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^NIFTY200 vs. ^SP500TR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^NIFTY200 and ^SP500TR is 0.23, 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.


-0.50.00.51.00.2

Performance

^NIFTY200 vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NIFTY 200 (^NIFTY200) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

250.00%300.00%350.00%400.00%450.00%500.00%JulyAugustSeptemberOctoberNovemberDecember
271.82%
496.88%
^NIFTY200
^SP500TR

Key characteristics

Sharpe Ratio

^NIFTY200:

1.18

^SP500TR:

2.03

Sortino Ratio

^NIFTY200:

1.56

^SP500TR:

2.71

Omega Ratio

^NIFTY200:

1.25

^SP500TR:

1.38

Calmar Ratio

^NIFTY200:

1.54

^SP500TR:

3.03

Martin Ratio

^NIFTY200:

4.91

^SP500TR:

13.52

Ulcer Index

^NIFTY200:

3.52%

^SP500TR:

1.89%

Daily Std Dev

^NIFTY200:

14.74%

^SP500TR:

12.59%

Max Drawdown

^NIFTY200:

-64.04%

^SP500TR:

-55.25%

Current Drawdown

^NIFTY200:

-7.76%

^SP500TR:

-3.54%

Returns By Period

In the year-to-date period, ^NIFTY200 achieves a 15.62% return, which is significantly lower than ^SP500TR's 24.77% return. Both investments have delivered pretty close results over the past 10 years, with ^NIFTY200 having a 12.63% annualized return and ^SP500TR not far ahead at 13.05%.


^NIFTY200

YTD

15.62%

1M

3.42%

6M

2.09%

1Y

17.23%

5Y*

16.90%

10Y*

12.63%

^SP500TR

YTD

24.77%

1M

-0.24%

6M

7.73%

1Y

24.86%

5Y*

14.61%

10Y*

13.05%

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Risk-Adjusted Performance

^NIFTY200 vs. ^SP500TR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NIFTY 200 (^NIFTY200) and S&P 500 Total Return (^SP500TR). 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 ^NIFTY200, currently valued at 0.73, compared to the broader market-1.000.001.002.000.731.98
The chart of Sortino ratio for ^NIFTY200, currently valued at 1.03, compared to the broader market-1.000.001.002.003.001.032.65
The chart of Omega ratio for ^NIFTY200, currently valued at 1.16, compared to the broader market0.800.901.001.101.201.301.401.161.38
The chart of Calmar ratio for ^NIFTY200, currently valued at 0.88, compared to the broader market0.001.002.003.004.000.882.88
The chart of Martin ratio for ^NIFTY200, currently valued at 2.67, compared to the broader market0.005.0010.0015.002.6712.30
^NIFTY200
^SP500TR

The current ^NIFTY200 Sharpe Ratio is 1.18, which is lower than the ^SP500TR Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of ^NIFTY200 and ^SP500TR, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.73
1.98
^NIFTY200
^SP500TR

Drawdowns

^NIFTY200 vs. ^SP500TR - Drawdown Comparison

The maximum ^NIFTY200 drawdown since its inception was -64.04%, which is greater than ^SP500TR's maximum drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for ^NIFTY200 and ^SP500TR. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.29%
-3.54%
^NIFTY200
^SP500TR

Volatility

^NIFTY200 vs. ^SP500TR - Volatility Comparison

NIFTY 200 (^NIFTY200) has a higher volatility of 4.66% compared to S&P 500 Total Return (^SP500TR) at 3.62%. This indicates that ^NIFTY200's price experiences larger fluctuations and is considered to be riskier than ^SP500TR 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%JulyAugustSeptemberOctoberNovemberDecember
4.66%
3.62%
^NIFTY200
^SP500TR
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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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