SRFMX vs. ^GSPC
SRFMX (Sarofim Equity Fund) is Large Cap Blend Equities fund managed by Sarofim, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, SRFMX returned 12.93%/yr vs 13.71%/yr for ^GSPC. With a 0.95 correlation, they move nearly in lockstep.
Performance
SRFMX vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, SRFMX achieves a 0.31% return, which is significantly lower than ^GSPC's 7.60% return. Over the past 10 years, SRFMX has underperformed ^GSPC with an annualized return of 12.93%, while ^GSPC has yielded a comparatively higher 13.71% annualized return.
SRFMX
- 1D
- -1.41%
- 1M
- -3.18%
- YTD
- 0.31%
- 6M
- -0.17%
- 1Y
- 8.65%
- 3Y*
- 11.52%
- 5Y*
- 7.02%
- 10Y*
- 12.93%
^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%
SRFMX vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SRFMX Sarofim Equity Fund | 0.31% | 11.35% | 13.67% | 21.41% | -19.20% | 27.72% | 24.38% | 35.64% | -6.98% | 25.90% |
^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 SRFMX and ^GSPC is 0.92, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.92 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.92 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.95 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.95 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015 | 0.95 |
The correlation between SRFMX and ^GSPC has been stable across timeframes, ranging from 0.92 to 0.95 - a consistent structural relationship.
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Return for Risk
SRFMX vs. ^GSPC — Risk / Return Rank
SRFMX
^GSPC
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.
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.
| SRFMX | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.04 | ||
| Sortino ratioReturn per unit of downside risk | -1.35 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 1.32 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | 0.77 | 2.46 | -1.68 |
| Martin ratioReturn relative to average drawdown | 2.91 | 10.92 | -8.01 |
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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.
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Drawdown Indicators
| SRFMX | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.46% | -56.78% | +24.32% |
Max Drawdown (1Y)Largest decline over 1 year | -12.05% | -9.10% | -2.95% |
Max Drawdown (3Y)Largest decline over 3 years | -16.95% | -18.90% | +1.95% |
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 DrawdownCurrent decline from peak | -4.27% | -3.21% | -1.06% |
Average DrawdownAverage peak-to-trough decline | -5.87% | -10.71% | +4.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.19% | 2.04% | +1.15% |
Volatility
SRFMX vs. ^GSPC - Volatility Comparison
Sarofim Equity Fund (SRFMX) and S&P 500 Index (^GSPC) have volatilities of 4.67% and 4.89%, 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.
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Volatility by Period
| SRFMX | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.67% | 4.89% | -0.22% |
Volatility (6M)Calculated over the trailing 6-month period | 10.19% | 9.93% | +0.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.52% | 12.57% | -0.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.05% | 17.00% | +1.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.65% | 18.08% | +0.57% |
Frequently Asked Questions
With a correlation of 0.92, SRFMX and ^GSPC move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
^GSPC has higher volatility (4.89%) compared to SRFMX (4.67%). In terms of maximum drawdown, SRFMX dropped -32.46% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (1.78 vs 0.74), 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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