HDFC Bank vs S&P 500 (HDFCBANK vs SPY) 2026: Stock Returns, Risk & Volatility

Q: Which is a better investment: HDFCBANK or SPY?

Over the past year, SPY looks like the better investment: it had higher total return (SPY +19.3% vs HDFCBANK -31.4%) and a higher Sharpe ratio (SPY 1.18 vs HDFCBANK -1.72). On risk, SPY was less volatile (SPY 13.5% vs HDFCBANK 23.8%), SPY had a smaller max drawdown (SPY -9.1% vs HDFCBANK -33.6%), and SPY had less severe losses on the worst 5% of days (Expected Shortfall of SPY -1.96% vs HDFCBANK -3.70%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Returns shown in USD.

Quick answer

Which is a better investment: HDFCBANK or SPY?

Over the past year, SPY outperformed HDFCBANK. SPY returned +19.3% compared with HDFCBANK’s -31.4%. SPY had the better risk-adjusted return, with a Sharpe ratio of 1.18 versus HDFCBANK’s -1.72. SPY was less volatile than HDFCBANK, and SPY had a smaller max drawdown than HDFCBANK.

Total Return

HDFCBANK -31.4%

SPY +19.3%

Sharpe Ratio

HDFCBANK -1.72

SPY 1.18

Annualized Volatility

HDFCBANK 23.8%

SPY 13.5%

Max Drawdown

HDFCBANK -33.6%

SPY -9.1%

Metric winners: Total Return: SPY; Sharpe Ratio: SPY; Annualized Volatility: SPY (less volatile); Max Drawdown: SPY (smaller drawdown).

HDFCBANK Total Return

↓ -31.4%

SPY Total Return

↑ +19.3%

Relative Performance of HDFCBANK vs SPY (Normalized to 100)

HDFCBANK SPY

Normalized to 100 at start date for comparison

Trade HDFCBANK or SPY

Access these assets on trusted platforms.

Hyperliquid

Trade perpetual futures exposure where supportedHDFCBANKSPYTrade on Hyperliquid

Binance

Trade futures exposure on a global exchange where supportedHDFCBANKSPYTrade on Binance

Affiliate disclosure

Key Takeaways

Total Return: HDFCBANK delivered a -31.4% total return, while SPY returned +19.3% over the same period. SPY outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): HDFCBANK had a negative Sharpe (-1.72) while SPY was positive (1.18), indicating SPY had meaningfully better risk-adjusted performance in this period.
Volatility (Annualized): HDFCBANK was more volatile, with 23.8% annualized volatility, versus 13.5% for SPY.
Maximum Drawdown: SPY's maximum drawdown was -9.1%, while HDFCBANK experienced a deeper drawdown of -33.6%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), HDFCBANK's VaR was -2.31% and its Expected Shortfall (CVaR) was -3.70%; SPY's were -1.44% and -1.96%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: HDFCBANK -0.16 vs SPY -0.30. Excess kurtosis: HDFCBANK 2.73 vs SPY 2.57. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): HDFCBANK 7/7, SPY 6/5. Worst day: HDFCBANK -6.19% (2026-03-19) vs SPY -3.46% (2026-03-27). Best day: HDFCBANK +5.66% (2026-04-08) vs SPY +3.68% (2026-04-01).
Risk ratios: Sortino - HDFCBANK: -2.26 vs. SPY: 1.70 , Calmar - HDFCBANK: -0.94 vs. SPY: 2.12 , Sterling - HDFCBANK: -1.05 vs. SPY: No 10% drawdown , Treynor - HDFCBANK: -1.44 vs. SPY: 0.16 , Ulcer Index - HDFCBANK: 20.14% vs. SPY: 2.11%

Investment Comparison

If you invested $10,000 in each asset on August 22, 2025:

HDFCBANK $6,862.77 -31.4%

SPY $11,933.51 +19.3%

Difference: $5,070.74 (SPY ahead)

HDFC Bank vs S&P 500 Performance Over Time

Metric	HDFCBANK	SPY
30 Days	-2.8%	2.4%
90 Days	-3.1%	2.7%
180 Days	-22.9%	11.1%
1 Year	-31.4%	19.3%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

HDFC Bank vs S&P 500 Correlation

Average Correlation

weakly correlated

0.08

Current (30-day) -0.15

30-day rolling range -0.31 to +0.53

HDFC Bank and S&P 500 are weakly correlated over the past year. With a correlation of 0.08, these assets show meaningful independence, offering diversification benefits when held together.

