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

Correlation

The correlation between ^SP500TR and SPY 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.


-0.50.00.51.0
Correlation: 1.0

Performance

^SP500TR vs. SPY - Performance Comparison

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

1,900.00%2,000.00%2,100.00%2,200.00%2,300.00%2,400.00%2,500.00%December2025FebruaryMarchAprilMay
2,308.54%
2,217.94%
^SP500TR
SPY

Key characteristics

Sharpe Ratio

^SP500TR:

0.75

SPY:

0.72

Sortino Ratio

^SP500TR:

1.15

SPY:

1.13

Omega Ratio

^SP500TR:

1.17

SPY:

1.17

Calmar Ratio

^SP500TR:

0.77

SPY:

0.76

Martin Ratio

^SP500TR:

3.07

SPY:

3.04

Ulcer Index

^SP500TR:

4.71%

SPY:

4.72%

Daily Std Dev

^SP500TR:

19.40%

SPY:

20.06%

Max Drawdown

^SP500TR:

-55.25%

SPY:

-55.19%

Current Drawdown

^SP500TR:

-7.21%

SPY:

-7.25%

Returns By Period

The year-to-date returns for both stocks are quite close, with ^SP500TR having a -2.91% return and SPY slightly lower at -3.01%. Both investments have delivered pretty close results over the past 10 years, with ^SP500TR having a 12.58% annualized return and SPY not far behind at 12.46%.


^SP500TR

YTD

-2.91%

1M

12.15%

6M

-0.07%

1Y

12.40%

5Y*

16.52%

10Y*

12.58%

SPY

YTD

-3.01%

1M

12.17%

6M

-0.12%

1Y

12.26%

5Y*

16.40%

10Y*

12.46%

*Annualized

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Risk-Adjusted Performance

^SP500TR vs. SPY — Risk-Adjusted Performance Rank

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

^SP500TR
The Risk-Adjusted Performance Rank of ^SP500TR is 8080
Overall Rank
The Sharpe Ratio Rank of ^SP500TR is 7979
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SP500TR is 7676
Sortino Ratio Rank
The Omega Ratio Rank of ^SP500TR is 8282
Omega Ratio Rank
The Calmar Ratio Rank of ^SP500TR is 8080
Calmar Ratio Rank
The Martin Ratio Rank of ^SP500TR is 8484
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6767
Overall Rank
The Sharpe Ratio Rank of SPY is 6363
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6565
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6868
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 7070
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6868
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.

^SP500TR vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Total Return (^SP500TR) 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.


The chart of Sharpe ratio for ^SP500TR, currently valued at 0.75, compared to the broader market-0.500.000.501.001.50
^SP500TR: 0.75
SPY: 0.72
The chart of Sortino ratio for ^SP500TR, currently valued at 1.15, compared to the broader market-1.00-0.500.000.501.001.502.00
^SP500TR: 1.15
SPY: 1.13
The chart of Omega ratio for ^SP500TR, currently valued at 1.17, compared to the broader market0.901.001.101.201.30
^SP500TR: 1.17
SPY: 1.17
The chart of Calmar ratio for ^SP500TR, currently valued at 0.77, compared to the broader market-0.500.000.501.001.50
^SP500TR: 0.77
SPY: 0.76
The chart of Martin ratio for ^SP500TR, currently valued at 3.07, compared to the broader market0.002.004.006.008.00
^SP500TR: 3.07
SPY: 3.04

The current ^SP500TR Sharpe Ratio is 0.75, which is comparable to the SPY Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of ^SP500TR 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 Ratio0.001.002.003.00December2025FebruaryMarchAprilMay
0.75
0.72
^SP500TR
SPY

Drawdowns

^SP500TR vs. SPY - Drawdown Comparison

The maximum ^SP500TR drawdown since its inception was -55.25%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^SP500TR and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-7.21%
-7.25%
^SP500TR
SPY

Volatility

^SP500TR vs. SPY - Volatility Comparison

The current volatility for S&P 500 Total Return (^SP500TR) is 14.16%, while SPDR S&P 500 ETF (SPY) has a volatility of 15.07%. This indicates that ^SP500TR 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.


0.00%5.00%10.00%15.00%December2025FebruaryMarchAprilMay
14.16%
15.07%
^SP500TR
SPY