^XSP vs. BZ=F
Compare and contrast key facts about S&P 500 Mini-SPX Options Index (^XSP) and Crude Oil Brent (BZ=F).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^XSP or BZ=F.
Key characteristics
| ^XSP | BZ=F | |
|---|---|---|
| YTD Return | 21.92% | -3.36% |
| 1Y Return | 32.96% | -16.95% |
| 3Y Return (Ann) | 9.19% | -4.00% |
| Sharpe Ratio | 2.74 | -0.14 |
| Sortino Ratio | 3.66 | -0.02 |
| Omega Ratio | 1.50 | 1.00 |
| Calmar Ratio | 2.43 | -0.07 |
| Martin Ratio | 16.81 | -0.36 |
| Ulcer Index | 2.04% | 9.95% |
| Daily Std Dev | 12.53% | 26.48% |
| Max Drawdown | -25.43% | -86.77% |
| Current Drawdown | -0.76% | -49.03% |
Correlation
The correlation between ^XSP and BZ=F is 0.11, 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.
Performance
^XSP vs. BZ=F - Performance Comparison
In the year-to-date period, ^XSP achieves a 21.92% return, which is significantly higher than BZ=F's -3.36% 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
^XSP vs. BZ=F - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Mini-SPX Options Index (^XSP) and Crude Oil Brent (BZ=F). 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
^XSP vs. BZ=F - Drawdown Comparison
The maximum ^XSP drawdown since its inception was -25.43%, smaller than the maximum BZ=F drawdown of -86.77%. Use the drawdown chart below to compare losses from any high point for ^XSP and BZ=F. For additional features, visit the drawdowns tool.
Volatility
^XSP vs. BZ=F - Volatility Comparison
The current volatility for S&P 500 Mini-SPX Options Index (^XSP) is 2.51%, while Crude Oil Brent (BZ=F) has a volatility of 11.49%. This indicates that ^XSP experiences smaller price fluctuations and is considered to be less risky than BZ=F based on this measure. The chart below showcases a comparison of their rolling one-month volatility.