PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SVSPX vs. VTSAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SVSPX and VTSAX is 0.99, 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.


-0.50.00.51.01.0

Performance

SVSPX vs. VTSAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in State Street S&P 500 Index Fund Class N (SVSPX) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
1.78%
10.51%
SVSPX
VTSAX

Key characteristics

Sharpe Ratio

SVSPX:

1.22

VTSAX:

2.01

Sortino Ratio

SVSPX:

1.55

VTSAX:

2.69

Omega Ratio

SVSPX:

1.25

VTSAX:

1.37

Calmar Ratio

SVSPX:

0.76

VTSAX:

3.01

Martin Ratio

SVSPX:

8.74

VTSAX:

12.78

Ulcer Index

SVSPX:

2.01%

VTSAX:

2.02%

Daily Std Dev

SVSPX:

14.42%

VTSAX:

12.84%

Max Drawdown

SVSPX:

-86.30%

VTSAX:

-55.34%

Current Drawdown

SVSPX:

-9.42%

VTSAX:

-2.82%

Returns By Period

In the year-to-date period, SVSPX achieves a 16.98% return, which is significantly lower than VTSAX's 25.17% return. Over the past 10 years, SVSPX has underperformed VTSAX with an annualized return of 5.14%, while VTSAX has yielded a comparatively higher 12.50% annualized return.


SVSPX

YTD

16.98%

1M

-7.54%

6M

1.78%

1Y

17.38%

5Y*

5.01%

10Y*

5.14%

VTSAX

YTD

25.17%

1M

-0.88%

6M

10.50%

1Y

25.53%

5Y*

14.14%

10Y*

12.50%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SVSPX vs. VTSAX - Expense Ratio Comparison

SVSPX has a 0.16% expense ratio, which is higher than VTSAX's 0.04% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SVSPX
State Street S&P 500 Index Fund Class N
Expense ratio chart for SVSPX: current value at 0.16% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.16%
Expense ratio chart for VTSAX: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

SVSPX vs. VTSAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street S&P 500 Index Fund Class N (SVSPX) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). 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.


Sharpe ratio
The chart of Sharpe ratio for SVSPX, currently valued at 1.22, compared to the broader market-1.000.001.002.003.004.001.222.01
The chart of Sortino ratio for SVSPX, currently valued at 1.55, compared to the broader market-2.000.002.004.006.008.0010.001.552.69
The chart of Omega ratio for SVSPX, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.003.501.251.37
The chart of Calmar ratio for SVSPX, currently valued at 0.76, compared to the broader market0.002.004.006.008.0010.0012.000.763.01
The chart of Martin ratio for SVSPX, currently valued at 8.74, compared to the broader market0.0020.0040.0060.008.7412.78
SVSPX
VTSAX

The current SVSPX Sharpe Ratio is 1.22, which is lower than the VTSAX Sharpe Ratio of 2.01. The chart below compares the historical Sharpe Ratios of SVSPX and VTSAX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.22
2.01
SVSPX
VTSAX

Dividends

SVSPX vs. VTSAX - Dividend Comparison

SVSPX's dividend yield for the trailing twelve months is around 0.90%, less than VTSAX's 0.92% yield.


TTM20232022202120202019201820172016201520142013
SVSPX
State Street S&P 500 Index Fund Class N
0.90%1.52%1.69%1.66%5.53%1.74%2.65%1.78%1.42%1.96%1.76%3.00%
VTSAX
Vanguard Total Stock Market Index Fund Admiral Shares
0.92%1.43%1.65%1.20%1.41%1.77%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

SVSPX vs. VTSAX - Drawdown Comparison

The maximum SVSPX drawdown since its inception was -86.30%, which is greater than VTSAX's maximum drawdown of -55.34%. Use the drawdown chart below to compare losses from any high point for SVSPX and VTSAX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.42%
-2.82%
SVSPX
VTSAX

Volatility

SVSPX vs. VTSAX - Volatility Comparison

State Street S&P 500 Index Fund Class N (SVSPX) has a higher volatility of 8.19% compared to Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) at 4.01%. This indicates that SVSPX's price experiences larger fluctuations and is considered to be riskier than VTSAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
8.19%
4.01%
SVSPX
VTSAX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab