NCGFX vs. SSSYX

Last updated Aug 1, 2026

NCGFX (New Covenant Growth Fund) and SSSYX (State Street Equity 500 Index Fund Class K) are both mutual funds - NCGFX is a Large Cap Blend Equities fund managed by New Covenant, while SSSYX is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, NCGFX returned 13.30%/yr vs 44.70%/yr for SSSYX. Their 0.97 correlation means they have historically moved very closely together. NCGFX charges 0.97%/yr vs 0.02%/yr for SSSYX.

Performance

NCGFX vs. SSSYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in New Covenant Growth Fund (NCGFX) and State Street Equity 500 Index Fund Class K (SSSYX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with NCGFX having a 9.17% return and SSSYX slightly higher at 9.34%. Over the past 10 years, NCGFX has underperformed SSSYX with an annualized return of 13.30%, while SSSYX has yielded a comparatively higher 44.70% annualized return.

NCGFX

• 1D: 1.68%
• 1M: -1.01%
• 6M: 7.63%
• YTD: 9.17%
• 1Y: 20.10%
• 3Y*: 17.23%
• 5Y*: 9.93%
• 10Y*: 13.30%
• ALL TIME*: 6.91%

SSSYX

• 1D: 1.66%
• 1M: -0.55%
• 6M: 7.79%
• YTD: 9.34%
• 1Y: 20.60%
• 3Y*: 19.01%
• 5Y*: 12.65%
• 10Y*: 44.70%
• ALL TIME*: 37.64%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
NCGFX New Covenant Growth Fund	$0.00	$0.00	$0.00
SSSYX State Street Equity 500 Index Fund Class K	$0.00	$0.00	$0.00

NCGFX vs. SSSYX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
NCGFX New Covenant Growth Fund	9.17%	15.84%	22.15%	25.24%	-19.62%	20.69%	20.25%	30.23%	-6.07%	21.60%
SSSYX State Street Equity 500 Index Fund Class K	9.34%	17.81%	24.99%	26.27%	-18.16%	28.51%	1,083.11%	31.38%	-4.38%	21.61%

Correlation

The correlation between NCGFX and SSSYX is 0.99 - they have historically moved very closely together. At this level, their price movements offset little of one another.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.99
Correlation (3Y) Balances recent behavior with more history.	0.96
Correlation (5Y) Shows whether the relationship held over a longer period.	0.97
Correlation (10Y) Provides a long-term view across more market conditions.	0.97
Correlation (All Time) Calculated using the full available price history since Sep 18, 2014	0.97

The correlation between NCGFX and SSSYX has been stable across timeframes, ranging from 0.96 to 0.99 - a consistent structural relationship.

Return for Risk

NCGFX vs. SSSYX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

NCGFX

NCGFX Risk / Return Rank: 47
NCGFX Sharpe Ratio Rank: 45
NCGFX Sortino Ratio Rank: 43
NCGFX Omega Ratio Rank: 42
NCGFX Calmar Ratio Rank: 47
NCGFX Martin Ratio Rank: 60

SSSYX

SSSYX Risk / Return Rank: 63
SSSYX Sharpe Ratio Rank: 60
SSSYX Sortino Ratio Rank: 57
SSSYX Omega Ratio Rank: 58
SSSYX Calmar Ratio Rank: 64
SSSYX Martin Ratio Rank: 76

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

NCGFX vs. SSSYX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for New Covenant Growth Fund (NCGFX) and State Street Equity 500 Index Fund Class K (SSSYX). 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.

	NCGFX	SSSYX	Difference
Sharpe ratio: Return per unit of total volatility	1.34	1.43	-0.09
Sortino ratio: Return per unit of downside risk	1.89	1.99	-0.10
Omega ratio: Gain probability vs. loss probability	1.24	1.26	-0.02
Calmar ratio: Return relative to maximum drawdown	1.90	2.06	-0.17
Martin ratio: Return relative to average drawdown	8.07	8.86	-0.79

NCGFX vs. SSSYX - Sharpe Ratio Comparison

The current NCGFX Sharpe Ratio is 1.34, which is comparable to the SSSYX Sharpe Ratio of 1.43. The chart below compares the historical Sharpe Ratios of NCGFX and SSSYX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

NCGFX vs. SSSYX - Drawdown Comparison

The maximum NCGFX drawdown since its inception was -55.18%, which is greater than SSSYX's maximum drawdown of -33.77%. Use the drawdown chart below to compare losses from any high point for NCGFX and SSSYX.

Drawdown Indicators

	NCGFX	SSSYX	Difference
Max Drawdown Largest peak-to-trough decline	-55.18%	-33.77%	-21.41%
Max Drawdown (1Y) Largest decline over 1 year	-9.31%	-8.88%	-0.43%
Max Drawdown (3Y) Largest decline over 3 years	-25.32%	-18.74%	-6.58%
Max Drawdown (5Y) Largest decline over 5 years	-28.10%	-24.49%	-3.61%
Max Drawdown (10Y) Largest decline over 10 years	-34.28%	-33.77%	-0.51%
Current Drawdown Current decline from peak	-1.98%	-2.11%	+0.13%
Average Drawdown Average peak-to-trough decline	-11.41%	-3.89%	-7.52%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.19%	2.07%	+0.12%

Volatility

NCGFX vs. SSSYX - Volatility Comparison

New Covenant Growth Fund (NCGFX) and State Street Equity 500 Index Fund Class K (SSSYX) have volatilities of 3.46% and 3.45%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	NCGFX	SSSYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.46%	3.45%	+0.01%
Volatility (6M) Calculated over the trailing 6-month period	10.36%	10.09%	+0.27%
Volatility (1Y) Calculated over the trailing 1-year period	13.21%	12.85%	+0.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.62%	17.00%	+1.62%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.95%	121.13%	-102.18%

NCGFX vs. SSSYX - Expense Ratio Comparison

NCGFX has a 0.97% expense ratio, which is higher than SSSYX's 0.02% expense ratio.

Dividends

NCGFX vs. SSSYX - Dividend Comparison

NCGFX's dividend yield for the trailing twelve months is around 8.87%, more than SSSYX's 1.32% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
NCGFX New Covenant Growth Fund	8.87%	9.67%	10.12%	6.81%	1.61%	1.45%	4.07%	5.55%	8.44%	6.54%	0.66%	7.83%
SSSYX State Street Equity 500 Index Fund Class K	1.32%	1.44%	1.63%	1.78%	2.16%	2.76%	1.86%	4.44%	5.18%	5.94%	2.07%	1.84%

Frequently Asked Questions

Can I hold both NCGFX and SSSYX in my portfolio?

With a correlation of 0.99, NCGFX and SSSYX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, NCGFX or SSSYX?

NCGFX has higher volatility (3.46%) compared to SSSYX (3.45%). In terms of maximum drawdown, NCGFX dropped -55.18% vs SSSYX's -33.77%.

Which has better risk-adjusted returns?

SSSYX currently has the higher Sharpe Ratio (1.43 vs 1.34), 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.