^SPXEW vs. ^OEX
Compare and contrast key facts about S&P 500 Equal Weighted Index (^SPXEW) and S&P 100 Index (^OEX).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^SPXEW or ^OEX.
Performance
^SPXEW vs. ^OEX - Performance Comparison
Returns By Period
In the year-to-date period, ^SPXEW achieves a 16.41% return, which is significantly lower than ^OEX's 28.09% return. Over the past 10 years, ^SPXEW has underperformed ^OEX with an annualized return of 8.66%, while ^OEX has yielded a comparatively higher 12.10% annualized return.
^SPXEW
16.41%
2.43%
11.65%
25.57%
10.50%
8.66%
^OEX
28.09%
1.18%
13.88%
32.89%
15.70%
12.10%
Key characteristics
| ^SPXEW | ^OEX | |
|---|---|---|
| Sharpe Ratio | 2.26 | 2.50 |
| Sortino Ratio | 3.14 | 3.31 |
| Omega Ratio | 1.40 | 1.47 |
| Calmar Ratio | 2.38 | 3.39 |
| Martin Ratio | 12.47 | 15.04 |
| Ulcer Index | 2.10% | 2.22% |
| Daily Std Dev | 11.55% | 13.36% |
| Max Drawdown | -60.83% | -61.31% |
| Current Drawdown | -0.54% | -1.15% |
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Correlation
The correlation between ^SPXEW and ^OEX is 0.90, 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
^SPXEW vs. ^OEX - 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 100 Index (^OEX). 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. ^OEX - Drawdown Comparison
The maximum ^SPXEW drawdown since its inception was -60.83%, roughly equal to the maximum ^OEX drawdown of -61.31%. Use the drawdown chart below to compare losses from any high point for ^SPXEW and ^OEX. For additional features, visit the drawdowns tool.
Volatility
^SPXEW vs. ^OEX - Volatility Comparison
The current volatility for S&P 500 Equal Weighted Index (^SPXEW) is 3.64%, while S&P 100 Index (^OEX) has a volatility of 4.24%. This indicates that ^SPXEW experiences smaller price fluctuations and is considered to be less risky than ^OEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.