 Index) is an index. Over the past 5 years, HGLB returned 6.97%/yr vs 11.73%/yr for ^GSPC. At a 0.37 correlation, their price movements are largely independent.
Performance
HGLB vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, HGLB achieves a -13.96% return, which is significantly lower than ^GSPC's 10.05% return.
HGLB
- 1D
- -1.07%
- 1M
- -5.53%
- 6M
- -12.52%
- YTD
- -13.96%
- 1Y
- -1.04%
- 3Y*
- 7.80%
- 5Y*
- 6.97%
- 10Y*
- —
^GSPC
- 1D
- -0.51%
- 1M
- 0.30%
- 6M
- 8.49%
- YTD
- 10.05%
- 1Y
- 20.28%
- 3Y*
- 18.54%
- 5Y*
- 11.73%
- 10Y*
- 13.27%
HGLB vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
HGLB Highland Global Allocation Fund | -13.96% | 51.74% | -1.52% | -6.15% | 14.53% | 53.22% | -17.98% | -31.46% |
^GSPC S&P 500 Index | 10.05% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 16.40% |
Correlation
The correlation between HGLB and ^GSPC is 0.40, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.40 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.34 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.34 |
Correlation (All Time) Calculated using the full available price history since Feb 19, 2019 | 0.37 |
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Return for Risk
HGLB vs. ^GSPC — Risk / Return Rank
HGLB
^GSPC
HGLB vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Highland Global Allocation Fund (HGLB) 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.
| HGLB | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.67 | ||
| Sortino ratioReturn per unit of downside risk | -2.16 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.29 | -0.28 |
| Calmar ratioReturn relative to maximum drawdown | -0.04 | 2.24 | -2.28 |
| Martin ratioReturn relative to average drawdown | -0.08 | 9.71 | -9.79 |
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Drawdowns
HGLB vs. ^GSPC - Drawdown Comparison
The maximum HGLB drawdown since its inception was -70.40%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for HGLB and ^GSPC.
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Drawdown Indicators
| HGLB | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -70.40% | -56.78% | -13.62% |
Max Drawdown (1Y)Largest decline over 1 year | -23.86% | -9.10% | -14.76% |
Max Drawdown (3Y)Largest decline over 3 years | -23.86% | -18.90% | -4.96% |
Max Drawdown (5Y)Largest decline over 5 years | -29.88% | -25.43% | -4.45% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -23.45% | -1.00% | -22.45% |
Average DrawdownAverage peak-to-trough decline | -18.23% | -10.70% | -7.53% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 13.04% | 2.09% | +10.95% |
Volatility
HGLB vs. ^GSPC - Volatility Comparison
Highland Global Allocation Fund (HGLB) has a higher volatility of 4.99% compared to S&P 500 Index (^GSPC) at 3.25%. This indicates that HGLB'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
| HGLB | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.99% | 3.25% | +1.74% |
Volatility (6M)Calculated over the trailing 6-month period | 12.88% | 10.00% | +2.88% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.17% | 12.56% | +8.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.15% | 17.00% | +5.15% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 27.55% | 18.05% | +9.50% |
Frequently Asked Questions
HGLB and ^GSPC have a correlation of 0.40, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
HGLB has higher volatility (4.99%) compared to ^GSPC (3.25%). In terms of maximum drawdown, HGLB dropped -70.40% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.62 vs -0.05), 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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