^SPXEW vs. ^GSPC
Compare and contrast key facts about S&P 500 Equal Weighted Index (^SPXEW) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^SPXEW or ^GSPC.
Key characteristics
| ^SPXEW | ^GSPC | |
|---|---|---|
| YTD Return | 14.97% | 22.49% |
| 1Y Return | 27.00% | 33.60% |
| 3Y Return (Ann) | 5.23% | 9.35% |
| 5Y Return (Ann) | 11.04% | 14.41% |
| 10Y Return (Ann) | 9.58% | 11.99% |
| Sharpe Ratio | 2.27 | 2.69 |
| Sortino Ratio | 3.16 | 3.59 |
| Omega Ratio | 1.40 | 1.49 |
| Calmar Ratio | 1.49 | 2.37 |
| Martin Ratio | 12.19 | 16.43 |
| Ulcer Index | 2.27% | 2.04% |
| Daily Std Dev | 12.18% | 12.50% |
| Max Drawdown | -60.83% | -56.78% |
| Current Drawdown | 0.00% | -0.30% |
Correlation
The correlation between ^SPXEW and ^GSPC is 0.95, 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. ^GSPC - Performance Comparison
In the year-to-date period, ^SPXEW achieves a 14.97% return, which is significantly lower than ^GSPC's 22.49% return. Over the past 10 years, ^SPXEW has underperformed ^GSPC with an annualized return of 9.58%, while ^GSPC has yielded a comparatively higher 11.99% 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. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Equal Weighted Index (^SPXEW) 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
^SPXEW vs. ^GSPC - Drawdown Comparison
The maximum ^SPXEW drawdown since its inception was -60.83%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^SPXEW and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^SPXEW vs. ^GSPC - Volatility Comparison
The current volatility for S&P 500 Equal Weighted Index (^SPXEW) is 2.72%, while S&P 500 (^GSPC) has a volatility of 3.03%. This indicates that ^SPXEW experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.