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

Key characteristics


TIEIX^GSPC
YTD Return26.25%25.70%
1Y Return40.42%37.91%
3Y Return (Ann)8.85%8.59%
5Y Return (Ann)15.39%14.18%
10Y Return (Ann)12.91%11.41%
Sharpe Ratio2.972.97
Sortino Ratio3.803.97
Omega Ratio1.581.56
Calmar Ratio4.333.93
Martin Ratio20.3319.39
Ulcer Index1.93%1.90%
Daily Std Dev13.20%12.38%
Max Drawdown-55.55%-56.78%
Current Drawdown0.00%0.00%

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.

Performance

TIEIX vs. ^GSPC - Performance Comparison

The year-to-date returns for both stocks are quite close, with TIEIX having a 26.25% return and ^GSPC slightly lower at 25.70%. Over the past 10 years, TIEIX has outperformed ^GSPC with an annualized return of 12.91%, while ^GSPC has yielded a comparatively lower 11.41% annualized return. 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
15.64%
14.80%
TIEIX
^GSPC

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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.


TIEIX
Sharpe ratio
The chart of Sharpe ratio for TIEIX, currently valued at 2.97, compared to the broader market0.002.004.002.97
Sortino ratio
The chart of Sortino ratio for TIEIX, currently valued at 3.79, compared to the broader market0.005.0010.003.80
Omega ratio
The chart of Omega ratio for TIEIX, currently valued at 1.58, compared to the broader market1.002.003.004.001.58
Calmar ratio
The chart of Calmar ratio for TIEIX, currently valued at 4.33, compared to the broader market0.005.0010.0015.0020.004.33
Martin ratio
The chart of Martin ratio for TIEIX, currently valued at 20.33, compared to the broader market0.0020.0040.0060.0080.00100.0020.33
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.97, compared to the broader market0.002.004.002.97
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.97, compared to the broader market0.005.0010.003.97
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.56, compared to the broader market1.002.003.004.001.56
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.93, compared to the broader market0.005.0010.0015.0020.003.93
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 19.39, compared to the broader market0.0020.0040.0060.0080.00100.0019.39

TIEIX vs. ^GSPC - Sharpe Ratio Comparison

The current TIEIX Sharpe Ratio is 2.97, which is comparable to the ^GSPC Sharpe Ratio of 2.97. 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
2.97
2.97
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%JuneJulyAugustSeptemberOctoberNovember00
TIEIX
^GSPC

Volatility

TIEIX vs. ^GSPC - Volatility Comparison

TIAA-CREF Equity Index Fund (TIEIX) and S&P 500 (^GSPC) have volatilities of 4.05% and 3.92%, 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
4.05%
3.92%
TIEIX
^GSPC