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^XSP vs. SNPE
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^XSPSNPE
YTD Return17.16%19.10%
1Y Return22.68%25.29%
3Y Return (Ann)8.92%12.10%
Sharpe Ratio2.102.27
Daily Std Dev11.23%11.70%
Max Drawdown-25.43%-33.37%
Current Drawdown-1.39%-1.30%

Correlation

-0.50.00.51.01.0

The correlation between ^XSP and SNPE is 0.99, 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

^XSP vs. SNPE - Performance Comparison

In the year-to-date period, ^XSP achieves a 17.16% return, which is significantly lower than SNPE's 19.10% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


20.00%30.00%40.00%50.00%60.00%FebruaryMarchAprilMayJuneJuly
43.22%
58.76%
^XSP
SNPE

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


S&P 500 Mini-SPX Options Index

Xtrackers S&P 500 ESG ETF

Risk-Adjusted Performance

^XSP vs. SNPE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Mini-SPX Options Index (^XSP) and Xtrackers S&P 500 ESG ETF (SNPE). 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
Sharpe ratio
The chart of Sharpe ratio for ^XSP, currently valued at 2.10, compared to the broader market0.001.002.002.10
Sortino ratio
The chart of Sortino ratio for ^XSP, currently valued at 2.94, compared to the broader market-1.000.001.002.003.002.94
Omega ratio
The chart of Omega ratio for ^XSP, currently valued at 1.37, compared to the broader market1.001.201.401.37
Calmar ratio
The chart of Calmar ratio for ^XSP, currently valued at 1.66, compared to the broader market0.001.002.003.004.005.001.66
Martin ratio
The chart of Martin ratio for ^XSP, currently valued at 7.83, compared to the broader market0.005.0010.0015.0020.007.83
SNPE
Sharpe ratio
The chart of Sharpe ratio for SNPE, currently valued at 2.27, compared to the broader market0.001.002.002.27
Sortino ratio
The chart of Sortino ratio for SNPE, currently valued at 3.14, compared to the broader market-1.000.001.002.003.003.14
Omega ratio
The chart of Omega ratio for SNPE, currently valued at 1.40, compared to the broader market1.001.201.401.40
Calmar ratio
The chart of Calmar ratio for SNPE, currently valued at 2.64, compared to the broader market0.001.002.003.004.005.002.64
Martin ratio
The chart of Martin ratio for SNPE, currently valued at 9.08, compared to the broader market0.005.0010.0015.0020.009.08

^XSP vs. SNPE - Sharpe Ratio Comparison

The current ^XSP Sharpe Ratio is 2.10, which roughly equals the SNPE Sharpe Ratio of 2.27. The chart below compares the 12-month rolling Sharpe Ratio of ^XSP and SNPE.


Rolling 12-month Sharpe Ratio1.502.002.503.00FebruaryMarchAprilMayJuneJuly
2.10
2.27
^XSP
SNPE

Drawdowns

^XSP vs. SNPE - Drawdown Comparison

The maximum ^XSP drawdown since its inception was -25.43%, smaller than the maximum SNPE drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for ^XSP and SNPE. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-1.39%
-1.30%
^XSP
SNPE

Volatility

^XSP vs. SNPE - Volatility Comparison

The current volatility for S&P 500 Mini-SPX Options Index (^XSP) is 2.59%, while Xtrackers S&P 500 ESG ETF (SNPE) has a volatility of 2.75%. This indicates that ^XSP experiences smaller price fluctuations and is considered to be less risky than SNPE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
2.59%
2.75%
^XSP
SNPE