^IBEX vs. ^GSPC
Compare and contrast key facts about IBEX 35 Index (^IBEX) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^IBEX or ^GSPC.
Performance
^IBEX vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, ^IBEX achieves a 15.40% return, which is significantly lower than ^GSPC's 23.08% return. Over the past 10 years, ^IBEX has underperformed ^GSPC with an annualized return of 1.31%, while ^GSPC has yielded a comparatively higher 11.11% annualized return.
^IBEX
15.40%
-2.24%
2.92%
19.43%
4.63%
1.31%
^GSPC
23.08%
0.10%
10.70%
30.05%
13.52%
11.11%
Key characteristics
| ^IBEX | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 1.33 | 2.48 |
| Sortino Ratio | 1.85 | 3.33 |
| Omega Ratio | 1.23 | 1.46 |
| Calmar Ratio | 0.45 | 3.58 |
| Martin Ratio | 6.58 | 15.96 |
| Ulcer Index | 2.64% | 1.90% |
| Daily Std Dev | 12.89% | 12.24% |
| Max Drawdown | -62.65% | -56.78% |
| Current Drawdown | -26.89% | -2.18% |
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Correlation
The correlation between ^IBEX and ^GSPC is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
^IBEX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for IBEX 35 Index (^IBEX) and S&P 500 (^GSPC). 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
^IBEX vs. ^GSPC - Drawdown Comparison
The maximum ^IBEX drawdown since its inception was -62.65%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^IBEX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^IBEX vs. ^GSPC - Volatility Comparison
IBEX 35 Index (^IBEX) has a higher volatility of 6.24% compared to S&P 500 (^GSPC) at 4.04%. This indicates that ^IBEX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.