PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
LCSSX vs. SPGP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between LCSSX and SPGP is 0.79, 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.


-0.50.00.51.00.8

Performance

LCSSX vs. SPGP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ClearBridge Select Fund (LCSSX) and Invesco S&P 500 GARP ETF (SPGP). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
17.02%
2.49%
LCSSX
SPGP

Key characteristics

Sharpe Ratio

LCSSX:

1.45

SPGP:

0.58

Sortino Ratio

LCSSX:

2.00

SPGP:

0.89

Omega Ratio

LCSSX:

1.26

SPGP:

1.11

Calmar Ratio

LCSSX:

0.85

SPGP:

0.90

Martin Ratio

LCSSX:

7.74

SPGP:

2.57

Ulcer Index

LCSSX:

3.05%

SPGP:

3.34%

Daily Std Dev

LCSSX:

16.29%

SPGP:

14.76%

Max Drawdown

LCSSX:

-45.27%

SPGP:

-42.08%

Current Drawdown

LCSSX:

-7.32%

SPGP:

-6.48%

Returns By Period

In the year-to-date period, LCSSX achieves a 23.51% return, which is significantly higher than SPGP's 8.43% return. Both investments have delivered pretty close results over the past 10 years, with LCSSX having a 13.40% annualized return and SPGP not far ahead at 13.46%.


LCSSX

YTD

23.51%

1M

-3.18%

6M

17.02%

1Y

23.53%

5Y*

13.74%

10Y*

13.40%

SPGP

YTD

8.43%

1M

-5.36%

6M

2.49%

1Y

8.18%

5Y*

12.04%

10Y*

13.46%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


LCSSX vs. SPGP - Expense Ratio Comparison

LCSSX has a 0.99% expense ratio, which is higher than SPGP's 0.36% expense ratio.


LCSSX
ClearBridge Select Fund
Expense ratio chart for LCSSX: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%
Expense ratio chart for SPGP: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%

Risk-Adjusted Performance

LCSSX vs. SPGP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ClearBridge Select Fund (LCSSX) and Invesco S&P 500 GARP ETF (SPGP). 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.


Sharpe ratio
The chart of Sharpe ratio for LCSSX, currently valued at 1.45, compared to the broader market-1.000.001.002.003.004.001.450.58
The chart of Sortino ratio for LCSSX, currently valued at 2.00, compared to the broader market-2.000.002.004.006.008.0010.002.000.89
The chart of Omega ratio for LCSSX, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.003.501.261.11
The chart of Calmar ratio for LCSSX, currently valued at 0.85, compared to the broader market0.002.004.006.008.0010.0012.0014.000.850.90
The chart of Martin ratio for LCSSX, currently valued at 7.74, compared to the broader market0.0020.0040.0060.007.742.57
LCSSX
SPGP

The current LCSSX Sharpe Ratio is 1.45, which is higher than the SPGP Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of LCSSX and SPGP, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.45
0.58
LCSSX
SPGP

Dividends

LCSSX vs. SPGP - Dividend Comparison

LCSSX has not paid dividends to shareholders, while SPGP's dividend yield for the trailing twelve months is around 1.38%.


TTM20232022202120202019201820172016201520142013
LCSSX
ClearBridge Select Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%3.67%
SPGP
Invesco S&P 500 GARP ETF
1.38%1.24%1.22%0.69%1.10%0.86%0.95%0.68%0.89%1.12%1.52%2.11%

Drawdowns

LCSSX vs. SPGP - Drawdown Comparison

The maximum LCSSX drawdown since its inception was -45.27%, which is greater than SPGP's maximum drawdown of -42.08%. Use the drawdown chart below to compare losses from any high point for LCSSX and SPGP. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.32%
-6.48%
LCSSX
SPGP

Volatility

LCSSX vs. SPGP - Volatility Comparison

ClearBridge Select Fund (LCSSX) has a higher volatility of 5.21% compared to Invesco S&P 500 GARP ETF (SPGP) at 4.07%. This indicates that LCSSX's price experiences larger fluctuations and is considered to be riskier than SPGP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.21%
4.07%
LCSSX
SPGP
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab