PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^XSP vs. VIIIX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^XSP and VIIIX is 0.99, 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.


-0.50.00.51.01.0

Performance

^XSP vs. VIIIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 Mini-SPX Options Index (^XSP) and Vanguard Institutional Index Fund Institutional Plus Shares (VIIIX). The values are adjusted to include any dividend payments, if applicable.

30.00%35.00%40.00%45.00%50.00%55.00%JulyAugustSeptemberOctoberNovemberDecember
52.00%
50.08%
^XSP
VIIIX

Key characteristics

Sharpe Ratio

^XSP:

2.10

VIIIX:

2.08

Sortino Ratio

^XSP:

2.80

VIIIX:

2.77

Omega Ratio

^XSP:

1.39

VIIIX:

1.38

Calmar Ratio

^XSP:

3.09

VIIIX:

3.09

Martin Ratio

^XSP:

13.49

VIIIX:

13.43

Ulcer Index

^XSP:

1.94%

VIIIX:

1.95%

Daily Std Dev

^XSP:

12.52%

VIIIX:

12.58%

Max Drawdown

^XSP:

-25.43%

VIIIX:

-55.18%

Current Drawdown

^XSP:

-2.62%

VIIIX:

-2.57%

Returns By Period

In the year-to-date period, ^XSP achieves a 24.34% return, which is significantly lower than VIIIX's 25.65% return.


^XSP

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

N/A

10Y*

N/A

VIIIX

YTD

25.65%

1M

-0.19%

6M

9.24%

1Y

24.62%

5Y*

12.81%

10Y*

11.93%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^XSP vs. VIIIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Mini-SPX Options Index (^XSP) and Vanguard Institutional Index Fund Institutional Plus Shares (VIIIX). 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.


Sharpe ratio
The chart of Sharpe ratio for ^XSP, currently valued at 2.10, compared to the broader market0.001.002.002.102.08
The chart of Sortino ratio for ^XSP, currently valued at 2.80, compared to the broader market-1.000.001.002.003.002.802.77
The chart of Omega ratio for ^XSP, currently valued at 1.39, compared to the broader market0.901.001.101.201.301.401.391.38
The chart of Calmar ratio for ^XSP, currently valued at 3.09, compared to the broader market0.001.002.003.003.093.09
The chart of Martin ratio for ^XSP, currently valued at 13.49, compared to the broader market0.005.0010.0015.0020.0013.4913.43
^XSP
VIIIX

The current ^XSP Sharpe Ratio is 2.10, which is comparable to the VIIIX Sharpe Ratio of 2.08. The chart below compares the historical Sharpe Ratios of ^XSP and VIIIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.10
2.08
^XSP
VIIIX

Drawdowns

^XSP vs. VIIIX - Drawdown Comparison

The maximum ^XSP drawdown since its inception was -25.43%, smaller than the maximum VIIIX drawdown of -55.18%. Use the drawdown chart below to compare losses from any high point for ^XSP and VIIIX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.62%
-2.57%
^XSP
VIIIX

Volatility

^XSP vs. VIIIX - Volatility Comparison

S&P 500 Mini-SPX Options Index (^XSP) and Vanguard Institutional Index Fund Institutional Plus Shares (VIIIX) have volatilities of 3.79% and 3.79%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.79%
3.79%
^XSP
VIIIX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab