SRFMX vs. SPY

Last updated Jun 24, 2026

SRFMX (Sarofim Equity Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - SRFMX is a Large Cap Blend Equities fund managed by Sarofim, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, SRFMX returned 12.93%/yr vs 15.53%/yr for SPY. With a 0.95 correlation, they move nearly in lockstep. SRFMX charges 0.70%/yr vs 0.09%/yr for SPY.

Performance

SRFMX vs. SPY - Performance Comparison

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

Returns By Period

In the year-to-date period, SRFMX achieves a 0.31% return, which is significantly lower than SPY's 8.15% return. Over the past 10 years, SRFMX has underperformed SPY with an annualized return of 12.93%, while SPY has yielded a comparatively higher 15.53% 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%

SPY

• 1D: -1.45%
• 1M: -1.36%
• YTD: 8.15%
• 6M: 7.20%
• 1Y: 23.59%
• 3Y*: 20.68%
• 5Y*: 13.05%
• 10Y*: 15.53%

*Multi-year figures are annualized to reflect compound growth (CAGR)

SRFMX vs. SPY - 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%
SPY State Street SPDR S&P 500 ETF	8.15%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between SRFMX and SPY 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 SPY has been stable across timeframes, ranging from 0.92 to 0.95 - a consistent structural relationship.

Return for Risk

SRFMX vs. SPY — Risk / Return Rank

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

SRFMX

SRFMX Risk / Return Rank: 9
SRFMX Sharpe Ratio Rank: 10
SRFMX Sortino Ratio Rank: 9
SRFMX Omega Ratio Rank: 9
SRFMX Calmar Ratio Rank: 8
SRFMX Martin Ratio Rank: 11

SPY

SPY Risk / Return Rank: 59
SPY Sharpe Ratio Rank: 58
SPY Sortino Ratio Rank: 56
SPY Omega Ratio Rank: 57
SPY Calmar Ratio Rank: 56
SPY Martin Ratio Rank: 67

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. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Sarofim Equity Fund (SRFMX) and State Street SPDR S&P 500 ETF (SPY). 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	SPY	Difference
Sharpe ratio: Return per unit of total volatility	0.74	1.90	-1.16
Sortino ratio: Return per unit of downside risk	1.09	2.58	-1.49
Omega ratio: Gain probability vs. loss probability	1.14	1.34	-0.21
Calmar ratio: Return relative to maximum drawdown	0.77	2.67	-1.90
Martin ratio: Return relative to average drawdown	2.91	11.92	-9.01

SRFMX vs. SPY - Sharpe Ratio Comparison

The current SRFMX Sharpe Ratio is 0.74, which is lower than the SPY Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of SRFMX and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

SRFMX vs. SPY - Drawdown Comparison

The maximum SRFMX drawdown since its inception was -32.46%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SRFMX and SPY.

Drawdown Indicators

	SRFMX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-32.46%	-55.19%	+22.73%
Max Drawdown (1Y) Largest decline over 1 year	-12.05%	-8.88%	-3.17%
Max Drawdown (3Y) Largest decline over 3 years	-16.95%	-18.76%	+1.81%
Max Drawdown (5Y) Largest decline over 5 years	-27.63%	-24.50%	-3.13%
Max Drawdown (10Y) Largest decline over 10 years	-32.46%	-33.72%	+1.26%
Current Drawdown Current decline from peak	-4.27%	-3.17%	-1.10%
Average Drawdown Average peak-to-trough decline	-5.87%	-9.04%	+3.17%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.19%	1.98%	+1.21%

Volatility

SRFMX vs. SPY - Volatility Comparison

Sarofim Equity Fund (SRFMX) and State Street SPDR S&P 500 ETF (SPY) have volatilities of 4.67% and 4.87%, 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	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.67%	4.87%	-0.20%
Volatility (6M) Calculated over the trailing 6-month period	10.19%	9.85%	+0.34%
Volatility (1Y) Calculated over the trailing 1-year period	12.52%	12.50%	+0.02%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.05%	17.15%	+0.90%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.65%	17.95%	+0.70%

SRFMX vs. SPY - Expense Ratio Comparison

SRFMX has a 0.70% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

SRFMX vs. SPY - Dividend Comparison

SRFMX's dividend yield for the trailing twelve months is around 31.93%, more than SPY's 1.03% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SPY State Street SPDR S&P 500 ETF	1.03%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%
SRFMX Sarofim Equity Fund	31.93%	31.88%	18.62%	11.14%	8.76%	8.36%	7.36%	5.03%	7.42%	5.41%	1.68%	0.00%

Frequently Asked Questions

Can I hold both SRFMX and SPY in my portfolio?

With a correlation of 0.92, SRFMX and SPY 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.

Which is riskier, SRFMX or SPY?

SPY has higher volatility (4.87%) compared to SRFMX (4.67%). In terms of maximum drawdown, SRFMX dropped -32.46% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (1.90 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.