^PUT vs. ^SP500TR
Compare and contrast key facts about CBOE S&P 500 PutWrite Index (^PUT) and S&P 500 Total Return (^SP500TR).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^PUT or ^SP500TR.
Key characteristics
| ^PUT | ^SP500TR | |
|---|---|---|
| YTD Return | 14.27% | 23.27% |
| 1Y Return | 17.00% | 34.90% |
| 3Y Return (Ann) | 7.61% | 10.91% |
| 5Y Return (Ann) | 9.11% | 16.07% |
| 10Y Return (Ann) | 7.74% | 14.02% |
| Sharpe Ratio | 3.09 | 2.90 |
| Sortino Ratio | 4.25 | 3.85 |
| Omega Ratio | 1.89 | 1.53 |
| Calmar Ratio | 3.46 | 3.14 |
| Martin Ratio | 24.89 | 18.04 |
| Ulcer Index | 0.79% | 2.01% |
| Daily Std Dev | 6.58% | 12.54% |
| Max Drawdown | -28.93% | -55.25% |
| Current Drawdown | 0.00% | -0.75% |
Correlation
The correlation between ^PUT and ^SP500TR is 0.90, 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. ^SP500TR - Performance Comparison
In the year-to-date period, ^PUT achieves a 14.27% return, which is significantly lower than ^SP500TR's 23.27% return. Over the past 10 years, ^PUT has underperformed ^SP500TR with an annualized return of 7.74%, while ^SP500TR has yielded a comparatively higher 14.02% 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. ^SP500TR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for CBOE S&P 500 PutWrite Index (^PUT) and S&P 500 Total Return (^SP500TR). 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. ^SP500TR - Drawdown Comparison
The maximum ^PUT drawdown since its inception was -28.93%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for ^PUT and ^SP500TR. For additional features, visit the drawdowns tool.
Volatility
^PUT vs. ^SP500TR - Volatility Comparison
The current volatility for CBOE S&P 500 PutWrite Index (^PUT) is 0.95%, while S&P 500 Total Return (^SP500TR) has a volatility of 3.02%. This indicates that ^PUT experiences smaller price fluctuations and is considered to be less risky than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.