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TIEIX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

TIEIX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in TIAA-CREF Equity Index Fund (TIEIX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.47%
12.14%
TIEIX
^GSPC

Returns By Period

The year-to-date returns for both stocks are quite close, with TIEIX having a 25.63% return and ^GSPC slightly lower at 24.72%. Over the past 10 years, TIEIX has outperformed ^GSPC with an annualized return of 12.68%, while ^GSPC has yielded a comparatively lower 11.16% annualized return.


TIEIX

YTD

25.63%

1M

2.60%

6M

14.29%

1Y

32.89%

5Y (annualized)

15.14%

10Y (annualized)

12.68%

^GSPC

YTD

24.72%

1M

1.67%

6M

12.93%

1Y

30.55%

5Y (annualized)

13.88%

10Y (annualized)

11.16%

Key characteristics


TIEIX^GSPC
Sharpe Ratio2.572.54
Sortino Ratio3.303.40
Omega Ratio1.501.47
Calmar Ratio3.923.66
Martin Ratio17.2316.26
Ulcer Index1.95%1.91%
Daily Std Dev13.03%12.23%
Max Drawdown-55.55%-56.78%
Current Drawdown-0.82%-0.88%

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Correlation

-0.50.00.51.01.0

The correlation between TIEIX and ^GSPC 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.

Risk-Adjusted Performance

TIEIX vs. ^GSPC - Risk-Adjusted Performance Comparison

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


Sharpe ratio
The chart of Sharpe ratio for TIEIX, currently valued at 2.57, compared to the broader market-1.000.001.002.003.004.005.002.572.54
The chart of Sortino ratio for TIEIX, currently valued at 3.30, compared to the broader market0.005.0010.003.303.40
The chart of Omega ratio for TIEIX, currently valued at 1.50, compared to the broader market1.002.003.004.001.501.47
The chart of Calmar ratio for TIEIX, currently valued at 3.92, compared to the broader market0.005.0010.0015.0020.003.923.66
The chart of Martin ratio for TIEIX, currently valued at 17.23, compared to the broader market0.0020.0040.0060.0080.00100.0017.2316.26
TIEIX
^GSPC

The current TIEIX Sharpe Ratio is 2.57, which is comparable to the ^GSPC Sharpe Ratio of 2.54. The chart below compares the historical Sharpe Ratios of TIEIX 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.

Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.57
2.54
TIEIX
^GSPC

Drawdowns

TIEIX vs. ^GSPC - Drawdown Comparison

The maximum TIEIX drawdown since its inception was -55.55%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for TIEIX and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.82%
-0.88%
TIEIX
^GSPC

Volatility

TIEIX vs. ^GSPC - Volatility Comparison

TIAA-CREF Equity Index Fund (TIEIX) and S&P 500 (^GSPC) have volatilities of 4.15% and 3.96%, 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
4.15%
3.96%
TIEIX
^GSPC