^XSP vs. XYLD
^XSP (S&P 500 Mini-SPX Options Index) is an index, while XYLD (Global X S&P 500 Covered Call ETF) is Derivative Income fund tracking the Cboe S&P 500 BuyWrite Index. Over the past 5 years, ^XSP returned 11.54%/yr vs 7.32%/yr for XYLD. Their correlation of 0.86 suggests significant overlap in exposure.
Performance
^XSP vs. XYLD - Performance Comparison
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Returns By Period
In the year-to-date period, ^XSP achieves a 7.60% return, which is significantly higher than XYLD's 4.54% return.
^XSP
- 1D
- -1.44%
- 1M
- -1.45%
- YTD
- 7.60%
- 6M
- 6.59%
- 1Y
- 22.24%
- 3Y*
- 19.20%
- 5Y*
- 11.54%
- 10Y*
- —
XYLD
- 1D
- -0.89%
- 1M
- 0.36%
- YTD
- 4.54%
- 6M
- 4.43%
- 1Y
- 16.08%
- 3Y*
- 11.33%
- 5Y*
- 7.32%
- 10Y*
- 8.36%
^XSP vs. XYLD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
^XSP S&P 500 Mini-SPX Options Index | 7.60% | 16.39% | 23.31% | 24.23% | -19.44% | 24.04% |
XYLD Global X S&P 500 Covered Call ETF | 4.54% | 8.02% | 19.49% | 11.10% | -12.05% | 18.16% |
Correlation
The correlation between ^XSP and XYLD is 0.88, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.88 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.85 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.86 |
Correlation (All Time) Calculated using the full available price history since Mar 1, 2021 | 0.86 |
The correlation between ^XSP and XYLD has been stable across timeframes, ranging from 0.85 to 0.88 - a consistent structural relationship.
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Return for Risk
^XSP vs. XYLD — Risk / Return Rank
^XSP
XYLD
^XSP vs. XYLD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Mini-SPX Options Index (^XSP) and Global X S&P 500 Covered Call ETF (XYLD). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^XSP | XYLD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.58 | ||
| Sortino ratioReturn per unit of downside risk | -0.90 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.54 | -0.22 |
| Calmar ratioReturn relative to maximum drawdown | 2.46 | 3.05 | -0.60 |
| Martin ratioReturn relative to average drawdown | 10.92 | 15.99 | -5.07 |
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Drawdowns
^XSP vs. XYLD - Drawdown Comparison
The maximum ^XSP drawdown since its inception was -25.43%, smaller than the maximum XYLD drawdown of -33.46%. Use the drawdown chart below to compare losses from any high point for ^XSP and XYLD.
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Drawdown Indicators
| ^XSP | XYLD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -25.43% | -33.46% | +8.03% |
Max Drawdown (1Y)Largest decline over 1 year | -9.10% | -5.29% | -3.81% |
Max Drawdown (3Y)Largest decline over 3 years | -18.90% | -15.53% | -3.37% |
Max Drawdown (5Y)Largest decline over 5 years | -25.43% | -18.66% | -6.77% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.46% | — |
Current DrawdownCurrent decline from peak | -3.21% | -0.93% | -2.28% |
Average DrawdownAverage peak-to-trough decline | -5.84% | -3.70% | -2.14% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.04% | 1.01% | +1.03% |
Volatility
^XSP vs. XYLD - Volatility Comparison
S&P 500 Mini-SPX Options Index (^XSP) has a higher volatility of 4.89% compared to Global X S&P 500 Covered Call ETF (XYLD) at 2.36%. This indicates that ^XSP's price experiences larger fluctuations and is considered to be riskier than XYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^XSP | XYLD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.89% | 2.36% | +2.53% |
Volatility (6M)Calculated over the trailing 6-month period | 9.93% | 5.83% | +4.10% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.57% | 6.86% | +5.71% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.00% | 11.26% | +5.74% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.82% | 14.19% | +2.63% |
Frequently Asked Questions
^XSP and XYLD have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^XSP has higher volatility (4.89%) compared to XYLD (2.36%). In terms of maximum drawdown, ^XSP dropped -25.43% vs XYLD's -33.46%.
XYLD currently has the higher Sharpe Ratio (2.36 vs 1.78), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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