^XSP vs. XYLD
Compare and contrast key facts about S&P 500 Mini-SPX Options Index (^XSP) and Global X S&P 500 Covered Call ETF (XYLD).
XYLD is a passively managed fund by Global X that tracks the performance of the CBOE S&P 500 2% OTM BuyWrite Index. It was launched on Jun 24, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^XSP or XYLD.
Key characteristics
| ^XSP | XYLD | |
|---|---|---|
| YTD Return | 18.13% | 10.96% |
| 1Y Return | 28.75% | 13.48% |
| 3Y Return (Ann) | 7.92% | 4.43% |
| Sharpe Ratio | 2.16 | 1.72 |
| Daily Std Dev | 12.53% | 7.50% |
| Max Drawdown | -25.43% | -33.46% |
| Current Drawdown | -0.58% | 0.00% |
Correlation
The correlation between ^XSP and XYLD is 0.85, 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
^XSP vs. XYLD - Performance Comparison
In the year-to-date period, ^XSP achieves a 18.13% return, which is significantly higher than XYLD's 10.96% 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. XYLD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Mini-SPX Options Index (^XSP) and Global X S&P 500 Covered Call ETF (XYLD). 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. XYLD - Drawdown Comparison
The maximum ^XSP drawdown since its inception was -25.43%, smaller than the maximum XYLD drawdown of -33.46%. Use the drawdown chart below to compare losses from any high point for ^XSP and XYLD. For additional features, visit the drawdowns tool.
Volatility
^XSP vs. XYLD - Volatility Comparison
S&P 500 Mini-SPX Options Index (^XSP) has a higher volatility of 5.93% compared to Global X S&P 500 Covered Call ETF (XYLD) at 5.01%. This indicates that ^XSP's price experiences larger fluctuations and is considered to be riskier than XYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.