Correlation
The correlation between ^XSP and BZ=F is 0.13, 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.
^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.
Performance
^XSP vs. BZ=F - Performance Comparison
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Key characteristics
^XSP:
0.66
BZ=F:
-0.81
^XSP:
0.94
BZ=F:
-1.06
^XSP:
1.14
BZ=F:
0.88
^XSP:
0.60
BZ=F:
-0.40
^XSP:
2.28
BZ=F:
-1.43
^XSP:
5.01%
BZ=F:
16.47%
^XSP:
19.77%
BZ=F:
28.30%
^XSP:
-25.43%
BZ=F:
-86.77%
^XSP:
-3.78%
BZ=F:
-57.09%
Returns By Period
In the year-to-date period, ^XSP achieves a 0.51% return, which is significantly higher than BZ=F's -16.01% return.
^XSP
0.51%
6.15%
-2.00%
12.92%
12.68%
N/A
N/A
BZ=F
-16.01%
-0.68%
-14.05%
-23.42%
-20.09%
12.15%
-0.44%
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Risk-Adjusted Performance
^XSP vs. BZ=F — Risk-Adjusted Performance Rank
^XSP
BZ=F
^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 -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.
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Volatility
^XSP vs. BZ=F - Volatility Comparison
The current volatility for S&P 500 Mini-SPX Options Index (^XSP) is 4.77%, while Crude Oil Brent (BZ=F) has a volatility of 7.22%. 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.
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