^SPXEW vs. SPY
Compare and contrast key facts about S&P 500 Equal Weighted Index (^SPXEW) 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: ^SPXEW or SPY.
Key characteristics
^SPXEW | SPY | |
---|---|---|
YTD Return | 14.97% | 23.66% |
1Y Return | 27.00% | 35.35% |
3Y Return (Ann) | 5.23% | 10.96% |
5Y Return (Ann) | 11.04% | 16.17% |
10Y Return (Ann) | 9.58% | 13.96% |
Sharpe Ratio | 2.27 | 2.85 |
Sortino Ratio | 3.16 | 3.80 |
Omega Ratio | 1.40 | 1.52 |
Calmar Ratio | 1.49 | 3.03 |
Martin Ratio | 12.19 | 17.65 |
Ulcer Index | 2.27% | 2.00% |
Daily Std Dev | 12.18% | 12.40% |
Max Drawdown | -60.83% | -55.19% |
Current Drawdown | 0.00% | -0.35% |
Correlation
The correlation between ^SPXEW and SPY is 0.93, 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.
Performance
^SPXEW vs. SPY - Performance Comparison
In the year-to-date period, ^SPXEW achieves a 14.97% return, which is significantly lower than SPY's 23.66% return. Over the past 10 years, ^SPXEW has underperformed SPY with an annualized return of 9.58%, while SPY has yielded a comparatively higher 13.96% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^SPXEW vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Equal Weighted Index (^SPXEW) 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
^SPXEW vs. SPY - Drawdown Comparison
The maximum ^SPXEW drawdown since its inception was -60.83%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^SPXEW and SPY. For additional features, visit the drawdowns tool.
Volatility
^SPXEW vs. SPY - Volatility Comparison
The current volatility for S&P 500 Equal Weighted Index (^SPXEW) is 2.72%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.00%. This indicates that ^SPXEW 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.