NQVRX vs. ^GSPC
NQVRX (Nuveen Multi Cap Value Fund) is Mid Cap Value Equities fund managed by Nuveen, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, NQVRX returned 13.72%/yr vs 13.70%/yr for ^GSPC. Their correlation of 0.87 suggests significant overlap in exposure.
Performance
NQVRX vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, NQVRX achieves a 14.44% return, which is significantly higher than ^GSPC's 7.49% return. Both investments have delivered pretty close results over the past 10 years, with NQVRX having a 13.72% annualized return and ^GSPC not far behind at 13.70%.
NQVRX
- 1D
- -0.37%
- 1M
- 0.86%
- YTD
- 14.44%
- 6M
- 13.30%
- 1Y
- 30.69%
- 3Y*
- 20.38%
- 5Y*
- 13.39%
- 10Y*
- 13.72%
^GSPC
- 1D
- -0.10%
- 1M
- -1.54%
- YTD
- 7.49%
- 6M
- 6.15%
- 1Y
- 20.78%
- 3Y*
- 19.17%
- 5Y*
- 11.44%
- 10Y*
- 13.70%
NQVRX vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NQVRX Nuveen Multi Cap Value Fund | 14.44% | 17.89% | 19.25% | 15.94% | -1.02% | 28.56% | -0.27% | 30.35% | -14.39% | 18.68% |
^GSPC S&P 500 Index | 7.49% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between NQVRX and ^GSPC is 0.77, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.77 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.77 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.83 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.83 |
Correlation (All Time) Calculated using the full available price history since Nov 5, 1997 | 0.87 |
The correlation between NQVRX and ^GSPC has been stable across timeframes, ranging from 0.77 to 0.87 - a consistent structural relationship.
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Return for Risk
NQVRX vs. ^GSPC — Risk / Return Rank
NQVRX
^GSPC
NQVRX vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Nuveen Multi Cap Value Fund (NQVRX) 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.
| NQVRX | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.75 | ||
| Sortino ratioReturn per unit of downside risk | +1.08 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.30 | +0.12 |
| Calmar ratioReturn relative to maximum drawdown | 4.37 | 2.29 | +2.07 |
| Martin ratioReturn relative to average drawdown | 16.54 | 10.15 | +6.39 |
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Drawdowns
NQVRX vs. ^GSPC - Drawdown Comparison
The maximum NQVRX drawdown since its inception was -67.80%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for NQVRX and ^GSPC.
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Drawdown Indicators
| NQVRX | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -67.80% | -56.78% | -11.02% |
Max Drawdown (1Y)Largest decline over 1 year | -7.37% | -9.10% | +1.73% |
Max Drawdown (3Y)Largest decline over 3 years | -17.93% | -18.90% | +0.97% |
Max Drawdown (5Y)Largest decline over 5 years | -17.93% | -25.43% | +7.50% |
Max Drawdown (10Y)Largest decline over 10 years | -42.26% | -33.92% | -8.34% |
Current DrawdownCurrent decline from peak | -0.55% | -3.31% | +2.76% |
Average DrawdownAverage peak-to-trough decline | -10.97% | -10.71% | -0.26% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.94% | 2.05% | -0.11% |
Volatility
NQVRX vs. ^GSPC - Volatility Comparison
The current volatility for Nuveen Multi Cap Value Fund (NQVRX) is 4.20%, while S&P 500 Index (^GSPC) has a volatility of 4.87%. This indicates that NQVRX experiences smaller price fluctuations and is considered to be less risky 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
| NQVRX | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.20% | 4.87% | -0.67% |
Volatility (6M)Calculated over the trailing 6-month period | 10.25% | 9.90% | +0.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.33% | 12.54% | +0.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.26% | 17.00% | -0.74% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.04% | 18.08% | +0.96% |
Frequently Asked Questions
NQVRX and ^GSPC have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^GSPC has higher volatility (4.87%) compared to NQVRX (4.20%). In terms of maximum drawdown, NQVRX dropped -67.80% vs ^GSPC's -56.78%.
NQVRX currently has the higher Sharpe Ratio (2.42 vs 1.67), 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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