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S&P 500 Mini-SPX Options Index (^XSP)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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S&P 500 Mini-SPX Options Index

Popular comparisons: ^XSP vs. SPY, ^XSP vs. VOO, ^XSP vs. XYLD, ^XSP vs. BZ=F, ^XSP vs. SNPE, ^XSP vs. TLT, ^XSP vs. TGT, ^XSP vs. ^SPXEW, ^XSP vs. VIIIX

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in S&P 500 Mini-SPX Options Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


0.00%5.00%10.00%15.00%2024FebruaryMarchAprilMayJune
15.13%
15.13%
^XSP (S&P 500 Mini-SPX Options Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

S&P 500 Mini-SPX Options Index had a return of 13.92% year-to-date (YTD) and 24.27% in the last 12 months.


PeriodReturnBenchmark
Year-To-Date13.92%13.92%
1 month3.56%3.57%
6 months15.13%15.13%
1 year24.27%24.27%
5 years (annualized)N/A13.51%
10 years (annualized)N/A10.88%

Monthly Returns

The table below presents the monthly returns of ^XSP, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.59%5.17%3.10%-4.16%4.80%13.92%
20236.18%-2.61%3.50%1.46%0.25%6.47%3.11%-1.77%-4.87%-2.20%8.92%4.42%24.23%
2022-5.26%-3.14%3.58%-8.80%0.01%-8.39%9.11%-4.24%-9.34%7.99%5.37%-5.90%-19.44%
20211.82%5.24%0.55%2.22%2.28%2.90%-4.76%6.92%-0.83%4.36%22.15%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of ^XSP is 84, placing it in the top 16% of indices on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^XSP is 8484
^XSP (S&P 500 Mini-SPX Options Index)
The Sharpe Ratio Rank of ^XSP is 8686Sharpe Ratio Rank
The Sortino Ratio Rank of ^XSP is 8888Sortino Ratio Rank
The Omega Ratio Rank of ^XSP is 8585Omega Ratio Rank
The Calmar Ratio Rank of ^XSP is 8181Calmar Ratio Rank
The Martin Ratio Rank of ^XSP is 8080Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for S&P 500 Mini-SPX Options Index (^XSP) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^XSP
Sharpe ratio
The chart of Sharpe ratio for ^XSP, currently valued at 2.15, compared to the broader market-1.000.001.002.002.15
Sortino ratio
The chart of Sortino ratio for ^XSP, currently valued at 3.06, compared to the broader market-2.00-1.000.001.002.003.003.06
Omega ratio
The chart of Omega ratio for ^XSP, currently valued at 1.38, compared to the broader market0.801.001.201.401.38
Calmar ratio
The chart of Calmar ratio for ^XSP, currently valued at 1.72, compared to the broader market0.001.002.003.004.005.001.72
Martin ratio
The chart of Martin ratio for ^XSP, currently valued at 8.07, compared to the broader market0.005.0010.0015.0020.008.07
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.15, compared to the broader market-1.000.001.002.002.15
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.06, compared to the broader market-2.00-1.000.001.002.003.003.06
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.72, compared to the broader market0.001.002.003.004.005.001.72
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.07, compared to the broader market0.005.0010.0015.0020.008.07

Sharpe Ratio

The current S&P 500 Mini-SPX Options Index Sharpe ratio is 2.15. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of S&P 500 Mini-SPX Options Index with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.502.002.503.002024FebruaryMarchAprilMayJune
2.15
2.15
^XSP (S&P 500 Mini-SPX Options Index)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune00
^XSP (S&P 500 Mini-SPX Options Index)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the S&P 500 Mini-SPX Options Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the S&P 500 Mini-SPX Options Index was 25.43%, occurring on Oct 12, 2022. Recovery took 318 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.43%Jan 4, 2022195Oct 12, 2022318Jan 19, 2024513
-5.47%Apr 1, 202415Apr 19, 202418May 15, 202433
-5.21%Sep 3, 202121Oct 4, 202113Oct 21, 202134
-4.07%Nov 19, 20218Dec 1, 20217Dec 10, 202115
-4.01%May 10, 20213May 12, 202120Jun 10, 202123

Volatility

Volatility Chart

The current S&P 500 Mini-SPX Options Index volatility is 2.49%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%2024FebruaryMarchAprilMayJune
2.49%
2.49%
^XSP (S&P 500 Mini-SPX Options Index)
Benchmark (^GSPC)