WFIVX vs. ^GSPC
Compare and contrast key facts about Wilshire 5000 Index Portfolio (WFIVX) and S&P 500 (^GSPC).
WFIVX is managed by Wilshire Mutual Funds. It was launched on Feb 1, 1999.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: WFIVX or ^GSPC.
Performance
WFIVX vs. ^GSPC - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with WFIVX having a 25.17% return and ^GSPC slightly lower at 25.15%. Over the past 10 years, WFIVX has underperformed ^GSPC with an annualized return of 7.89%, while ^GSPC has yielded a comparatively higher 11.18% annualized return.
WFIVX
25.17%
3.84%
13.42%
29.28%
9.29%
7.89%
^GSPC
25.15%
2.74%
12.53%
30.93%
13.79%
11.18%
Key characteristics
| WFIVX | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 2.37 | 2.53 |
| Sortino Ratio | 3.19 | 3.39 |
| Omega Ratio | 1.44 | 1.47 |
| Calmar Ratio | 2.21 | 3.65 |
| Martin Ratio | 14.91 | 16.21 |
| Ulcer Index | 1.96% | 1.91% |
| Daily Std Dev | 12.33% | 12.23% |
| Max Drawdown | -55.43% | -56.78% |
| Current Drawdown | -0.35% | -0.53% |
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Correlation
The correlation between WFIVX and ^GSPC is 0.99, 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
WFIVX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Wilshire 5000 Index Portfolio (WFIVX) 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.
Drawdowns
WFIVX vs. ^GSPC - Drawdown Comparison
The maximum WFIVX drawdown since its inception was -55.43%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for WFIVX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
WFIVX vs. ^GSPC - Volatility Comparison
Wilshire 5000 Index Portfolio (WFIVX) and S&P 500 (^GSPC) have volatilities of 4.13% and 3.97%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.