INCY vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about Incyte Corporation (INCY) and S&P 500 Index (^GSPC).

Performance

INCY vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Incyte Corporation (INCY) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

INCY vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
INCY Incyte Corporation	-4.53%	43.00%	10.00%	-21.83%	9.43%	-15.61%	-0.39%	37.32%	-32.86%	-5.55%
^GSPC S&P 500 Index	-3.95%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	19.42%

Returns By Period

In the year-to-date period, INCY achieves a -4.53% return, which is significantly lower than ^GSPC's -3.95% return. Over the past 10 years, INCY has underperformed ^GSPC with an annualized return of 2.55%, while ^GSPC has yielded a comparatively higher 12.24% annualized return.

INCY

• 1D: 0.19%
• 1M: -5.74%
• YTD: -4.53%
• 6M: 8.77%
• 1Y: 54.82%
• 3Y*: 9.27%
• 5Y*: 2.58%
• 10Y*: 2.55%

^GSPC

• 1D: 0.72%
• 1M: -4.45%
• YTD: -3.95%
• 6M: -2.02%
• 1Y: 16.73%
• 3Y*: 16.96%
• 5Y*: 10.34%
• 10Y*: 12.24%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

INCY vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

INCY

INCY Risk / Return Rank: 84
INCY Sharpe Ratio Rank: 85
INCY Sortino Ratio Rank: 83
INCY Omega Ratio Rank: 80
INCY Calmar Ratio Rank: 85
INCY Martin Ratio Rank: 86

^GSPC

^GSPC Risk / Return Rank: 67
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 64
^GSPC Omega Ratio Rank: 69
^GSPC Calmar Ratio Rank: 60
^GSPC Martin Ratio Rank: 77

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

INCY vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Incyte Corporation (INCY) 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.

	INCY	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	1.62	0.92	+0.71
Sortino ratio Return per unit of downside risk	2.30	1.41	+0.88
Omega ratio Gain probability vs. loss probability	1.29	1.21	+0.08
Calmar ratio Return relative to maximum drawdown	3.04	1.41	+1.63
Martin ratio Return relative to average drawdown	8.49	6.61	+1.87
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

INCY vs. ^GSPC - Sharpe Ratio Comparison

The current INCY Sharpe Ratio is 1.62, which is higher than the ^GSPC Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of INCY and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	INCY	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.62	0.92	+0.71
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.09	0.61	-0.53
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.07	0.68	-0.61
Sharpe Ratio (All Time) Calculated using the full available price history	0.21	0.46	-0.25

Correlation

The correlation between INCY and ^GSPC is 0.40, 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.

Drawdowns

INCY vs. ^GSPC - Drawdown Comparison

The maximum INCY drawdown since its inception was -98.54%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for INCY and ^GSPC.

Drawdown Indicators

	INCY	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-98.54%	-56.78%	-41.76%
Max Drawdown (1Y) Largest decline over 1 year	-18.33%	-12.14%	-6.19%
Max Drawdown (5Y) Largest decline over 5 years	-41.53%	-25.43%	-16.10%
Max Drawdown (10Y) Largest decline over 10 years	-66.47%	-33.92%	-32.55%
Current Drawdown Current decline from peak	-38.23%	-5.78%	-32.45%
Average Drawdown Average peak-to-trough decline	-60.04%	-10.75%	-49.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.57%	2.60%	+3.97%

Volatility

INCY vs. ^GSPC - Volatility Comparison

Incyte Corporation (INCY) has a higher volatility of 7.59% compared to S&P 500 Index (^GSPC) at 5.37%. This indicates that INCY'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.

Volatility by Period

	INCY	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.59%	5.37%	+2.22%
Volatility (6M) Calculated over the trailing 6-month period	23.76%	9.55%	+14.21%
Volatility (1Y) Calculated over the trailing 1-year period	33.95%	18.33%	+15.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	29.15%	16.90%	+12.25%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	34.60%	18.05%	+16.55%