STSEX vs. ^GSPC
Compare and contrast key facts about BlackRock Exchange Portfolio (STSEX) and S&P 500 (^GSPC).
STSEX is managed by Blackrock. It was launched on Dec 17, 1976.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: STSEX or ^GSPC.
Key characteristics
| STSEX | ^GSPC | |
|---|---|---|
| YTD Return | 18.87% | 25.70% |
| 1Y Return | 25.96% | 37.91% |
| 3Y Return (Ann) | 10.90% | 8.59% |
| 5Y Return (Ann) | 15.26% | 14.18% |
| 10Y Return (Ann) | 11.82% | 11.41% |
| Sharpe Ratio | 2.41 | 2.97 |
| Sortino Ratio | 3.19 | 3.97 |
| Omega Ratio | 1.44 | 1.56 |
| Calmar Ratio | 3.68 | 3.93 |
| Martin Ratio | 16.32 | 19.39 |
| Ulcer Index | 1.55% | 1.90% |
| Daily Std Dev | 10.51% | 12.38% |
| Max Drawdown | -49.89% | -56.78% |
| Current Drawdown | -0.45% | 0.00% |
Correlation
The correlation between STSEX and ^GSPC is 0.94, 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.
Performance
STSEX vs. ^GSPC - Performance Comparison
In the year-to-date period, STSEX achieves a 18.87% return, which is significantly lower than ^GSPC's 25.70% return. Both investments have delivered pretty close results over the past 10 years, with STSEX having a 11.82% annualized return and ^GSPC not far behind at 11.41%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
STSEX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for BlackRock Exchange Portfolio (STSEX) and S&P 500 (^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.
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. For additional features, visit the drawdowns tool.
Volatility
STSEX vs. ^GSPC - Volatility Comparison
BlackRock Exchange Portfolio (STSEX) has a higher volatility of 4.44% compared to S&P 500 (^GSPC) at 3.92%. This indicates that STSEX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.