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

Key characteristics


^XSPTGT
YTD Return17.16%11.06%
1Y Return22.68%23.21%
3Y Return (Ann)8.92%-12.60%
Sharpe Ratio2.100.74
Daily Std Dev11.23%32.47%
Max Drawdown-25.43%-62.96%
Current Drawdown-1.39%-37.41%

Correlation

-0.50.00.51.00.5

The correlation between ^XSP and TGT is 0.50, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

^XSP vs. TGT - Performance Comparison

In the year-to-date period, ^XSP achieves a 17.16% return, which is significantly higher than TGT's 11.06% 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%0.00%20.00%40.00%FebruaryMarchAprilMayJuneJuly
43.22%
-9.49%
^XSP
TGT

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S&P 500 Mini-SPX Options Index

Target Corporation

Risk-Adjusted Performance

^XSP vs. TGT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Mini-SPX Options Index (^XSP) and Target Corporation (TGT). 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
TGT
Sharpe ratio
The chart of Sharpe ratio for TGT, currently valued at 0.74, compared to the broader market0.001.002.000.74
Sortino ratio
The chart of Sortino ratio for TGT, currently valued at 1.48, compared to the broader market-1.000.001.002.003.001.48
Omega ratio
The chart of Omega ratio for TGT, currently valued at 1.18, compared to the broader market1.001.201.401.18
Calmar ratio
The chart of Calmar ratio for TGT, currently valued at 0.41, compared to the broader market0.001.002.003.004.005.000.41
Martin ratio
The chart of Martin ratio for TGT, currently valued at 2.23, compared to the broader market0.005.0010.0015.0020.002.23

^XSP vs. TGT - Sharpe Ratio Comparison

The current ^XSP Sharpe Ratio is 2.10, which is higher than the TGT Sharpe Ratio of 0.74. The chart below compares the 12-month rolling Sharpe Ratio of ^XSP and TGT.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00FebruaryMarchAprilMayJuneJuly
2.10
0.74
^XSP
TGT

Drawdowns

^XSP vs. TGT - Drawdown Comparison

The maximum ^XSP drawdown since its inception was -25.43%, smaller than the maximum TGT drawdown of -62.96%. Use the drawdown chart below to compare losses from any high point for ^XSP and TGT. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%FebruaryMarchAprilMayJuneJuly
-1.39%
-37.41%
^XSP
TGT

Volatility

^XSP vs. TGT - Volatility Comparison

The current volatility for S&P 500 Mini-SPX Options Index (^XSP) is 2.59%, while Target Corporation (TGT) has a volatility of 7.22%. This indicates that ^XSP experiences smaller price fluctuations and is considered to be less risky than TGT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%FebruaryMarchAprilMayJuneJuly
2.59%
7.22%
^XSP
TGT