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

Correlation

The correlation between ^GSPC and XLY is 0.84, 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.


Performance

^GSPC vs. XLY - Performance Comparison

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

400.00%600.00%800.00%1,000.00%1,200.00%December2025FebruaryMarchAprilMay
367.88%
952.91%
^GSPC
XLY

Key characteristics

Sharpe Ratio

^GSPC:

0.51

XLY:

0.52

Sortino Ratio

^GSPC:

0.84

XLY:

0.90

Omega Ratio

^GSPC:

1.12

XLY:

1.12

Calmar Ratio

^GSPC:

0.52

XLY:

0.50

Martin Ratio

^GSPC:

2.02

XLY:

1.49

Ulcer Index

^GSPC:

4.87%

XLY:

8.67%

Daily Std Dev

^GSPC:

19.36%

XLY:

25.05%

Max Drawdown

^GSPC:

-56.78%

XLY:

-59.05%

Current Drawdown

^GSPC:

-8.35%

XLY:

-16.46%

Returns By Period

In the year-to-date period, ^GSPC achieves a -4.26% return, which is significantly higher than XLY's -11.01% return. Over the past 10 years, ^GSPC has underperformed XLY with an annualized return of 10.31%, while XLY has yielded a comparatively higher 11.30% annualized return.


^GSPC

YTD

-4.26%

1M

11.24%

6M

-5.02%

1Y

8.55%

5Y*

14.02%

10Y*

10.31%

XLY

YTD

-11.01%

1M

10.22%

6M

-4.49%

1Y

12.51%

5Y*

12.13%

10Y*

11.30%

*Annualized

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Risk-Adjusted Performance

^GSPC vs. XLY — 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

XLY
The Risk-Adjusted Performance Rank of XLY is 5555
Overall Rank
The Sharpe Ratio Rank of XLY is 5555
Sharpe Ratio Rank
The Sortino Ratio Rank of XLY is 5959
Sortino Ratio Rank
The Omega Ratio Rank of XLY is 5555
Omega Ratio Rank
The Calmar Ratio Rank of XLY is 5858
Calmar Ratio Rank
The Martin Ratio Rank of XLY is 4949
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. XLY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 (^GSPC) and Consumer Discretionary Select Sector SPDR Fund (XLY). 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 comparable to the XLY Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of ^GSPC and XLY, 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
0.52
^GSPC
XLY

Drawdowns

^GSPC vs. XLY - Drawdown Comparison

The maximum ^GSPC drawdown since its inception was -56.78%, roughly equal to the maximum XLY drawdown of -59.05%. Use the drawdown chart below to compare losses from any high point for ^GSPC and XLY. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-8.35%
-16.46%
^GSPC
XLY

Volatility

^GSPC vs. XLY - Volatility Comparison

The current volatility for S&P 500 (^GSPC) is 11.43%, while Consumer Discretionary Select Sector SPDR Fund (XLY) has a volatility of 13.27%. This indicates that ^GSPC experiences smaller price fluctuations and is considered to be less risky than XLY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%December2025FebruaryMarchAprilMay
11.43%
13.27%
^GSPC
XLY