SAR vs. ^GSPC
SAR (Saratoga Investment Corp.) is a stock, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, SAR returned 12.05%/yr vs 13.26%/yr for ^GSPC. Their 0.25 correlation means their historical movements had little consistent relationship.
Performance
SAR vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, SAR achieves a -8.25% return, which is significantly lower than ^GSPC's 9.41% return. Over the past 10 years, SAR has underperformed ^GSPC with an annualized return of 12.05%, while ^GSPC has yielded a comparatively higher 13.26% annualized return.
SAR
- 1D
- 1.33%
- 1M
- -13.61%
- 6M
- -11.41%
- YTD
- -8.25%
- 1Y
- -6.63%
- 3Y*
- 3.20%
- 5Y*
- 5.22%
- 10Y*
- 12.05%
- ALL TIME*
- 7.49%
^GSPC
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^GSPC S&P 500 Index | $37.98T | $37.61T | $41.48T |
| $2.70M | $4.31M | $2.87M |
SAR vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SAR Saratoga Investment Corp. | -8.25% | 10.36% | 6.07% | 12.91% | -3.82% | 51.00% | -10.92% | 34.20% | -2.78% | 20.77% |
^GSPC S&P 500 Index | 9.41% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between SAR and ^GSPC is 0.24, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.24 |
Correlation (3Y) Balances recent behavior with more history. | 0.30 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.36 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.33 |
Correlation (All Time) Calculated using the full available price history since Mar 27, 2007 | 0.25 |
The correlation between SAR and ^GSPC shifts across timeframes, from 0.24 (1 year) to 0.36 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
SAR vs. ^GSPC — Risk / Return Rank
SAR
^GSPC
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.
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.
| SAR | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.75 | ||
| Sortino ratioReturn per unit of downside risk | -2.25 | ||
| Omega ratioGain probability vs. loss probability | 0.96 | 1.25 | -0.30 |
| Calmar ratioReturn relative to maximum drawdown | -0.38 | 2.00 | -2.38 |
| Martin ratioReturn relative to average drawdown | -1.25 | 8.49 | -9.75 |
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Drawdowns
SAR vs. ^GSPC - Drawdown Comparison
The maximum SAR drawdown since its inception was -90.67%, 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.
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Drawdown Indicators
| SAR | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -90.67% | -56.78% | -33.89% |
Max Drawdown (1Y)Largest decline over 1 year | -22.46% | -9.10% | -13.36% |
Max Drawdown (3Y)Largest decline over 3 years | -22.46% | -18.90% | -3.56% |
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 DrawdownCurrent decline from peak | -15.13% | -1.58% | -13.55% |
Average DrawdownAverage peak-to-trough decline | -17.54% | -10.70% | -6.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.81% | 2.14% | +4.67% |
Volatility
SAR vs. ^GSPC - Volatility Comparison
Saratoga Investment Corp. (SAR) has a higher volatility of 17.93% compared to S&P 500 Index (^GSPC) at 3.51%. 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.
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Volatility by Period
| SAR | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 17.93% | 3.51% | +14.42% |
Volatility (6M)Calculated over the trailing 6-month period | 22.90% | 10.11% | +12.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 25.55% | 12.87% | +12.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.61% | 17.01% | +6.60% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 38.02% | 18.07% | +19.95% |
Frequently Asked Questions
SAR and ^GSPC have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SAR has higher volatility (17.93%) compared to ^GSPC (3.51%). In terms of maximum drawdown, SAR dropped -90.67% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.42 vs -0.33), 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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