^XBD vs. ^GSPC
Compare and contrast key facts about NYSE Arca Securities Broker/Dealer Index (^XBD) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^XBD or ^GSPC.
Key characteristics
| ^XBD | ^GSPC | |
|---|---|---|
| YTD Return | 34.29% | 22.95% |
| 1Y Return | 60.85% | 37.09% |
| 3Y Return (Ann) | 14.66% | 9.10% |
| 5Y Return (Ann) | 23.79% | 14.48% |
| 10Y Return (Ann) | 16.40% | 11.71% |
| Sharpe Ratio | 3.61 | 2.89 |
| Sortino Ratio | 4.45 | 3.84 |
| Omega Ratio | 1.60 | 1.53 |
| Calmar Ratio | 4.51 | 2.54 |
| Martin Ratio | 26.87 | 18.73 |
| Ulcer Index | 2.18% | 1.92% |
| Daily Std Dev | 16.21% | 12.41% |
| Max Drawdown | -80.20% | -56.78% |
| Current Drawdown | -0.07% | 0.00% |
Correlation
The correlation between ^XBD and ^GSPC is 0.77, 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
^XBD vs. ^GSPC - Performance Comparison
In the year-to-date period, ^XBD achieves a 34.29% return, which is significantly higher than ^GSPC's 22.95% return. Over the past 10 years, ^XBD has outperformed ^GSPC with an annualized return of 16.40%, while ^GSPC has yielded a comparatively lower 11.71% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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
^XBD vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for NYSE Arca Securities Broker/Dealer Index (^XBD) 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
^XBD vs. ^GSPC - Drawdown Comparison
The maximum ^XBD drawdown since its inception was -80.20%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^XBD and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^XBD vs. ^GSPC - Volatility Comparison
NYSE Arca Securities Broker/Dealer Index (^XBD) has a higher volatility of 3.37% compared to S&P 500 (^GSPC) at 2.56%. This indicates that ^XBD'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.