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

Correlation

The correlation between ^GSPC and XLP is 0.65, 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.


-0.50.00.51.00.6

Performance

^GSPC vs. XLP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 (^GSPC) and Consumer Staples Select Sector SPDR Fund (XLP). The values are adjusted to include any dividend payments, if applicable.

350.00%400.00%450.00%JulyAugustSeptemberOctoberNovemberDecember
392.77%
449.05%
^GSPC
XLP

Key characteristics

Sharpe Ratio

^GSPC:

2.10

XLP:

1.66

Sortino Ratio

^GSPC:

2.80

XLP:

2.42

Omega Ratio

^GSPC:

1.39

XLP:

1.28

Calmar Ratio

^GSPC:

3.09

XLP:

2.02

Martin Ratio

^GSPC:

13.49

XLP:

8.80

Ulcer Index

^GSPC:

1.94%

XLP:

1.84%

Daily Std Dev

^GSPC:

12.52%

XLP:

9.75%

Max Drawdown

^GSPC:

-56.78%

XLP:

-35.89%

Current Drawdown

^GSPC:

-2.62%

XLP:

-4.62%

Returns By Period

In the year-to-date period, ^GSPC achieves a 24.34% return, which is significantly higher than XLP's 13.24% return. Over the past 10 years, ^GSPC has outperformed XLP with an annualized return of 11.06%, while XLP has yielded a comparatively lower 7.70% annualized return.


^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

XLP

YTD

13.24%

1M

-1.42%

6M

4.25%

1Y

14.53%

5Y*

7.60%

10Y*

7.70%

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Risk-Adjusted Performance

^GSPC vs. XLP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 (^GSPC) and Consumer Staples Select Sector SPDR Fund (XLP). 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 ^GSPC, currently valued at 2.10, compared to the broader market0.001.002.002.101.66
The chart of Sortino ratio for ^GSPC, currently valued at 2.80, compared to the broader market-1.000.001.002.003.002.802.42
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.901.001.101.201.301.401.391.28
The chart of Calmar ratio for ^GSPC, currently valued at 3.09, compared to the broader market0.001.002.003.003.092.02
The chart of Martin ratio for ^GSPC, currently valued at 13.49, compared to the broader market0.005.0010.0015.0020.0013.498.80
^GSPC
XLP

The current ^GSPC Sharpe Ratio is 2.10, which is comparable to the XLP Sharpe Ratio of 1.66. The chart below compares the historical Sharpe Ratios of ^GSPC and XLP, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
2.10
1.66
^GSPC
XLP

Drawdowns

^GSPC vs. XLP - Drawdown Comparison

The maximum ^GSPC drawdown since its inception was -56.78%, which is greater than XLP's maximum drawdown of -35.89%. Use the drawdown chart below to compare losses from any high point for ^GSPC and XLP. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.62%
-4.62%
^GSPC
XLP

Volatility

^GSPC vs. XLP - Volatility Comparison

S&P 500 (^GSPC) has a higher volatility of 3.79% compared to Consumer Staples Select Sector SPDR Fund (XLP) at 2.86%. This indicates that ^GSPC's price experiences larger fluctuations and is considered to be riskier than XLP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.79%
2.86%
^GSPC
XLP
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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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