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

Correlation

The correlation between ZECP and ^GSPC is 0.93, 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.


-0.50.00.51.00.9

Performance

ZECP vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Zacks Earnings Consistent Portfolio ETF (ZECP) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.85%
9.65%
ZECP
^GSPC

Key characteristics

Sharpe Ratio

ZECP:

1.91

^GSPC:

2.07

Sortino Ratio

ZECP:

2.57

^GSPC:

2.76

Omega Ratio

ZECP:

1.35

^GSPC:

1.39

Calmar Ratio

ZECP:

3.37

^GSPC:

3.05

Martin Ratio

ZECP:

11.72

^GSPC:

13.27

Ulcer Index

ZECP:

1.61%

^GSPC:

1.95%

Daily Std Dev

ZECP:

9.91%

^GSPC:

12.52%

Max Drawdown

ZECP:

-21.85%

^GSPC:

-56.78%

Current Drawdown

ZECP:

-3.78%

^GSPC:

-1.91%

Returns By Period

In the year-to-date period, ZECP achieves a 18.80% return, which is significantly lower than ^GSPC's 25.25% return.


ZECP

YTD

18.80%

1M

-2.39%

6M

6.85%

1Y

19.58%

5Y*

N/A

10Y*

N/A

^GSPC

YTD

25.25%

1M

0.08%

6M

9.66%

1Y

25.65%

5Y*

13.17%

10Y*

11.11%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

ZECP vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Zacks Earnings Consistent Portfolio ETF (ZECP) 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 ZECP, currently valued at 1.91, compared to the broader market0.002.004.001.912.07
The chart of Sortino ratio for ZECP, currently valued at 2.57, compared to the broader market-2.000.002.004.006.008.0010.002.572.76
The chart of Omega ratio for ZECP, currently valued at 1.35, compared to the broader market0.501.001.502.002.503.001.351.39
The chart of Calmar ratio for ZECP, currently valued at 3.37, compared to the broader market0.005.0010.0015.003.373.05
The chart of Martin ratio for ZECP, currently valued at 11.72, compared to the broader market0.0020.0040.0060.0080.00100.0011.7213.27
ZECP
^GSPC

The current ZECP Sharpe Ratio is 1.91, which is comparable to the ^GSPC Sharpe Ratio of 2.07. The chart below compares the historical Sharpe Ratios of ZECP 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.91
2.07
ZECP
^GSPC

Drawdowns

ZECP vs. ^GSPC - Drawdown Comparison

The maximum ZECP drawdown since its inception was -21.85%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ZECP and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.78%
-1.91%
ZECP
^GSPC

Volatility

ZECP vs. ^GSPC - Volatility Comparison

The current volatility for Zacks Earnings Consistent Portfolio ETF (ZECP) is 3.17%, while S&P 500 (^GSPC) has a volatility of 3.82%. This indicates that ZECP 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.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.17%
3.82%
ZECP
^GSPC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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