For portfolio construction, this weak correlation suggests that combining HDFCBANK and SPY could reduce overall portfolio variance. However, correlations can increase during market stress.

Metric	Value
Current (30-day)	-0.15
Average (full period)	0.08
Minimum (30-day rolling)	-0.31
Maximum (30-day rolling)	0.53

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

HDFCBANK

-33.6%

SPY

-9.1%

HDFC Bank experienced its maximum drawdown of -33.6% from 2025-10-23 to 2026-08-19. It has not yet recovered to its previous peak.

S&P 500 experienced its maximum drawdown of -9.1% from 2026-01-27 to 2026-03-30. It took 16 days to recover.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

HDFC Bank vs S&P 500 Volatility (HDFCBANK vs SPY)

HDFCBANK Volatility

23.8%

±1.5% 1-day vol

SPY Volatility

13.5%

±0.85% 1-day vol

1-day volatility (1σ)

HDFCBANK

±1.5%

SPY

±0.85%

HDFC Bank's 23.8% annualized volatility translates to about ±1.5% one-standard-deviation daily volatility.

S&P 500's 13.5% annualized volatility translates to about ±0.85% one-standard-deviation daily volatility.

HDFCBANK had the wider volatility profile over this window. That means its day-to-day return distribution was broader; SPY was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of HDFCBANK and SPY

Sharpe Ratio: HDFCBANK vs. SPY

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. HDFCBANK had a negative Sharpe (-1.72) while SPY was positive (1.18), indicating SPY had meaningfully better risk-adjusted performance in this period.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of HDFCBANK and SPY

Sortino Ratio: HDFCBANK vs. SPY

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). SPY had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: HDFCBANK 18.1% vs SPY 9.4%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of HDFCBANK and SPY

Calmar Ratio: HDFCBANK vs. SPY

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. SPY posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of HDFCBANK and SPY

Sterling Ratio: HDFCBANK vs. SPY

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). SPY had no 10% drawdown in this lookback, so Sterling is not calculated.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of HDFCBANK and SPY

Treynor Ratio: HDFCBANK vs. SPY

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. SPY posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of HDFCBANK and SPY

Ulcer Index: HDFCBANK vs. SPY

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. SPY had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): HDFC Bank vs. S&P 500

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: HDFCBANK vs. SPY (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	HDFCBANK	SPY
5% VaR (daily log return)	-2.31%	-1.44%
5% Expected Shortfall (CVaR)	-3.70% (worst 12 days)	-1.96% (worst 12 days)
Skew	-0.16	-0.30
Excess kurtosis	2.73	2.57
2σ tail days (down / up)	7 / 7	6 / 5
Worst day	-6.19% (2026-03-19)	-3.46% (2026-03-27)
Best day	+5.66% (2026-04-08)	+3.68% (2026-04-01)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=237). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: HDFCBANK vs. SPY (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both HDFCBANK and SPY crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both HDFCBANK and SPY had a big down day (2σ)

Date (interval)	HDFCBANK	SPY
2026-03-25 → 2026-03-27	-3.35%	-3.46%

Days when HDFCBANK had a big down day

Date (interval)	HDFCBANK	SPY
2026-03-19	-6.19%	-0.25%
2026-03-20 → 2026-03-23	-5.48%	+1.05%
2026-03-25 → 2026-03-27	-3.35%	-3.46%
2026-03-27 → 2026-03-30	-3.74%	-0.33%
2026-04-10 → 2026-04-13	-4.04%	+0.98%
2026-05-27	-3.26%	-0.02%
2026-07-17 → 2026-07-20	-4.76%	-0.16%

Days when SPY had a big down day

Date (interval)	HDFCBANK	SPY
2025-10-10	+0.29%	-2.70%
2025-11-13	-0.43%	-1.66%
2026-01-16 → 2026-01-20	-0.59%	-2.04%
2026-03-25 → 2026-03-27	-3.35%	-3.46%
2026-06-05	-0.56%	-2.58%
2026-06-10	+1.50%	-1.83%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of HDFC Bank vs. S&P 500 (1-Year)

