SBMAX vs. ^GSPC
SBMAX (ClearBridge Mid Cap Fund) is Mid Cap Blend Equities fund managed by Franklin Templeton, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, SBMAX returned 8.47%/yr vs 13.71%/yr for ^GSPC. Their correlation of 0.89 suggests significant overlap in exposure.
Performance
SBMAX vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, SBMAX achieves a 3.76% return, which is significantly lower than ^GSPC's 7.60% return. Over the past 10 years, SBMAX has underperformed ^GSPC with an annualized return of 8.47%, while ^GSPC has yielded a comparatively higher 13.71% annualized return.
SBMAX
- 1D
- 0.12%
- 1M
- 2.93%
- YTD
- 3.76%
- 6M
- 2.34%
- 1Y
- 7.28%
- 3Y*
- 9.24%
- 5Y*
- 2.37%
- 10Y*
- 8.47%
^GSPC
- 1D
- -1.44%
- 1M
- -1.45%
- YTD
- 7.60%
- 6M
- 6.59%
- 1Y
- 22.24%
- 3Y*
- 19.20%
- 5Y*
- 11.54%
- 10Y*
- 13.71%
SBMAX vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SBMAX ClearBridge Mid Cap Fund | 3.76% | 4.21% | 9.79% | 13.51% | -25.19% | 28.37% | 16.25% | 32.77% | -12.92% | 12.69% |
^GSPC S&P 500 Index | 7.60% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between SBMAX and ^GSPC is 0.74, 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 | 0.74 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.80 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.86 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.87 |
Correlation (All Time) Calculated using the full available price history since Aug 31, 1998 | 0.89 |
The correlation between SBMAX and ^GSPC shifts across timeframes, from 0.74 (1 year) to 0.89 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SBMAX vs. ^GSPC — Risk / Return Rank
SBMAX
^GSPC
SBMAX vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ClearBridge Mid Cap Fund (SBMAX) 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.
| SBMAX | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.21 | ||
| Sortino ratioReturn per unit of downside risk | -1.54 | ||
| Omega ratioGain probability vs. loss probability | 1.11 | 1.32 | -0.22 |
| Calmar ratioReturn relative to maximum drawdown | 0.80 | 2.46 | -1.66 |
| Martin ratioReturn relative to average drawdown | 2.38 | 10.92 | -8.53 |
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Drawdowns
SBMAX vs. ^GSPC - Drawdown Comparison
The maximum SBMAX drawdown since its inception was -52.41%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for SBMAX and ^GSPC.
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Drawdown Indicators
| SBMAX | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.41% | -56.78% | +4.37% |
Max Drawdown (1Y)Largest decline over 1 year | -10.32% | -9.10% | -1.22% |
Max Drawdown (3Y)Largest decline over 3 years | -23.62% | -18.90% | -4.72% |
Max Drawdown (5Y)Largest decline over 5 years | -31.55% | -25.43% | -6.12% |
Max Drawdown (10Y)Largest decline over 10 years | -39.88% | -33.92% | -5.96% |
Current DrawdownCurrent decline from peak | -1.84% | -3.21% | +1.37% |
Average DrawdownAverage peak-to-trough decline | -9.65% | -10.71% | +1.06% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.46% | 2.04% | +1.42% |
Volatility
SBMAX vs. ^GSPC - Volatility Comparison
The current volatility for ClearBridge Mid Cap Fund (SBMAX) is 3.63%, while S&P 500 Index (^GSPC) has a volatility of 4.89%. This indicates that SBMAX 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
| SBMAX | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.63% | 4.89% | -1.26% |
Volatility (6M)Calculated over the trailing 6-month period | 11.32% | 9.93% | +1.39% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.50% | 12.57% | +1.93% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.84% | 17.00% | +2.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.26% | 18.08% | +2.18% |
Frequently Asked Questions
SBMAX and ^GSPC have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^GSPC has higher volatility (4.89%) compared to SBMAX (3.63%). In terms of maximum drawdown, SBMAX dropped -52.41% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.78 vs 0.57), 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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