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

Correlation

The correlation between ^GSPC and XLP is 0.64, 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.


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.

300.00%350.00%400.00%450.00%December2025FebruaryMarchAprilMay
367.88%
466.86%
^GSPC
XLP

Key characteristics

Sharpe Ratio

^GSPC:

0.51

XLP:

0.77

Sortino Ratio

^GSPC:

0.84

XLP:

1.16

Omega Ratio

^GSPC:

1.12

XLP:

1.15

Calmar Ratio

^GSPC:

0.52

XLP:

1.22

Martin Ratio

^GSPC:

2.02

XLP:

3.25

Ulcer Index

^GSPC:

4.87%

XLP:

3.13%

Daily Std Dev

^GSPC:

19.36%

XLP:

13.24%

Max Drawdown

^GSPC:

-56.78%

XLP:

-35.89%

Current Drawdown

^GSPC:

-8.35%

XLP:

-2.02%

Returns By Period

In the year-to-date period, ^GSPC achieves a -4.26% return, which is significantly lower than XLP's 4.20% return. Over the past 10 years, ^GSPC has outperformed XLP with an annualized return of 10.31%, while XLP has yielded a comparatively lower 8.03% annualized return.


^GSPC

YTD

-4.26%

1M

11.24%

6M

-5.02%

1Y

8.55%

5Y*

14.02%

10Y*

10.31%

XLP

YTD

4.20%

1M

5.07%

6M

3.74%

1Y

8.92%

5Y*

9.89%

10Y*

8.03%

*Annualized

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Risk-Adjusted Performance

^GSPC vs. XLP — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6565
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6363
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6363
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6565
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 6767
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 6969
Martin Ratio Rank

XLP
The Risk-Adjusted Performance Rank of XLP is 7373
Overall Rank
The Sharpe Ratio Rank of XLP is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of XLP is 7070
Sortino Ratio Rank
The Omega Ratio Rank of XLP is 6565
Omega Ratio Rank
The Calmar Ratio Rank of XLP is 8585
Calmar Ratio Rank
The Martin Ratio Rank of XLP is 7575
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^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.


The current ^GSPC Sharpe Ratio is 0.51, which is lower than the XLP Sharpe Ratio of 0.77. 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 Ratio0.001.002.003.00December2025FebruaryMarchAprilMay
0.51
0.77
^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.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-8.35%
-2.02%
^GSPC
XLP

Volatility

^GSPC vs. XLP - Volatility Comparison

S&P 500 (^GSPC) has a higher volatility of 11.43% compared to Consumer Staples Select Sector SPDR Fund (XLP) at 5.89%. 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%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
11.43%
5.89%
^GSPC
XLP