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^BSE500 vs. ^BSESN
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^BSE500 and ^BSESN 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.


-0.50.00.51.01.0

Performance

^BSE500 vs. ^BSESN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P BSE-500 (^BSE500) and S&P BSE SENSEX (^BSESN). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-1.63%
-0.61%
^BSE500
^BSESN

Key characteristics

Sharpe Ratio

^BSE500:

1.02

^BSESN:

0.66

Sortino Ratio

^BSE500:

1.36

^BSESN:

0.97

Omega Ratio

^BSE500:

1.22

^BSESN:

1.14

Calmar Ratio

^BSE500:

1.37

^BSESN:

0.91

Martin Ratio

^BSE500:

4.38

^BSESN:

2.66

Ulcer Index

^BSE500:

3.46%

^BSESN:

3.48%

Daily Std Dev

^BSE500:

14.78%

^BSESN:

13.90%

Max Drawdown

^BSE500:

-38.39%

^BSESN:

-60.91%

Current Drawdown

^BSE500:

-9.05%

^BSESN:

-9.08%

Returns By Period

In the year-to-date period, ^BSE500 achieves a 14.34% return, which is significantly higher than ^BSESN's 8.03% return. Over the past 10 years, ^BSE500 has outperformed ^BSESN with an annualized return of 12.92%, while ^BSESN has yielded a comparatively lower 11.18% annualized return.


^BSE500

YTD

14.34%

1M

1.37%

6M

0.04%

1Y

17.29%

5Y*

17.60%

10Y*

12.92%

^BSESN

YTD

8.03%

1M

0.60%

6M

1.08%

1Y

10.13%

5Y*

13.51%

10Y*

11.18%

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Risk-Adjusted Performance

^BSE500 vs. ^BSESN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P BSE-500 (^BSE500) and S&P BSE SENSEX (^BSESN). 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 ^BSE500, currently valued at 0.79, compared to the broader market0.001.002.000.790.42
The chart of Sortino ratio for ^BSE500, currently valued at 1.10, compared to the broader market-1.000.001.002.003.001.100.66
The chart of Omega ratio for ^BSE500, currently valued at 1.17, compared to the broader market0.901.001.101.201.301.401.171.09
The chart of Calmar ratio for ^BSE500, currently valued at 0.99, compared to the broader market0.001.002.003.000.990.54
The chart of Martin ratio for ^BSE500, currently valued at 3.07, compared to the broader market0.005.0010.0015.0020.003.071.55
^BSE500
^BSESN

The current ^BSE500 Sharpe Ratio is 1.02, which is higher than the ^BSESN Sharpe Ratio of 0.66. The chart below compares the historical Sharpe Ratios of ^BSE500 and ^BSESN, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.79
0.42
^BSE500
^BSESN

Drawdowns

^BSE500 vs. ^BSESN - Drawdown Comparison

The maximum ^BSE500 drawdown since its inception was -38.39%, smaller than the maximum ^BSESN drawdown of -60.91%. Use the drawdown chart below to compare losses from any high point for ^BSE500 and ^BSESN. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.56%
-10.60%
^BSE500
^BSESN

Volatility

^BSE500 vs. ^BSESN - Volatility Comparison

The current volatility for S&P BSE-500 (^BSE500) is 4.58%, while S&P BSE SENSEX (^BSESN) has a volatility of 5.25%. This indicates that ^BSE500 experiences smaller price fluctuations and is considered to be less risky than ^BSESN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
4.58%
5.25%
^BSE500
^BSESN
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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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