^XSP vs. TLT
Compare and contrast key facts about S&P 500 Mini-SPX Options Index (^XSP) and iShares 20+ Year Treasury Bond ETF (TLT).
TLT is a passively managed fund by iShares that tracks the performance of the Barclays Capital U.S. 20+ Year Treasury Bond Index. It was launched on Jul 26, 2002.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^XSP or TLT.
Key characteristics
| ^XSP | TLT | |
|---|---|---|
| YTD Return | 22.95% | -2.22% |
| 1Y Return | 37.09% | 17.97% |
| 3Y Return (Ann) | 9.10% | -10.60% |
| Sharpe Ratio | 2.89 | 1.00 |
| Sortino Ratio | 3.84 | 1.50 |
| Omega Ratio | 1.53 | 1.17 |
| Calmar Ratio | 2.54 | 0.32 |
| Martin Ratio | 18.73 | 2.77 |
| Ulcer Index | 1.92% | 5.61% |
| Daily Std Dev | 12.41% | 15.48% |
| Max Drawdown | -25.43% | -48.35% |
| Current Drawdown | 0.00% | -39.07% |
Correlation
The correlation between ^XSP and TLT is 0.05, 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 22.95% return, which is significantly higher than TLT's -2.22% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
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.
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.
Volatility
^XSP vs. TLT - Volatility Comparison
The current volatility for S&P 500 Mini-SPX Options Index (^XSP) is 2.57%, while iShares 20+ Year Treasury Bond ETF (TLT) has a volatility of 3.11%. 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.