Metric	HDFCBANK	SPY
Total Return	-31.4%	+19.3%
Annualized Volatility	23.8%	13.5%
Sharpe Ratio	-1.72	1.18
Sortino Ratio	-2.26	1.70
Calmar Ratio	-0.94	2.12
Sterling Ratio	-1.05	No 10% drawdown
Treynor Ratio	-1.44	0.16
Ulcer Index	20.14%	2.11%
Max Drawdown	-33.6%	-9.1%
Avg Correlation to S&P 500	0.15	1.00
5% VaR (daily log return)	-2.31%	-1.44%
5% Expected Shortfall (CVaR)	-3.70%	-1.96%
Skew	-0.16	-0.30
Excess kurtosis	2.73	2.57
2σ tail days (down / up)	7 / 7	6 / 5

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-08-22 → 2026-08-21 (last shared close).
Rolling correlation sample (shared closes): 208 rolling 30-day values (from 237 shared daily returns).
Annualization (days/year): HDFCBANK: 252 days/year; SPY: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

HDFCBANK: 3.81% over 2025-08-22 → 2026-08-21.

SPY: 3.81% over 2025-08-22 → 2026-08-21.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

HDFCBANK: ≈ -2.8%/yr

SPY: ≈ -0.9%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

HDFC Bank vs S&P 500: Frequently Asked Questions

Which has higher volatility: HDFCBANK or SPY?

HDFCBANK showed higher volatility at 23.8% annualized, compared to 13.5% for SPY Over the past year. Higher volatility means larger price swings in both directions.

Does HDFCBANK provide diversification when held with SPY?

HDFCBANK and SPY are weakly correlated over the past year, with an average correlation of 0.08. This weak correlation suggests meaningful diversification benefits when held together.

How bad are the worst 5% days for HDFCBANK vs SPY?

Over the past year, HDFCBANK's 5% VaR was -2.31% and its 5% Expected Shortfall was -3.70% (worst 12 days). SPY's were -1.44% and -1.96% (worst 12 days).

Do HDFCBANK and SPY crash together on bad days?

On shared dates (n=237), when SPY has a 2σ down day, HDFCBANK also does 16.7% (1/6 days). In the other direction, when HDFCBANK has one, SPY also does 14.3% (1/7 days).

Which has better risk-adjusted returns: HDFCBANK or SPY?

HDFCBANK had a negative Sharpe (-1.72) while SPY was positive (1.18) Over the past year, indicating SPY had meaningfully better risk-adjusted performance.

Can HDFCBANK and SPY be combined in a portfolio?

Yes, though allocation sizing matters. Their weak correlation could meaningfully reduce overall portfolio variance. HDFCBANK's higher volatility (23.8%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: HDFCBANK or SPY?

Share This Comparison of HDFCBANK vs SPY

Relative Performance of HDFCBANK vs SPY (Normalized to 100)

Trade HDFCBANK or SPY

Key Takeaways

Investment Comparison

HDFC Bank vs S&P 500 Performance Over Time

HDFC Bank vs S&P 500 Correlation

Drawdown

HDFC Bank vs S&P 500 Volatility (HDFCBANK vs SPY)

Risk-adjusted ratios

Sharpe Ratio of HDFCBANK and SPY

Sharpe Ratio: HDFCBANK vs. SPY

Sortino Ratio of HDFCBANK and SPY

Sortino Ratio: HDFCBANK vs. SPY

Calmar Ratio of HDFCBANK and SPY

Calmar Ratio: HDFCBANK vs. SPY

Sterling Ratio of HDFCBANK and SPY

Sterling Ratio: HDFCBANK vs. SPY

Treynor Ratio of HDFCBANK and SPY

Treynor Ratio: HDFCBANK vs. SPY

Ulcer Index of HDFCBANK and SPY

Ulcer Index: HDFCBANK vs. SPY

Tail Risk & Distribution Shape (1-Year): HDFC Bank vs. S&P 500

Tail Risk & Distribution Shape: HDFCBANK vs. SPY (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: HDFCBANK vs. SPY (2σ)

Days when both HDFCBANK and SPY had a big down day (2σ)

Days when HDFCBANK had a big down day

Days when SPY had a big down day

Full Comparison of HDFC Bank vs. S&P 500 (1-Year)

Inputs & conventions

Formulas

HDFC Bank vs S&P 500: Frequently Asked Questions

Which has higher volatility: HDFCBANK or SPY?

Does HDFCBANK provide diversification when held with SPY?

How bad are the worst 5% days for HDFCBANK vs SPY?

Do HDFCBANK and SPY crash together on bad days?

Which has better risk-adjusted returns: HDFCBANK or SPY?

Can HDFCBANK and SPY be combined in a portfolio?