INCY vs. ^SP500TR

Last updated Apr 2, 2026

Compare and contrast key facts about Incyte Corporation (INCY) and S&P 500 Total Return (^SP500TR).

Performance

INCY vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Incyte Corporation (INCY) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

INCY vs. ^SP500TR - 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%
^SP500TR S&P 500 Total Return	-3.64%	17.88%	25.02%	26.29%	-18.11%	28.71%	18.40%	31.49%	-4.38%	21.83%

Returns By Period

In the year-to-date period, INCY achieves a -4.53% return, which is significantly lower than ^SP500TR's -3.64% return. Over the past 10 years, INCY has underperformed ^SP500TR with an annualized return of 2.55%, while ^SP500TR has yielded a comparatively higher 14.17% 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%

^SP500TR

• 1D: 0.72%
• 1M: -4.34%
• YTD: -3.64%
• 6M: -1.43%
• 1Y: 18.20%
• 3Y*: 18.60%
• 5Y*: 11.96%
• 10Y*: 14.17%

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

Return for Risk

INCY vs. ^SP500TR — 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

^SP500TR

^SP500TR Risk / Return Rank: 72
^SP500TR Sharpe Ratio Rank: 66
^SP500TR Sortino Ratio Rank: 69
^SP500TR Omega Ratio Rank: 74
^SP500TR Calmar Ratio Rank: 67
^SP500TR Martin Ratio Rank: 83

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. ^SP500TR - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Incyte Corporation (INCY) and S&P 500 Total Return (^SP500TR). 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	^SP500TR	Difference
Sharpe ratio Return per unit of total volatility	1.62	1.00	+0.62
Sortino ratio Return per unit of downside risk	2.30	1.52	+0.77
Omega ratio Gain probability vs. loss probability	1.29	1.23	+0.06
Calmar ratio Return relative to maximum drawdown	3.04	1.54	+1.50
Martin ratio Return relative to average drawdown	8.49	7.32	+1.17
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. ^SP500TR - Sharpe Ratio Comparison

The current INCY Sharpe Ratio is 1.62, which is higher than the ^SP500TR Sharpe Ratio of 1.00. The chart below compares the historical Sharpe Ratios of INCY and ^SP500TR, 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	^SP500TR	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.62	1.00	+0.62
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.09	0.71	-0.62
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.07	0.79	-0.71
Sharpe Ratio (All Time) Calculated using the full available price history	0.21	0.62	-0.42

Correlation

The correlation between INCY and ^SP500TR is 0.39, 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. ^SP500TR - Drawdown Comparison

The maximum INCY drawdown since its inception was -98.54%, which is greater than ^SP500TR's maximum drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for INCY and ^SP500TR.

Drawdown Indicators

	INCY	^SP500TR	Difference
Max Drawdown Largest peak-to-trough decline	-98.54%	-55.25%	-43.29%
Max Drawdown (1Y) Largest decline over 1 year	-18.33%	-12.12%	-6.21%
Max Drawdown (5Y) Largest decline over 5 years	-41.53%	-24.49%	-17.04%
Max Drawdown (10Y) Largest decline over 10 years	-66.47%	-33.79%	-32.68%
Current Drawdown Current decline from peak	-38.23%	-5.55%	-32.68%
Average Drawdown Average peak-to-trough decline	-60.04%	-8.20%	-51.84%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.57%	2.55%	+4.02%

Volatility

INCY vs. ^SP500TR - Volatility Comparison

Incyte Corporation (INCY) has a higher volatility of 7.59% compared to S&P 500 Total Return (^SP500TR) at 5.38%. This indicates that INCY's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	INCY	^SP500TR	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.59%	5.38%	+2.21%
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%	18.32%	+15.63%
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%