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CBOE vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CBOE and SPY is 0.32, 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.


-0.50.00.51.00.3

Performance

CBOE vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cboe Global Markets, Inc. (CBOE) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

500.00%550.00%600.00%650.00%700.00%750.00%JulyAugustSeptemberOctoberNovemberDecember
654.44%
590.16%
CBOE
SPY

Key characteristics

Sharpe Ratio

CBOE:

0.54

SPY:

2.21

Sortino Ratio

CBOE:

0.91

SPY:

2.93

Omega Ratio

CBOE:

1.10

SPY:

1.41

Calmar Ratio

CBOE:

0.79

SPY:

3.26

Martin Ratio

CBOE:

1.72

SPY:

14.43

Ulcer Index

CBOE:

6.62%

SPY:

1.90%

Daily Std Dev

CBOE:

21.10%

SPY:

12.41%

Max Drawdown

CBOE:

-43.23%

SPY:

-55.19%

Current Drawdown

CBOE:

-11.79%

SPY:

-2.74%

Returns By Period

In the year-to-date period, CBOE achieves a 8.60% return, which is significantly lower than SPY's 25.54% return. Both investments have delivered pretty close results over the past 10 years, with CBOE having a 13.03% annualized return and SPY not far behind at 12.97%.


CBOE

YTD

8.60%

1M

-7.83%

6M

9.57%

1Y

10.11%

5Y*

11.66%

10Y*

13.03%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

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Risk-Adjusted Performance

CBOE vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cboe Global Markets, Inc. (CBOE) and SPDR S&P 500 ETF (SPY). 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.


Sharpe ratio
The chart of Sharpe ratio for CBOE, currently valued at 0.54, compared to the broader market-4.00-2.000.002.000.542.21
The chart of Sortino ratio for CBOE, currently valued at 0.91, compared to the broader market-4.00-2.000.002.004.000.912.93
The chart of Omega ratio for CBOE, currently valued at 1.10, compared to the broader market0.501.001.502.001.101.41
The chart of Calmar ratio for CBOE, currently valued at 0.79, compared to the broader market0.002.004.006.000.793.26
The chart of Martin ratio for CBOE, currently valued at 1.72, compared to the broader market-5.000.005.0010.0015.0020.0025.001.7214.43
CBOE
SPY

The current CBOE Sharpe Ratio is 0.54, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of CBOE and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.54
2.21
CBOE
SPY

Dividends

CBOE vs. SPY - Dividend Comparison

CBOE's dividend yield for the trailing twelve months is around 1.23%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
CBOE
Cboe Global Markets, Inc.
1.23%1.18%1.56%1.38%1.68%1.12%1.19%0.83%1.30%1.36%1.23%2.23%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

CBOE vs. SPY - Drawdown Comparison

The maximum CBOE drawdown since its inception was -43.23%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CBOE and SPY. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.79%
-2.74%
CBOE
SPY

Volatility

CBOE vs. SPY - Volatility Comparison

Cboe Global Markets, Inc. (CBOE) has a higher volatility of 6.36% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that CBOE's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
6.36%
3.72%
CBOE
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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