^XSP vs. BZ=F

Last updated Apr 3, 2026

Compare and contrast key facts about S&P 500 Mini-SPX Options Index (^XSP) and Crude Oil Brent (BZ=F).

Performance

^XSP vs. BZ=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 Mini-SPX Options Index (^XSP) and Crude Oil Brent (BZ=F). The values are adjusted to include any dividend payments, if applicable.

^XSP vs. BZ=F - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
^XSP S&P 500 Mini-SPX Options Index	-3.84%	16.39%	23.31%	24.23%	-19.44%	22.15%
BZ=F Crude Oil Brent	79.21%	-18.48%	-3.12%	-10.32%	10.45%	22.12%

Returns By Period

In the year-to-date period, ^XSP achieves a -3.84% return, which is significantly lower than BZ=F's 79.21% return.

^XSP

• 1D: 0.11%
• 1M: -3.43%
• YTD: -3.84%
• 6M: -1.98%
• 1Y: 16.08%
• 3Y*: 16.86%
• 5Y*: 10.37%
• 10Y*: —

BZ=F

• 1D: 7.80%
• 1M: 33.97%
• YTD: 79.21%
• 6M: 70.10%
• 1Y: 45.50%
• 3Y*: 8.69%
• 5Y*: 10.95%
• 10Y*: 11.21%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Return for Risk

^XSP vs. BZ=F — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^XSP

^XSP Risk / Return Rank: 58
^XSP Sharpe Ratio Rank: 52
^XSP Sortino Ratio Rank: 55
^XSP Omega Ratio Rank: 60
^XSP Calmar Ratio Rank: 52
^XSP Martin Ratio Rank: 70

BZ=F

BZ=F Risk / Return Rank: 52
BZ=F Sharpe Ratio Rank: 46
BZ=F Sortino Ratio Rank: 45
BZ=F Omega Ratio Rank: 43
BZ=F Calmar Ratio Rank: 85
BZ=F Martin Ratio Rank: 41

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^XSP vs. BZ=F - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Mini-SPX Options Index (^XSP) and Crude Oil Brent (BZ=F). 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.

	^XSP	BZ=F	Difference
Sharpe ratio Return per unit of total volatility	0.88	0.93	-0.05
Sortino ratio Return per unit of downside risk	1.37	1.42	-0.05
Omega ratio Gain probability vs. loss probability	1.21	1.21	0.00
Calmar ratio Return relative to maximum drawdown	1.39	2.93	-1.54
Martin ratio Return relative to average drawdown	6.43	5.15	+1.28
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^XSP vs. BZ=F - Sharpe Ratio Comparison

The current ^XSP Sharpe Ratio is 0.88, which is comparable to the BZ=F Sharpe Ratio of 0.93. The chart below compares the historical Sharpe Ratios of ^XSP and BZ=F, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	^XSP	BZ=F	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.88	0.93	-0.05
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.62	0.29	+0.32
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.28	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.64	0.15	+0.50

Correlation

The correlation between ^XSP and BZ=F is 0.08, 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.

Drawdowns

^XSP vs. BZ=F - Drawdown Comparison

The maximum ^XSP drawdown since its inception was -25.43%, smaller than the maximum BZ=F drawdown of -86.77%. Use the drawdown chart below to compare losses from any high point for ^XSP and BZ=F.

Drawdown Indicators

	^XSP	BZ=F	Difference
Max Drawdown Largest peak-to-trough decline	-25.43%	-86.77%	+61.34%
Max Drawdown (1Y) Largest decline over 1 year	-9.10%	-23.58%	+14.48%
Max Drawdown (5Y) Largest decline over 5 years	-25.43%	-53.96%	+28.53%
Max Drawdown (10Y) Largest decline over 10 years	—	-77.60%	—
Current Drawdown Current decline from peak	-5.67%	-25.35%	+19.68%
Average Drawdown Average peak-to-trough decline	-6.03%	-41.03%	+35.00%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.62%	13.39%	-10.77%

Volatility

^XSP vs. BZ=F - Volatility Comparison

The current volatility for S&P 500 Mini-SPX Options Index (^XSP) is 5.29%, while Crude Oil Brent (BZ=F) has a volatility of 32.56%. This indicates that ^XSP experiences smaller price fluctuations and is considered to be less risky than BZ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^XSP	BZ=F	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.29%	32.56%	-27.27%
Volatility (6M) Calculated over the trailing 6-month period	9.55%	37.42%	-27.87%
Volatility (1Y) Calculated over the trailing 1-year period	18.33%	42.56%	-24.23%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.92%	35.84%	-18.92%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.88%	38.61%	-21.73%