STSEX vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about BlackRock Exchange Portfolio (STSEX) and S&P 500 Index (^GSPC).

STSEX is managed by BlackRock. It was launched on Dec 17, 1976.

Performance

STSEX vs. ^GSPC - Performance Comparison

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

STSEX vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
STSEX BlackRock Exchange Portfolio	-5.16%	19.42%	16.06%	20.71%	-5.51%	31.09%	9.30%	28.62%	-2.95%	15.24%
^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, STSEX achieves a -5.16% return, which is significantly lower than ^GSPC's -3.95% return. Over the past 10 years, STSEX has outperformed ^GSPC with an annualized return of 13.27%, while ^GSPC has yielded a comparatively lower 12.24% annualized return.

STSEX

• 1D: 1.64%
• 1M: -3.81%
• YTD: -5.16%
• 6M: -4.32%
• 1Y: 11.17%
• 3Y*: 15.00%
• 5Y*: 12.48%
• 10Y*: 13.27%

^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

STSEX vs. ^GSPC — Risk / Return Rank

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

STSEX

STSEX Risk / Return Rank: 38
STSEX Sharpe Ratio Rank: 30
STSEX Sortino Ratio Rank: 34
STSEX Omega Ratio Rank: 31
STSEX Calmar Ratio Rank: 50
STSEX Martin Ratio Rank: 46

^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.

STSEX vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock Exchange Portfolio (STSEX) 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.

	STSEX	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	0.77	0.92	-0.15
Sortino ratio Return per unit of downside risk	1.22	1.41	-0.20
Omega ratio Gain probability vs. loss probability	1.17	1.21	-0.05
Calmar ratio Return relative to maximum drawdown	1.31	1.41	-0.11
Martin ratio Return relative to average drawdown	4.87	6.61	-1.74
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

STSEX vs. ^GSPC - Sharpe Ratio Comparison

The current STSEX Sharpe Ratio is 0.77, which is comparable to the ^GSPC Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of STSEX 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

	STSEX	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.77	0.92	-0.15
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.87	0.61	+0.26
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.80	0.68	+0.12
Sharpe Ratio (All Time) Calculated using the full available price history	0.65	0.46	+0.19

Correlation

The correlation between STSEX and ^GSPC is 0.86, 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

STSEX vs. ^GSPC - Drawdown Comparison

The maximum STSEX drawdown since its inception was -49.89%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for STSEX and ^GSPC.

Drawdown Indicators

	STSEX	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-49.89%	-56.78%	+6.89%
Max Drawdown (1Y) Largest decline over 1 year	-9.03%	-12.14%	+3.11%
Max Drawdown (5Y) Largest decline over 5 years	-19.57%	-25.43%	+5.86%
Max Drawdown (10Y) Largest decline over 10 years	-31.28%	-33.92%	+2.64%
Current Drawdown Current decline from peak	-6.64%	-5.78%	-0.86%
Average Drawdown Average peak-to-trough decline	-7.28%	-10.75%	+3.47%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.42%	2.60%	-0.18%

Volatility

STSEX vs. ^GSPC - Volatility Comparison

The current volatility for BlackRock Exchange Portfolio (STSEX) is 3.39%, while S&P 500 Index (^GSPC) has a volatility of 5.37%. This indicates that STSEX 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.

Volatility by Period

	STSEX	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.39%	5.37%	-1.98%
Volatility (6M) Calculated over the trailing 6-month period	7.92%	9.55%	-1.63%
Volatility (1Y) Calculated over the trailing 1-year period	14.49%	18.33%	-3.84%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.38%	16.90%	-2.52%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.71%	18.05%	-1.34%