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

Key characteristics


^XSPVIIIX
YTD Return17.16%18.04%
1Y Return22.68%24.52%
3Y Return (Ann)8.92%10.61%
Sharpe Ratio2.102.26
Daily Std Dev11.23%11.24%
Max Drawdown-25.43%-55.18%
Current Drawdown-1.39%-1.39%

Correlation

-0.50.00.51.01.0

The correlation between ^XSP and VIIIX is 1.00, 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. VIIIX - Performance Comparison

In the year-to-date period, ^XSP achieves a 17.16% return, which is significantly lower than VIIIX's 18.04% 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%25.00%30.00%35.00%40.00%45.00%50.00%55.00%FebruaryMarchAprilMayJuneJuly
43.22%
50.75%
^XSP
VIIIX

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S&P 500 Mini-SPX Options Index

Vanguard Institutional Index Fund Institutional Plus Shares

Risk-Adjusted Performance

^XSP vs. VIIIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Mini-SPX Options Index (^XSP) and Vanguard Institutional Index Fund Institutional Plus Shares (VIIIX). 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
VIIIX
Sharpe ratio
The chart of Sharpe ratio for VIIIX, currently valued at 2.26, compared to the broader market0.001.002.002.26
Sortino ratio
The chart of Sortino ratio for VIIIX, currently valued at 3.16, compared to the broader market-1.000.001.002.003.003.16
Omega ratio
The chart of Omega ratio for VIIIX, currently valued at 1.40, compared to the broader market1.001.201.401.40
Calmar ratio
The chart of Calmar ratio for VIIIX, currently valued at 2.18, compared to the broader market0.001.002.003.004.005.002.18
Martin ratio
The chart of Martin ratio for VIIIX, currently valued at 8.84, compared to the broader market0.005.0010.0015.0020.008.84

^XSP vs. VIIIX - Sharpe Ratio Comparison

The current ^XSP Sharpe Ratio is 2.10, which roughly equals the VIIIX Sharpe Ratio of 2.26. The chart below compares the 12-month rolling Sharpe Ratio of ^XSP and VIIIX.


Rolling 12-month Sharpe Ratio1.502.002.503.00FebruaryMarchAprilMayJuneJuly
2.10
2.26
^XSP
VIIIX

Drawdowns

^XSP vs. VIIIX - Drawdown Comparison

The maximum ^XSP drawdown since its inception was -25.43%, smaller than the maximum VIIIX drawdown of -55.18%. Use the drawdown chart below to compare losses from any high point for ^XSP and VIIIX. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-1.39%
-1.39%
^XSP
VIIIX

Volatility

^XSP vs. VIIIX - Volatility Comparison

S&P 500 Mini-SPX Options Index (^XSP) and Vanguard Institutional Index Fund Institutional Plus Shares (VIIIX) have volatilities of 2.59% and 2.59%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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%
2.59%
^XSP
VIIIX