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

Performance

TTIIX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in TIAA-CREF Lifecycle Index 2055 Fund (TTIIX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
8.13%
12.53%
TTIIX
^GSPC

Returns By Period

In the year-to-date period, TTIIX achieves a 17.33% return, which is significantly lower than ^GSPC's 25.15% return. Over the past 10 years, TTIIX has underperformed ^GSPC with an annualized return of 9.47%, while ^GSPC has yielded a comparatively higher 11.21% annualized return.


TTIIX

YTD

17.33%

1M

1.38%

6M

8.13%

1Y

23.84%

5Y (annualized)

10.80%

10Y (annualized)

9.47%

^GSPC

YTD

25.15%

1M

2.97%

6M

12.53%

1Y

31.00%

5Y (annualized)

13.95%

10Y (annualized)

11.21%

Key characteristics


TTIIX^GSPC
Sharpe Ratio2.002.53
Sortino Ratio2.723.39
Omega Ratio1.391.47
Calmar Ratio3.263.65
Martin Ratio13.6516.21
Ulcer Index1.75%1.91%
Daily Std Dev11.90%12.23%
Max Drawdown-31.76%-56.78%
Current Drawdown-0.97%-0.53%

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Correlation

-0.50.00.51.01.0

The correlation between TTIIX and ^GSPC is 0.97, 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

TTIIX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TIAA-CREF Lifecycle Index 2055 Fund (TTIIX) 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 TTIIX, currently valued at 2.00, compared to the broader market-1.000.001.002.003.004.005.002.002.53
The chart of Sortino ratio for TTIIX, currently valued at 2.72, compared to the broader market0.005.0010.002.723.39
The chart of Omega ratio for TTIIX, currently valued at 1.39, compared to the broader market1.002.003.004.001.391.47
The chart of Calmar ratio for TTIIX, currently valued at 3.26, compared to the broader market0.005.0010.0015.0020.003.263.65
The chart of Martin ratio for TTIIX, currently valued at 13.65, compared to the broader market0.0020.0040.0060.0080.00100.0013.6516.21
TTIIX
^GSPC

The current TTIIX Sharpe Ratio is 2.00, which is comparable to the ^GSPC Sharpe Ratio of 2.53. The chart below compares the historical Sharpe Ratios of TTIIX 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
2.00
2.53
TTIIX
^GSPC

Drawdowns

TTIIX vs. ^GSPC - Drawdown Comparison

The maximum TTIIX drawdown since its inception was -31.76%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for TTIIX and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.97%
-0.53%
TTIIX
^GSPC

Volatility

TTIIX vs. ^GSPC - Volatility Comparison

The current volatility for TIAA-CREF Lifecycle Index 2055 Fund (TTIIX) is 2.98%, while S&P 500 (^GSPC) has a volatility of 3.97%. This indicates that TTIIX 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%JuneJulyAugustSeptemberOctoberNovember
2.98%
3.97%
TTIIX
^GSPC