PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^SPXEW vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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.


-0.50.00.51.00.9

Performance

^SPXEW vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 Equal Weighted Index (^SPXEW) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

1,400.00%1,500.00%1,600.00%1,700.00%1,800.00%1,900.00%2,000.00%JulyAugustSeptemberOctoberNovemberDecember
1,919.70%
1,578.23%
^SPXEW
^GSPC

Key characteristics

Sharpe Ratio

^SPXEW:

1.19

^GSPC:

2.10

Sortino Ratio

^SPXEW:

1.69

^GSPC:

2.80

Omega Ratio

^SPXEW:

1.21

^GSPC:

1.39

Calmar Ratio

^SPXEW:

1.90

^GSPC:

3.09

Martin Ratio

^SPXEW:

6.06

^GSPC:

13.49

Ulcer Index

^SPXEW:

2.27%

^GSPC:

1.94%

Daily Std Dev

^SPXEW:

11.57%

^GSPC:

12.52%

Max Drawdown

^SPXEW:

-60.83%

^GSPC:

-56.78%

Current Drawdown

^SPXEW:

-5.96%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, ^SPXEW achieves a 11.47% return, which is significantly lower than ^GSPC's 24.34% return. Over the past 10 years, ^SPXEW has underperformed ^GSPC with an annualized return of 8.09%, while ^GSPC has yielded a comparatively higher 11.06% annualized return.


^SPXEW

YTD

11.47%

1M

-3.00%

6M

6.66%

1Y

12.37%

5Y*

8.82%

10Y*

8.09%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


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.


Sharpe ratio
The chart of Sharpe ratio for ^SPXEW, currently valued at 1.19, compared to the broader market0.001.002.001.192.10
The chart of Sortino ratio for ^SPXEW, currently valued at 1.69, compared to the broader market-1.000.001.002.003.001.692.80
The chart of Omega ratio for ^SPXEW, currently valued at 1.21, compared to the broader market0.901.001.101.201.301.401.211.39
The chart of Calmar ratio for ^SPXEW, currently valued at 1.90, compared to the broader market0.001.002.003.001.903.09
The chart of Martin ratio for ^SPXEW, currently valued at 6.06, compared to the broader market0.005.0010.0015.0020.006.0613.49
^SPXEW
^GSPC

The current ^SPXEW Sharpe Ratio is 1.19, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of ^SPXEW and ^GSPC, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.19
2.10
^SPXEW
^GSPC

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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.96%
-2.62%
^SPXEW
^GSPC

Volatility

^SPXEW vs. ^GSPC - Volatility Comparison

S&P 500 Equal Weighted Index (^SPXEW) has a higher volatility of 4.09% compared to S&P 500 (^GSPC) at 3.79%. This indicates that ^SPXEW's price experiences larger fluctuations and is considered to be riskier than ^GSPC 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%JulyAugustSeptemberOctoberNovemberDecember
4.09%
3.79%
^SPXEW
^GSPC
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab