TWEBX vs. ^GSPC
TWEBX (Tweedy, Browne Value Fund) is Global Equities fund managed by Tweedy, Browne, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, TWEBX returned 8.73%/yr vs 13.49%/yr for ^GSPC. Their correlation of 0.83 means they have usually moved in the same direction.
Performance
TWEBX vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, TWEBX achieves a 15.33% return, which is significantly higher than ^GSPC's 13.02% return. Over the past 10 years, TWEBX has underperformed ^GSPC with an annualized return of 8.73%, while ^GSPC has yielded a comparatively higher 13.49% annualized return.
TWEBX
- 1D
- 0.75%
- 1M
- 2.11%
- 6M
- 8.29%
- YTD
- 15.33%
- 1Y
- 27.57%
- 3Y*
- 13.98%
- 5Y*
- 9.49%
- 10Y*
- 8.73%
- ALL TIME*
- 8.02%
^GSPC
- 1D
- 1.79%
- 1M
- 3.38%
- 6M
- 11.83%
- YTD
- 13.02%
- 1Y
- 22.22%
- 3Y*
- 19.99%
- 5Y*
- 11.80%
- 10Y*
- 13.49%
- ALL TIME*
- 8.15%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
^GSPC S&P 500 Index | $38.53T | $37.79T | $41.47T |
| $0.00 | $0.00 | $0.00 |
TWEBX vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TWEBX Tweedy, Browne Value Fund | 15.33% | 21.59% | 1.30% | 15.21% | -5.65% | 16.20% | -2.00% | 16.09% | -6.43% | 15.54% |
^GSPC S&P 500 Index | 13.02% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between TWEBX and ^GSPC is 0.48, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.48 |
Correlation (3Y) Balances recent behavior with more history. | 0.60 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.72 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.76 |
Correlation (All Time) Calculated using the full available price history since Dec 8, 1993 | 0.83 |
Over the past year, the correlation between TWEBX and ^GSPC has dropped to 0.48 - well below their long-term average of 0.83, suggesting their price drivers have been diverging.
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Return for Risk
TWEBX vs. ^GSPC — Risk / Return Rank
TWEBX
^GSPC
TWEBX vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Tweedy, Browne Value Fund (TWEBX) and S&P 500 Index (^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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| TWEBX | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.15 | ||
| Sortino ratioReturn per unit of downside risk | +1.74 | ||
| Omega ratioGain probability vs. loss probability | 1.55 | 1.31 | +0.24 |
| Calmar ratioReturn relative to maximum drawdown | 3.09 | 2.45 | +0.64 |
| Martin ratioReturn relative to average drawdown | 11.05 | 10.40 | +0.64 |
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Drawdowns
TWEBX vs. ^GSPC - Drawdown Comparison
The maximum TWEBX drawdown since its inception was -45.77%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for TWEBX and ^GSPC.
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Drawdown Indicators
| TWEBX | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -45.77% | -56.78% | +11.01% |
Max Drawdown (1Y)Largest decline over 1 year | -9.17% | -9.10% | -0.07% |
Max Drawdown (3Y)Largest decline over 3 years | -12.49% | -18.90% | +6.41% |
Max Drawdown (5Y)Largest decline over 5 years | -19.03% | -25.43% | +6.40% |
Max Drawdown (10Y)Largest decline over 10 years | -32.88% | -33.92% | +1.04% |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -5.66% | -10.70% | +5.04% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.56% | 2.14% | +0.42% |
Volatility
TWEBX vs. ^GSPC - Volatility Comparison
The current volatility for Tweedy, Browne Value Fund (TWEBX) is 2.72%, while S&P 500 Index (^GSPC) has a volatility of 4.12%. This indicates that TWEBX 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.
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Volatility by Period
| TWEBX | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.72% | 4.12% | -1.40% |
Volatility (6M)Calculated over the trailing 6-month period | 8.17% | 10.33% | -2.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.86% | 12.95% | -3.09% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.09% | 17.04% | -4.95% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.77% | 18.09% | -4.32% |
Frequently Asked Questions
TWEBX and ^GSPC have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^GSPC has higher volatility (4.12%) compared to TWEBX (2.72%). In terms of maximum drawdown, TWEBX dropped -45.77% vs ^GSPC's -56.78%.
TWEBX currently has the higher Sharpe Ratio (2.88 vs 1.73), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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