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

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.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
13.32%
12.53%
TISCX
^GSPC

Returns By Period

The year-to-date returns for both investments are quite close, with TISCX having a 24.19% return and ^GSPC slightly higher at 25.15%. Over the past 10 years, TISCX has outperformed ^GSPC with an annualized return of 12.19%, while ^GSPC has yielded a comparatively lower 11.21% annualized return.


TISCX

YTD

24.19%

1M

3.70%

6M

13.89%

1Y

31.96%

5Y (annualized)

14.79%

10Y (annualized)

12.19%

^GSPC

YTD

25.15%

1M

2.97%

6M

12.53%

1Y

31.00%

5Y (annualized)

13.95%

10Y (annualized)

11.21%

Key characteristics


TISCX^GSPC
Sharpe Ratio2.172.53
Sortino Ratio2.863.39
Omega Ratio1.441.47
Calmar Ratio3.843.65
Martin Ratio14.7316.21
Ulcer Index2.21%1.91%
Daily Std Dev15.07%12.23%
Max Drawdown-54.64%-56.78%
Current Drawdown-0.34%-0.53%

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Correlation

-0.50.00.51.01.0

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.

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 2.12, compared to the broader market-1.000.001.002.003.004.005.002.122.53
The chart of Sortino ratio for TISCX, currently valued at 2.82, compared to the broader market0.005.0010.002.823.39
The chart of Omega ratio for TISCX, currently valued at 1.44, compared to the broader market1.002.003.004.001.441.47
The chart of Calmar ratio for TISCX, currently valued at 3.76, compared to the broader market0.005.0010.0015.0020.003.763.65
The chart of Martin ratio for TISCX, currently valued at 14.43, compared to the broader market0.0020.0040.0060.0080.00100.0014.4316.21
TISCX
^GSPC

The current TISCX Sharpe Ratio is 2.17, which is comparable to the ^GSPC Sharpe Ratio of 2.53. 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.12
2.53
TISCX
^GSPC

Drawdowns

TISCX vs. ^GSPC - Drawdown Comparison

The maximum TISCX drawdown since its inception was -54.64%, 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%JuneJulyAugustSeptemberOctoberNovember
-0.34%
-0.53%
TISCX
^GSPC

Volatility

TISCX vs. ^GSPC - Volatility Comparison

TIAA-CREF Social Choice Equity Fund (TISCX) has a higher volatility of 4.20% compared to S&P 500 (^GSPC) at 3.97%. This indicates that TISCX's price experiences larger fluctuations and is considered to be riskier 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%8.00%JuneJulyAugustSeptemberOctoberNovember
4.20%
3.97%
TISCX
^GSPC