SAR vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about Saratoga Investment Corp. (SAR) and S&P 500 Index (^GSPC).

Performance

SAR vs. ^GSPC - Performance Comparison

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

SAR vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SAR Saratoga Investment Corp.	-4.32%	10.36%	6.07%	12.91%	-3.82%	51.00%	-10.92%	34.20%	-2.78%	20.77%
^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, SAR achieves a -4.32% return, which is significantly lower than ^GSPC's -3.95% return. Over the past 10 years, SAR has outperformed ^GSPC with an annualized return of 13.70%, while ^GSPC has yielded a comparatively lower 12.24% annualized return.

SAR

• 1D: -2.24%
• 1M: -8.36%
• YTD: -4.32%
• 6M: -4.36%
• 1Y: -3.31%
• 3Y*: 7.45%
• 5Y*: 7.90%
• 10Y*: 13.70%

^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

SAR vs. ^GSPC — Risk / Return Rank

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

SAR

SAR Risk / Return Rank: 31
SAR Sharpe Ratio Rank: 34
SAR Sortino Ratio Rank: 28
SAR Omega Ratio Rank: 28
SAR Calmar Ratio Rank: 34
SAR Martin Ratio Rank: 31

^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.

SAR vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Saratoga Investment Corp. (SAR) 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.

	SAR	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	-0.14	0.92	-1.06
Sortino ratio Return per unit of downside risk	-0.03	1.41	-1.45
Omega ratio Gain probability vs. loss probability	1.00	1.21	-0.22
Calmar ratio Return relative to maximum drawdown	-0.23	1.41	-1.64
Martin ratio Return relative to average drawdown	-0.58	6.61	-7.20
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SAR vs. ^GSPC - Sharpe Ratio Comparison

The current SAR Sharpe Ratio is -0.14, which is lower than the ^GSPC Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of SAR 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

	SAR	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.14	0.92	-1.06
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.35	0.61	-0.26
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.37	0.68	-0.31
Sharpe Ratio (All Time) Calculated using the full available price history	0.14	0.46	-0.32

Correlation

The correlation between SAR and ^GSPC is 0.25, 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

SAR vs. ^GSPC - Drawdown Comparison

The maximum SAR drawdown since its inception was -90.51%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for SAR and ^GSPC.

Drawdown Indicators

	SAR	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-90.51%	-56.78%	-33.73%
Max Drawdown (1Y) Largest decline over 1 year	-14.25%	-12.14%	-2.11%
Max Drawdown (5Y) Largest decline over 5 years	-26.19%	-25.43%	-0.76%
Max Drawdown (10Y) Largest decline over 10 years	-69.89%	-33.92%	-35.97%
Current Drawdown Current decline from peak	-9.79%	-5.78%	-4.01%
Average Drawdown Average peak-to-trough decline	-17.37%	-10.75%	-6.62%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.56%	2.60%	+2.96%

Volatility

SAR vs. ^GSPC - Volatility Comparison

Saratoga Investment Corp. (SAR) has a higher volatility of 9.11% compared to S&P 500 Index (^GSPC) at 5.37%. This indicates that SAR'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

	SAR	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.11%	5.37%	+3.74%
Volatility (6M) Calculated over the trailing 6-month period	15.45%	9.55%	+5.90%
Volatility (1Y) Calculated over the trailing 1-year period	23.40%	18.33%	+5.07%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.48%	16.90%	+5.58%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	37.59%	18.05%	+19.54%