^PUT vs. AOR
^PUT (CBOE S&P 500 PutWrite Index) is an index, while AOR (iShares Core 60/40 Balanced Allocation ETF) is Diversified Portfolio fund tracking the S&P Target Risk Growth Index. Over the past 3 years, ^PUT returned 11.43%/yr vs 13.35%/yr for AOR. A 0.79 correlation means they provide meaningful diversification when combined.
Performance
^PUT vs. AOR - Performance Comparison
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Returns By Period
In the year-to-date period, ^PUT achieves a 4.42% return, which is significantly lower than AOR's 5.53% return.
^PUT
- 1D
- 0.16%
- 1M
- 1.91%
- YTD
- 4.42%
- 6M
- 5.27%
- 1Y
- 17.48%
- 3Y*
- 11.43%
- 5Y*
- —
- 10Y*
- —
AOR
- 1D
- -1.97%
- 1M
- -0.78%
- YTD
- 5.53%
- 6M
- 5.95%
- 1Y
- 17.13%
- 3Y*
- 13.35%
- 5Y*
- 6.57%
- 10Y*
- 8.14%
^PUT vs. AOR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
^PUT CBOE S&P 500 PutWrite Index | 4.42% | 9.19% | 17.84% | 14.32% | -0.98% |
AOR iShares Core 60/40 Balanced Allocation ETF | 5.53% | 16.44% | 10.68% | 15.75% | -3.50% |
Correlation
The correlation between ^PUT and AOR is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.81 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.79 |
Correlation (All Time) Calculated using the full available price history since Dec 15, 2022 | 0.79 |
The correlation between ^PUT and AOR has been stable across timeframes, ranging from 0.79 to 0.81 - a consistent structural relationship.
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Return for Risk
^PUT vs. AOR — Risk / Return Rank
^PUT
AOR
^PUT vs. AOR - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE S&P 500 PutWrite Index (^PUT) and iShares Core 60/40 Balanced Allocation ETF (AOR). 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.
| ^PUT | AOR | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.80 | ||
| Sortino ratioReturn per unit of downside risk | +1.16 | ||
| Omega ratioGain probability vs. loss probability | 1.70 | 1.37 | +0.33 |
| Calmar ratioReturn relative to maximum drawdown | 3.60 | 2.59 | +1.01 |
| Martin ratioReturn relative to average drawdown | 19.41 | 11.27 | +8.14 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ^PUT | AOR | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.79 | 1.99 | +0.80 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.62 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.76 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.34 | 0.68 | +0.66 |
Drawdowns
^PUT vs. AOR - Drawdown Comparison
The maximum ^PUT drawdown since its inception was -15.06%, smaller than the maximum AOR drawdown of -24.44%. Use the drawdown chart below to compare losses from any high point for ^PUT and AOR.
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Drawdown Indicators
| ^PUT | AOR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.06% | -24.44% | +9.38% |
Max Drawdown (1Y)Largest decline over 1 year | -4.72% | -6.64% | +1.92% |
Max Drawdown (3Y)Largest decline over 3 years | -15.06% | -9.77% | -5.29% |
Max Drawdown (5Y)Largest decline over 5 years | — | -21.72% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -22.95% | — |
Current DrawdownCurrent decline from peak | 0.00% | -2.25% | +2.25% |
Average DrawdownAverage peak-to-trough decline | -1.30% | -3.47% | +2.17% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.88% | 1.52% | -0.64% |
Volatility
^PUT vs. AOR - Volatility Comparison
The current volatility for CBOE S&P 500 PutWrite Index (^PUT) is 0.73%, while iShares Core 60/40 Balanced Allocation ETF (AOR) has a volatility of 3.12%. This indicates that ^PUT experiences smaller price fluctuations and is considered to be less risky than AOR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^PUT | AOR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.73% | 3.12% | -2.39% |
Volatility (6M)Calculated over the trailing 6-month period | 5.15% | 7.11% | -1.96% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.09% | 8.66% | -2.57% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.57% | 10.58% | -1.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.57% | 10.69% | -1.12% |
Frequently Asked Questions
^PUT and AOR have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AOR has higher volatility (3.12%) compared to ^PUT (0.73%). In terms of maximum drawdown, ^PUT dropped -15.06% vs AOR's -24.44%.
^PUT currently has the higher Sharpe Ratio (2.79 vs 1.99), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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