^PUT vs. SPY
Compare and contrast key facts about CBOE S&P 500 PutWrite Index (^PUT) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^PUT or SPY.
Key characteristics
| ^PUT | SPY | |
|---|---|---|
| YTD Return | 11.70% | 16.89% |
| 1Y Return | 14.32% | 24.07% |
| 3Y Return (Ann) | 7.55% | 8.44% |
| 5Y Return (Ann) | 8.92% | 14.99% |
| 10Y Return (Ann) | 6.86% | 12.64% |
| Sharpe Ratio | 2.05 | 1.94 |
| Daily Std Dev | 6.92% | 12.53% |
| Max Drawdown | -28.93% | -55.19% |
| Current Drawdown | 0.00% | -2.26% |
Correlation
The correlation between ^PUT and SPY is 0.91, 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
^PUT vs. SPY - Performance Comparison
In the year-to-date period, ^PUT achieves a 11.70% return, which is significantly lower than SPY's 16.89% return. Over the past 10 years, ^PUT has underperformed SPY with an annualized return of 6.86%, while SPY has yielded a comparatively higher 12.64% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^PUT vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE S&P 500 PutWrite Index (^PUT) 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.
Drawdowns
^PUT vs. SPY - Drawdown Comparison
The maximum ^PUT drawdown since its inception was -28.93%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^PUT and SPY. For additional features, visit the drawdowns tool.
Volatility
^PUT vs. SPY - Volatility Comparison
The current volatility for CBOE S&P 500 PutWrite Index (^PUT) is 3.03%, while SPDR S&P 500 ETF (SPY) has a volatility of 5.52%. This indicates that ^PUT experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.