^XSP vs. SNPE
Compare and contrast key facts about S&P 500 Mini-SPX Options Index (^XSP) and Xtrackers S&P 500 ESG ETF (SNPE).
SNPE is a passively managed fund by Deutsche Bank that tracks the performance of the S&P 500 ESG Index. It was launched on Jun 26, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^XSP or SNPE.
Key characteristics
^XSP | SNPE | |
---|---|---|
YTD Return | 22.95% | 23.94% |
1Y Return | 37.09% | 38.15% |
3Y Return (Ann) | 9.10% | 11.73% |
Sharpe Ratio | 2.89 | 2.92 |
Sortino Ratio | 3.84 | 3.88 |
Omega Ratio | 1.53 | 1.53 |
Calmar Ratio | 2.54 | 3.70 |
Martin Ratio | 18.73 | 18.20 |
Ulcer Index | 1.92% | 2.04% |
Daily Std Dev | 12.41% | 12.72% |
Max Drawdown | -25.43% | -33.37% |
Current Drawdown | 0.00% | -0.07% |
Correlation
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
The year-to-date returns for both investments are quite close, with ^XSP having a 22.95% return and SNPE slightly higher at 23.94%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Volatility
^XSP vs. SNPE - Volatility Comparison
The current volatility for S&P 500 Mini-SPX Options Index (^XSP) is 2.57%, while Xtrackers S&P 500 ESG ETF (SNPE) has a volatility of 2.74%. 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.