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TISPX vs. TIIEX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TISPXTIIEX
YTD Return27.09%7.85%
1Y Return39.81%17.83%
3Y Return (Ann)10.25%0.59%
5Y Return (Ann)15.96%6.76%
10Y Return (Ann)13.40%5.16%
Sharpe Ratio3.001.23
Sortino Ratio3.841.72
Omega Ratio1.581.23
Calmar Ratio4.581.26
Martin Ratio20.966.94
Ulcer Index1.85%2.53%
Daily Std Dev12.88%14.29%
Max Drawdown-55.16%-67.55%
Current Drawdown0.00%-4.76%

Correlation

-0.50.00.51.00.7

The correlation between TISPX and TIIEX is 0.72, 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

TISPX vs. TIIEX - Performance Comparison

In the year-to-date period, TISPX achieves a 27.09% return, which is significantly higher than TIIEX's 7.85% return. Over the past 10 years, TISPX has outperformed TIIEX with an annualized return of 13.40%, while TIIEX has yielded a comparatively lower 5.16% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


300.00%400.00%500.00%600.00%700.00%800.00%900.00%1,000.00%JuneJulyAugustSeptemberOctoberNovember
966.59%
338.04%
TISPX
TIIEX

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TISPX vs. TIIEX - Expense Ratio Comparison

TISPX has a 0.05% expense ratio, which is lower than TIIEX's 0.46% expense ratio.


TIIEX
TIAA-CREF International Equity Fund
Expense ratio chart for TIIEX: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
Expense ratio chart for TISPX: 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

TISPX vs. TIIEX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TIAA-CREF S&P 500 Index Fund (TISPX) and TIAA-CREF International Equity Fund (TIIEX). 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.


TISPX
Sharpe ratio
The chart of Sharpe ratio for TISPX, currently valued at 3.00, compared to the broader market0.002.004.003.00
Sortino ratio
The chart of Sortino ratio for TISPX, currently valued at 3.84, compared to the broader market0.005.0010.003.84
Omega ratio
The chart of Omega ratio for TISPX, currently valued at 1.58, compared to the broader market1.002.003.004.001.58
Calmar ratio
The chart of Calmar ratio for TISPX, currently valued at 4.58, compared to the broader market0.005.0010.0015.0020.0025.004.58
Martin ratio
The chart of Martin ratio for TISPX, currently valued at 20.96, compared to the broader market0.0020.0040.0060.0080.00100.0020.96
TIIEX
Sharpe ratio
The chart of Sharpe ratio for TIIEX, currently valued at 1.23, compared to the broader market0.002.004.001.23
Sortino ratio
The chart of Sortino ratio for TIIEX, currently valued at 1.72, compared to the broader market0.005.0010.001.72
Omega ratio
The chart of Omega ratio for TIIEX, currently valued at 1.23, compared to the broader market1.002.003.004.001.23
Calmar ratio
The chart of Calmar ratio for TIIEX, currently valued at 1.26, compared to the broader market0.005.0010.0015.0020.0025.001.26
Martin ratio
The chart of Martin ratio for TIIEX, currently valued at 6.94, compared to the broader market0.0020.0040.0060.0080.00100.006.94

TISPX vs. TIIEX - Sharpe Ratio Comparison

The current TISPX Sharpe Ratio is 3.00, which is higher than the TIIEX Sharpe Ratio of 1.23. The chart below compares the historical Sharpe Ratios of TISPX and TIIEX, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
3.00
1.23
TISPX
TIIEX

Dividends

TISPX vs. TIIEX - Dividend Comparison

TISPX's dividend yield for the trailing twelve months is around 1.16%, less than TIIEX's 2.47% yield.


TTM20232022202120202019201820172016201520142013
TISPX
TIAA-CREF S&P 500 Index Fund
1.16%1.48%1.66%1.22%1.53%1.88%2.13%1.82%1.95%2.04%1.77%1.70%
TIIEX
TIAA-CREF International Equity Fund
2.47%2.66%2.22%2.85%1.20%1.67%2.53%1.11%1.51%1.28%1.46%1.59%

Drawdowns

TISPX vs. TIIEX - Drawdown Comparison

The maximum TISPX drawdown since its inception was -55.16%, smaller than the maximum TIIEX drawdown of -67.55%. Use the drawdown chart below to compare losses from any high point for TISPX and TIIEX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-4.76%
TISPX
TIIEX

Volatility

TISPX vs. TIIEX - Volatility Comparison

TIAA-CREF S&P 500 Index Fund (TISPX) has a higher volatility of 3.92% compared to TIAA-CREF International Equity Fund (TIIEX) at 3.73%. This indicates that TISPX's price experiences larger fluctuations and is considered to be riskier than TIIEX 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%JuneJulyAugustSeptemberOctoberNovember
3.92%
3.73%
TISPX
TIIEX