SRFMX vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about Sarofim Equity Fund (SRFMX) and S&P 500 Index (^GSPC).

SRFMX is managed by Sarofim. It was launched on Jan 17, 2014.

Performance

SRFMX vs. ^GSPC - Performance Comparison

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

SRFMX vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SRFMX Sarofim Equity Fund	-7.46%	11.35%	13.67%	21.41%	-19.20%	27.72%	24.38%	35.64%	-6.98%	25.90%
^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, SRFMX achieves a -7.46% return, which is significantly lower than ^GSPC's -3.95% return. Both investments have delivered pretty close results over the past 10 years, with SRFMX having a 11.81% annualized return and ^GSPC not far ahead at 12.24%.

SRFMX

• 1D: 2.91%
• 1M: -5.55%
• YTD: -7.46%
• 6M: -5.39%
• 1Y: 5.94%
• 3Y*: 10.19%
• 5Y*: 6.87%
• 10Y*: 11.81%

^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

SRFMX vs. ^GSPC — Risk / Return Rank

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

SRFMX

SRFMX Risk / Return Rank: 13
SRFMX Sharpe Ratio Rank: 10
SRFMX Sortino Ratio Rank: 11
SRFMX Omega Ratio Rank: 11
SRFMX Calmar Ratio Rank: 14
SRFMX Martin Ratio Rank: 16

^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.

SRFMX vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Sarofim Equity Fund (SRFMX) 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.

	SRFMX	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	0.36	0.92	-0.56
Sortino ratio Return per unit of downside risk	0.65	1.41	-0.76
Omega ratio Gain probability vs. loss probability	1.09	1.21	-0.12
Calmar ratio Return relative to maximum drawdown	0.58	1.41	-0.84
Martin ratio Return relative to average drawdown	2.15	6.61	-4.46
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SRFMX vs. ^GSPC - Sharpe Ratio Comparison

The current SRFMX Sharpe Ratio is 0.36, which is lower than the ^GSPC Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of SRFMX 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

	SRFMX	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.36	0.92	-0.56
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.38	0.61	-0.23
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.64	0.68	-0.04
Sharpe Ratio (All Time) Calculated using the full available price history	0.52	0.46	+0.06

Correlation

The correlation between SRFMX and ^GSPC is 0.95, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Drawdowns

SRFMX vs. ^GSPC - Drawdown Comparison

The maximum SRFMX drawdown since its inception was -32.46%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for SRFMX and ^GSPC.

Drawdown Indicators

	SRFMX	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-32.46%	-56.78%	+24.32%
Max Drawdown (1Y) Largest decline over 1 year	-12.05%	-12.14%	+0.09%
Max Drawdown (5Y) Largest decline over 5 years	-27.63%	-25.43%	-2.20%
Max Drawdown (10Y) Largest decline over 10 years	-32.46%	-33.92%	+1.46%
Current Drawdown Current decline from peak	-9.37%	-5.78%	-3.59%
Average Drawdown Average peak-to-trough decline	-5.94%	-10.75%	+4.81%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.23%	2.60%	+0.63%

Volatility

SRFMX vs. ^GSPC - Volatility Comparison

Sarofim Equity Fund (SRFMX) and S&P 500 Index (^GSPC) have volatilities of 5.47% and 5.37%, 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

	SRFMX	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.47%	5.37%	+0.10%
Volatility (6M) Calculated over the trailing 6-month period	9.52%	9.55%	-0.03%
Volatility (1Y) Calculated over the trailing 1-year period	17.86%	18.33%	-0.47%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.01%	16.90%	+1.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.59%	18.05%	+0.54%