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^SP400 vs. SPY
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SP400 and SPY is 0.86, 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.


-0.50.00.51.00.9

Performance

^SP400 vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 400 (^SP400) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember2025
9.81%
12.14%
^SP400
SPY

Key characteristics

Sharpe Ratio

^SP400:

1.27

SPY:

2.20

Sortino Ratio

^SP400:

1.82

SPY:

2.92

Omega Ratio

^SP400:

1.23

SPY:

1.41

Calmar Ratio

^SP400:

2.35

SPY:

3.35

Martin Ratio

^SP400:

5.74

SPY:

14.01

Ulcer Index

^SP400:

3.51%

SPY:

2.01%

Daily Std Dev

^SP400:

15.88%

SPY:

12.76%

Max Drawdown

^SP400:

-56.32%

SPY:

-55.19%

Current Drawdown

^SP400:

-2.88%

SPY:

-0.45%

Returns By Period

In the year-to-date period, ^SP400 achieves a 5.50% return, which is significantly higher than SPY's 2.90% return. Over the past 10 years, ^SP400 has underperformed SPY with an annualized return of 8.53%, while SPY has yielded a comparatively higher 13.39% annualized return.


^SP400

YTD

5.50%

1M

5.39%

6M

7.65%

1Y

18.80%

5Y*

9.58%

10Y*

8.53%

SPY

YTD

2.90%

1M

2.01%

6M

9.60%

1Y

26.34%

5Y*

14.48%

10Y*

13.39%

*Annualized

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Risk-Adjusted Performance

^SP400 vs. SPY — Risk-Adjusted Performance Rank

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

^SP400
The Risk-Adjusted Performance Rank of ^SP400 is 6060
Overall Rank
The Sharpe Ratio Rank of ^SP400 is 5656
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SP400 is 5757
Sortino Ratio Rank
The Omega Ratio Rank of ^SP400 is 5353
Omega Ratio Rank
The Calmar Ratio Rank of ^SP400 is 7575
Calmar Ratio Rank
The Martin Ratio Rank of ^SP400 is 5656
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 8383
Overall Rank
The Sharpe Ratio Rank of SPY is 8484
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 8080
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 8383
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 8282
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 8585
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.

^SP400 vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 400 (^SP400) and SPDR S&P 500 ETF (SPY). 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 ^SP400, currently valued at 1.27, compared to the broader market-0.500.000.501.001.502.002.501.272.09
The chart of Sortino ratio for ^SP400, currently valued at 1.81, compared to the broader market0.001.002.003.001.822.78
The chart of Omega ratio for ^SP400, currently valued at 1.23, compared to the broader market1.001.201.401.601.231.39
The chart of Calmar ratio for ^SP400, currently valued at 2.35, compared to the broader market0.001.002.003.004.002.353.17
The chart of Martin ratio for ^SP400, currently valued at 5.74, compared to the broader market0.005.0010.0015.0020.005.7413.22
^SP400
SPY

The current ^SP400 Sharpe Ratio is 1.27, which is lower than the SPY Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of ^SP400 and SPY, 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 Ratio0.001.002.003.004.00AugustSeptemberOctoberNovemberDecember2025
1.27
2.09
^SP400
SPY

Drawdowns

^SP400 vs. SPY - Drawdown Comparison

The maximum ^SP400 drawdown since its inception was -56.32%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^SP400 and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-2.88%
-0.45%
^SP400
SPY

Volatility

^SP400 vs. SPY - Volatility Comparison

The current volatility for S&P 400 (^SP400) is 3.55%, while SPDR S&P 500 ETF (SPY) has a volatility of 4.08%. This indicates that ^SP400 experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%AugustSeptemberOctoberNovemberDecember2025
3.55%
4.08%
^SP400
SPY
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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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