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^XSP vs. BZ=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

^XSP vs. BZ=F

Last updated May 12, 2025

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.

Correlation

The correlation between ^XSP and BZ=F is 0.07, 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

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 Mini-SPX Options Index (^XSP) and Crude Oil Brent (BZ=F). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Daily Std Dev

^XSP:

16.60%

BZ=F:

28.26%

Max Drawdown

^XSP:

-1.40%

BZ=F:

-86.77%

Current Drawdown

^XSP:

0.00%

BZ=F:

-54.92%

Returns By Period

^XSP

YTD

N/A

1M

N/A

6M

N/A

1Y

N/A

5Y*

N/A

10Y*

N/A

BZ=F

YTD

-11.76%

1M

1.70%

6M

-10.84%

1Y

-20.45%

5Y*

16.59%

10Y*

-0.11%

*Annualized

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Risk-Adjusted Performance

^XSP vs. BZ=F — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
^XSP
The Risk-Adjusted Performance Rank of ^XSP is 6767
Overall Rank
The Sharpe Ratio Rank of ^XSP is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of ^XSP is 6464
Sortino Ratio Rank
The Omega Ratio Rank of ^XSP is 6969
Omega Ratio Rank
The Calmar Ratio Rank of ^XSP is 6868
Calmar Ratio Rank
The Martin Ratio Rank of ^XSP is 7474
Martin Ratio Rank
BZ=F
The Risk-Adjusted Performance Rank of BZ=F is 1414
Overall Rank
The Sharpe Ratio Rank of BZ=F is 1111
Sharpe Ratio Rank
The Sortino Ratio Rank of BZ=F is 1313
Sortino Ratio Rank
The Omega Ratio Rank of BZ=F is 1313
Omega Ratio Rank
The Calmar Ratio Rank of BZ=F is 1818
Calmar Ratio Rank
The Martin Ratio Rank of BZ=F is 1414
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^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.

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Drawdowns

^XSP vs. BZ=F - Drawdown Comparison

The maximum ^XSP drawdown since its inception was -1.40%, 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.

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Volatility

^XSP vs. BZ=F - Volatility Comparison

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