^SP400 vs. SPY
Compare and contrast key facts about S&P 400 (^SP400) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^SP400 or SPY.
Performance
^SP400 vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, ^SP400 achieves a 18.17% return, which is significantly lower than SPY's 26.08% return. Over the past 10 years, ^SP400 has underperformed SPY with an annualized return of 8.52%, while SPY has yielded a comparatively higher 13.10% annualized return.
^SP400
18.17%
4.56%
11.35%
28.94%
10.63%
8.52%
SPY
26.08%
1.77%
13.59%
32.24%
15.62%
13.10%
Key characteristics
| ^SP400 | SPY | |
|---|---|---|
| Sharpe Ratio | 1.86 | 2.70 |
| Sortino Ratio | 2.63 | 3.60 |
| Omega Ratio | 1.32 | 1.50 |
| Calmar Ratio | 2.33 | 3.90 |
| Martin Ratio | 10.35 | 17.52 |
| Ulcer Index | 2.87% | 1.87% |
| Daily Std Dev | 15.94% | 12.14% |
| Max Drawdown | -56.32% | -55.19% |
| Current Drawdown | -1.17% | -0.85% |
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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.
Risk-Adjusted Performance
^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.
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.
Volatility
^SP400 vs. SPY - Volatility Comparison
S&P 400 (^SP400) has a higher volatility of 5.42% compared to SPDR S&P 500 ETF (SPY) at 3.98%. This indicates that ^SP400's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.