^OEX vs. ^GSPC
Compare and contrast key facts about S&P 100 Index (^OEX) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^OEX or ^GSPC.
Performance
^OEX vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, ^OEX achieves a 28.09% return, which is significantly higher than ^GSPC's 24.72% return. Over the past 10 years, ^OEX has outperformed ^GSPC with an annualized return of 12.10%, while ^GSPC has yielded a comparatively lower 11.16% annualized return.
^OEX
28.09%
1.18%
13.88%
32.89%
15.70%
12.10%
^GSPC
24.72%
1.67%
12.93%
30.55%
13.88%
11.16%
Key characteristics
| ^OEX | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 2.50 | 2.54 |
| Sortino Ratio | 3.31 | 3.40 |
| Omega Ratio | 1.47 | 1.47 |
| Calmar Ratio | 3.39 | 3.66 |
| Martin Ratio | 15.04 | 16.26 |
| Ulcer Index | 2.22% | 1.91% |
| Daily Std Dev | 13.36% | 12.23% |
| Max Drawdown | -61.31% | -56.78% |
| Current Drawdown | -1.15% | -0.88% |
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Correlation
The correlation between ^OEX and ^GSPC is 0.98, 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.
Risk-Adjusted Performance
^OEX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 100 Index (^OEX) 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
^OEX vs. ^GSPC - Drawdown Comparison
The maximum ^OEX drawdown since its inception was -61.31%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^OEX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^OEX vs. ^GSPC - Volatility Comparison
S&P 100 Index (^OEX) has a higher volatility of 4.24% compared to S&P 500 (^GSPC) at 3.96%. This indicates that ^OEX'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.