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TIEIX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TIEIXSPY
YTD Return26.11%26.83%
1Y Return35.19%34.88%
3Y Return (Ann)8.85%10.16%
5Y Return (Ann)15.18%15.71%
10Y Return (Ann)12.89%13.33%
Sharpe Ratio2.923.08
Sortino Ratio3.734.10
Omega Ratio1.571.58
Calmar Ratio4.474.46
Martin Ratio19.8220.22
Ulcer Index1.93%1.85%
Daily Std Dev13.10%12.18%
Max Drawdown-55.55%-55.19%
Current Drawdown-0.45%-0.26%

Correlation

-0.50.00.51.01.0

The correlation between TIEIX and SPY is 0.98, 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

TIEIX vs. SPY - Performance Comparison

The year-to-date returns for both investments are quite close, with TIEIX having a 26.11% return and SPY slightly higher at 26.83%. Both investments have delivered pretty close results over the past 10 years, with TIEIX having a 12.89% annualized return and SPY not far ahead at 13.33%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.56%
13.44%
TIEIX
SPY

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TIEIX vs. SPY - Expense Ratio Comparison

TIEIX has a 0.05% expense ratio, which is lower than SPY's 0.09% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SPY
SPDR S&P 500 ETF
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
Expense ratio chart for TIEIX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

TIEIX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TIAA-CREF Equity Index Fund (TIEIX) and 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.


TIEIX
Sharpe ratio
The chart of Sharpe ratio for TIEIX, currently valued at 2.92, compared to the broader market0.002.004.002.92
Sortino ratio
The chart of Sortino ratio for TIEIX, currently valued at 3.73, compared to the broader market0.005.0010.003.73
Omega ratio
The chart of Omega ratio for TIEIX, currently valued at 1.57, compared to the broader market1.002.003.004.001.57
Calmar ratio
The chart of Calmar ratio for TIEIX, currently valued at 4.47, compared to the broader market0.005.0010.0015.0020.004.47
Martin ratio
The chart of Martin ratio for TIEIX, currently valued at 19.82, compared to the broader market0.0020.0040.0060.0080.00100.0019.82
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.08, compared to the broader market0.002.004.003.08
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.10, compared to the broader market0.005.0010.004.10
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market1.002.003.004.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.46, compared to the broader market0.005.0010.0015.0020.004.46
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.22, compared to the broader market0.0020.0040.0060.0080.00100.0020.22

TIEIX vs. SPY - Sharpe Ratio Comparison

The current TIEIX Sharpe Ratio is 2.92, which is comparable to the SPY Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of TIEIX and SPY, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.92
3.08
TIEIX
SPY

Dividends

TIEIX vs. SPY - Dividend Comparison

TIEIX's dividend yield for the trailing twelve months is around 1.17%, which matches SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
TIEIX
TIAA-CREF Equity Index Fund
1.17%1.47%1.58%1.21%1.44%1.79%2.04%1.70%1.98%2.07%1.82%1.69%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

TIEIX vs. SPY - Drawdown Comparison

The maximum TIEIX drawdown since its inception was -55.55%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for TIEIX and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.45%
-0.26%
TIEIX
SPY

Volatility

TIEIX vs. SPY - Volatility Comparison

TIAA-CREF Equity Index Fund (TIEIX) and SPDR S&P 500 ETF (SPY) have volatilities of 3.93% and 3.77%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.93%
3.77%
TIEIX
SPY