^GSPC vs. SPHD
Compare and contrast key facts about S&P 500 (^GSPC) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD).
SPHD is a passively managed fund by Invesco that tracks the performance of the S&P Low Volatility High Dividend index. It was launched on Oct 18, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^GSPC or SPHD.
Performance
^GSPC vs. SPHD - Performance Comparison
Returns By Period
In the year-to-date period, ^GSPC achieves a 24.05% return, which is significantly higher than SPHD's 21.98% return. Over the past 10 years, ^GSPC has outperformed SPHD with an annualized return of 11.14%, while SPHD has yielded a comparatively lower 8.70% annualized return.
^GSPC
24.05%
0.89%
11.19%
30.12%
13.82%
11.14%
SPHD
21.98%
-1.47%
12.55%
31.23%
7.70%
8.70%
Key characteristics
| ^GSPC | SPHD | |
|---|---|---|
| Sharpe Ratio | 2.54 | 2.79 |
| Sortino Ratio | 3.40 | 4.00 |
| Omega Ratio | 1.47 | 1.52 |
| Calmar Ratio | 3.66 | 2.20 |
| Martin Ratio | 16.28 | 19.19 |
| Ulcer Index | 1.91% | 1.62% |
| Daily Std Dev | 12.25% | 11.16% |
| Max Drawdown | -56.78% | -41.39% |
| Current Drawdown | -1.41% | -1.47% |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Correlation
The correlation between ^GSPC and SPHD is 0.72, 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
^GSPC vs. SPHD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 (^GSPC) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). 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. SPHD - Drawdown Comparison
The maximum ^GSPC drawdown since its inception was -56.78%, which is greater than SPHD's maximum drawdown of -41.39%. Use the drawdown chart below to compare losses from any high point for ^GSPC and SPHD. For additional features, visit the drawdowns tool.
Volatility
^GSPC vs. SPHD - Volatility Comparison
S&P 500 (^GSPC) has a higher volatility of 4.07% compared to Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) at 2.58%. This indicates that ^GSPC's price experiences larger fluctuations and is considered to be riskier than SPHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.