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 7.90%/yr vs 11.54%/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 -13.14% return, which is significantly lower than ^GSPC's 7.60% return.
HGLB
- 1D
- -1.65%
- 1M
- -6.17%
- YTD
- -13.14%
- 6M
- -14.10%
- 1Y
- -4.96%
- 3Y*
- 9.17%
- 5Y*
- 7.90%
- 10Y*
- —
^GSPC
- 1D
- -1.44%
- 1M
- -1.45%
- YTD
- 7.60%
- 6M
- 6.59%
- 1Y
- 22.24%
- 3Y*
- 19.20%
- 5Y*
- 11.54%
- 10Y*
- 13.71%
HGLB vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
HGLB Highland Global Allocation Fund | -13.14% | 51.74% | -1.52% | -6.15% | 14.53% | 53.22% | -17.98% | -31.46% |
^GSPC S&P 500 Index | 7.60% | 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 | 0.35 |
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 | -2.02 | ||
| Sortino ratioReturn per unit of downside risk | -2.63 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.32 | -0.35 |
| Calmar ratioReturn relative to maximum drawdown | -0.21 | 2.46 | -2.67 |
| Martin ratioReturn relative to average drawdown | -0.41 | 10.92 | -11.33 |
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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 | -23.34% | -9.10% | -14.24% |
Max Drawdown (3Y)Largest decline over 3 years | -23.34% | -18.90% | -4.44% |
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 | -22.72% | -3.21% | -19.51% |
Average DrawdownAverage peak-to-trough decline | -18.20% | -10.71% | -7.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 11.99% | 2.04% | +9.95% |
Volatility
HGLB vs. ^GSPC - Volatility Comparison
Highland Global Allocation Fund (HGLB) has a higher volatility of 6.02% compared to S&P 500 Index (^GSPC) at 4.89%. 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 | 6.02% | 4.89% | +1.13% |
Volatility (6M)Calculated over the trailing 6-month period | 12.95% | 9.93% | +3.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.16% | 12.57% | +8.59% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.11% | 17.00% | +5.11% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 27.62% | 18.08% | +9.54% |
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 (6.02%) compared to ^GSPC (4.89%). In terms of maximum drawdown, HGLB dropped -70.40% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.78 vs -0.24), 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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