^GSPC vs. ETV
Compare and contrast key facts about S&P 500 (^GSPC) and Eaton Vance Tax-Managed Buy-Write Opportunities Fund (ETV).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^GSPC or ETV.
Performance
^GSPC vs. ETV - Performance Comparison
Returns By Period
The year-to-date returns for both investments are quite close, with ^GSPC having a 24.05% return and ETV slightly higher at 24.77%. Over the past 10 years, ^GSPC has outperformed ETV with an annualized return of 11.14%, while ETV has yielded a comparatively lower 8.64% annualized return.
^GSPC
24.05%
0.89%
11.19%
30.12%
13.82%
11.14%
ETV
24.77%
3.32%
13.58%
25.88%
8.44%
8.64%
Key characteristics
| ^GSPC | ETV | |
|---|---|---|
| Sharpe Ratio | 2.54 | 2.36 |
| Sortino Ratio | 3.40 | 3.21 |
| Omega Ratio | 1.47 | 1.44 |
| Calmar Ratio | 3.66 | 2.06 |
| Martin Ratio | 16.28 | 14.53 |
| Ulcer Index | 1.91% | 1.91% |
| Daily Std Dev | 12.25% | 11.76% |
| Max Drawdown | -56.78% | -52.11% |
| Current Drawdown | -1.41% | 0.00% |
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Correlation
The correlation between ^GSPC and ETV is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
^GSPC vs. ETV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 (^GSPC) and Eaton Vance Tax-Managed Buy-Write Opportunities Fund (ETV). 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
^GSPC vs. ETV - Drawdown Comparison
The maximum ^GSPC drawdown since its inception was -56.78%, which is greater than ETV's maximum drawdown of -52.11%. Use the drawdown chart below to compare losses from any high point for ^GSPC and ETV. For additional features, visit the drawdowns tool.
Volatility
^GSPC vs. ETV - Volatility Comparison
S&P 500 (^GSPC) has a higher volatility of 4.07% compared to Eaton Vance Tax-Managed Buy-Write Opportunities Fund (ETV) at 2.55%. This indicates that ^GSPC's price experiences larger fluctuations and is considered to be riskier than ETV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.