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

Correlation

The correlation between TISCX and ^GSPC 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.


-0.50.00.51.01.0

Performance

TISCX vs. ^GSPC - Performance Comparison

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

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.89%
10.44%
TISCX
^GSPC

Key characteristics

Sharpe Ratio

TISCX:

1.61

^GSPC:

2.16

Sortino Ratio

TISCX:

2.25

^GSPC:

2.87

Omega Ratio

TISCX:

1.29

^GSPC:

1.40

Calmar Ratio

TISCX:

1.35

^GSPC:

3.19

Martin Ratio

TISCX:

8.93

^GSPC:

13.87

Ulcer Index

TISCX:

2.30%

^GSPC:

1.95%

Daily Std Dev

TISCX:

12.81%

^GSPC:

12.54%

Max Drawdown

TISCX:

-55.12%

^GSPC:

-56.78%

Current Drawdown

TISCX:

-5.01%

^GSPC:

-0.82%

Returns By Period

In the year-to-date period, TISCX achieves a 19.71% return, which is significantly lower than ^GSPC's 26.63% return. Over the past 10 years, TISCX has underperformed ^GSPC with an annualized return of 7.67%, while ^GSPC has yielded a comparatively higher 11.23% annualized return.


TISCX

YTD

19.71%

1M

-4.15%

6M

7.11%

1Y

20.23%

5Y*

9.50%

10Y*

7.67%

^GSPC

YTD

26.63%

1M

1.18%

6M

10.44%

1Y

27.03%

5Y*

13.30%

10Y*

11.23%

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Risk-Adjusted Performance

TISCX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TIAA-CREF Social Choice Equity Fund (TISCX) 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 TISCX, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.001.582.16
The chart of Sortino ratio for TISCX, currently valued at 2.21, compared to the broader market-2.000.002.004.006.008.0010.002.212.87
The chart of Omega ratio for TISCX, currently valued at 1.29, compared to the broader market0.501.001.502.002.503.003.501.291.40
The chart of Calmar ratio for TISCX, currently valued at 1.33, compared to the broader market0.002.004.006.008.0010.0012.0014.001.333.19
The chart of Martin ratio for TISCX, currently valued at 8.70, compared to the broader market0.0020.0040.0060.008.7013.87
TISCX
^GSPC

The current TISCX Sharpe Ratio is 1.61, which is comparable to the ^GSPC Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of TISCX 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.58
2.16
TISCX
^GSPC

Drawdowns

TISCX vs. ^GSPC - Drawdown Comparison

The maximum TISCX drawdown since its inception was -55.12%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for TISCX and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.01%
-0.82%
TISCX
^GSPC

Volatility

TISCX vs. ^GSPC - Volatility Comparison

The current volatility for TIAA-CREF Social Choice Equity Fund (TISCX) is 3.69%, while S&P 500 (^GSPC) has a volatility of 3.96%. This indicates that TISCX experiences smaller price fluctuations and is considered to be less risky than ^GSPC 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%JulyAugustSeptemberOctoberNovemberDecember
3.69%
3.96%
TISCX
^GSPC
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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.

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