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

Key characteristics


^XSPTLT
YTD Return17.16%-2.84%
1Y Return22.68%-3.84%
3Y Return (Ann)8.92%-11.59%
Sharpe Ratio2.10-0.20
Daily Std Dev11.23%16.97%
Max Drawdown-25.43%-48.35%
Current Drawdown-1.39%-39.46%

Correlation

-0.50.00.51.00.1

The correlation between ^XSP and TLT is 0.06, 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.

Performance

^XSP vs. TLT - Performance Comparison

In the year-to-date period, ^XSP achieves a 17.16% return, which is significantly higher than TLT's -2.84% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-40.00%-20.00%0.00%20.00%40.00%FebruaryMarchAprilMayJuneJuly
43.22%
-26.92%
^XSP
TLT

Compare stocks, funds, or ETFs

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S&P 500 Mini-SPX Options Index

iShares 20+ Year Treasury Bond ETF

Risk-Adjusted Performance

^XSP vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Mini-SPX Options Index (^XSP) and iShares 20+ Year Treasury Bond ETF (TLT). 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
TLT
Sharpe ratio
The chart of Sharpe ratio for TLT, currently valued at -0.20, compared to the broader market0.001.002.00-0.20
Sortino ratio
The chart of Sortino ratio for TLT, currently valued at -0.17, compared to the broader market-1.000.001.002.003.00-0.17
Omega ratio
The chart of Omega ratio for TLT, currently valued at 0.98, compared to the broader market1.001.201.400.98
Calmar ratio
The chart of Calmar ratio for TLT, currently valued at -0.08, compared to the broader market0.001.002.003.004.005.00-0.08
Martin ratio
The chart of Martin ratio for TLT, currently valued at -0.37, compared to the broader market0.005.0010.0015.0020.00-0.37

^XSP vs. TLT - Sharpe Ratio Comparison

The current ^XSP Sharpe Ratio is 2.10, which is higher than the TLT Sharpe Ratio of -0.20. The chart below compares the 12-month rolling Sharpe Ratio of ^XSP and TLT.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00FebruaryMarchAprilMayJuneJuly
2.10
-0.20
^XSP
TLT

Drawdowns

^XSP vs. TLT - Drawdown Comparison

The maximum ^XSP drawdown since its inception was -25.43%, smaller than the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for ^XSP and TLT. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%FebruaryMarchAprilMayJuneJuly
-1.39%
-34.00%
^XSP
TLT

Volatility

^XSP vs. TLT - Volatility Comparison

The current volatility for S&P 500 Mini-SPX Options Index (^XSP) is 2.59%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 4.47%. This indicates that ^XSP experiences smaller price fluctuations and is considered to be less risky than TLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%FebruaryMarchAprilMayJuneJuly
2.59%
4.47%
^XSP
TLT