^SSMI vs. SPY
Compare and contrast key facts about Swiss Market Index (^SSMI) 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: ^SSMI or SPY.
Key characteristics
| ^SSMI | SPY | |
|---|---|---|
| YTD Return | 9.47% | 23.66% |
| 1Y Return | 12.75% | 35.35% |
| 3Y Return (Ann) | 0.64% | 10.96% |
| 5Y Return (Ann) | 4.12% | 16.17% |
| 10Y Return (Ann) | 4.00% | 13.96% |
| Sharpe Ratio | 1.08 | 2.85 |
| Sortino Ratio | 1.48 | 3.80 |
| Omega Ratio | 1.20 | 1.52 |
| Calmar Ratio | 0.59 | 3.03 |
| Martin Ratio | 5.48 | 17.65 |
| Ulcer Index | 2.18% | 2.00% |
| Daily Std Dev | 11.12% | 12.40% |
| Max Drawdown | -56.31% | -55.19% |
| Current Drawdown | -5.99% | -0.35% |
Correlation
The correlation between ^SSMI and SPY is 0.32, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
^SSMI vs. SPY - Performance Comparison
In the year-to-date period, ^SSMI achieves a 9.47% return, which is significantly lower than SPY's 23.66% return. Over the past 10 years, ^SSMI has underperformed SPY with an annualized return of 4.00%, 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
^SSMI vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Swiss Market Index (^SSMI) 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
^SSMI vs. SPY - Drawdown Comparison
The maximum ^SSMI drawdown since its inception was -56.31%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^SSMI and SPY. For additional features, visit the drawdowns tool.
Volatility
^SSMI vs. SPY - Volatility Comparison
Swiss Market Index (^SSMI) has a higher volatility of 3.41% compared to SPDR S&P 500 ETF (SPY) at 3.00%. This indicates that ^SSMI's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.