^XSP vs. ^SPXEW
Compare and contrast key facts about S&P 500 Mini-SPX Options Index (^XSP) and S&P 500 Equal Weighted Index (^SPXEW).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^XSP or ^SPXEW.
Key characteristics
| ^XSP | ^SPXEW | |
|---|---|---|
| YTD Return | 22.49% | 14.97% |
| 1Y Return | 33.60% | 27.00% |
| 3Y Return (Ann) | 9.35% | 5.23% |
| Sharpe Ratio | 2.69 | 2.27 |
| Sortino Ratio | 3.58 | 3.16 |
| Omega Ratio | 1.49 | 1.40 |
| Calmar Ratio | 2.37 | 1.49 |
| Martin Ratio | 16.43 | 12.19 |
| Ulcer Index | 2.04% | 2.27% |
| Daily Std Dev | 12.50% | 12.18% |
| Max Drawdown | -25.43% | -60.83% |
| Current Drawdown | -0.30% | 0.00% |
Correlation
The correlation between ^XSP and ^SPXEW is 0.90, 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. ^SPXEW - Performance Comparison
In the year-to-date period, ^XSP achieves a 22.49% return, which is significantly higher than ^SPXEW's 14.97% 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. ^SPXEW - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Mini-SPX Options Index (^XSP) and S&P 500 Equal Weighted Index (^SPXEW). 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. ^SPXEW - Drawdown Comparison
The maximum ^XSP drawdown since its inception was -25.43%, smaller than the maximum ^SPXEW drawdown of -60.83%. Use the drawdown chart below to compare losses from any high point for ^XSP and ^SPXEW. For additional features, visit the drawdowns tool.
Volatility
^XSP vs. ^SPXEW - Volatility Comparison
S&P 500 Mini-SPX Options Index (^XSP) has a higher volatility of 3.03% compared to S&P 500 Equal Weighted Index (^SPXEW) at 2.72%. This indicates that ^XSP's price experiences larger fluctuations and is considered to be riskier than ^SPXEW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.