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^XSP vs. ^SPXEW
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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.


-0.50.00.51.00.9

Performance

^XSP vs. ^SPXEW - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%AugustSeptemberOctoberNovemberDecember2025
5.95%
7.22%
^XSP
^SPXEW

Key characteristics

Sharpe Ratio

^XSP:

2.03

^SPXEW:

1.00

Sortino Ratio

^XSP:

2.71

^SPXEW:

1.44

Omega Ratio

^XSP:

1.37

^SPXEW:

1.18

Calmar Ratio

^XSP:

3.04

^SPXEW:

1.58

Martin Ratio

^XSP:

12.93

^SPXEW:

4.50

Ulcer Index

^XSP:

2.00%

^SPXEW:

2.55%

Daily Std Dev

^XSP:

12.72%

^SPXEW:

11.50%

Max Drawdown

^XSP:

-25.43%

^SPXEW:

-60.83%

Current Drawdown

^XSP:

-2.98%

^SPXEW:

-6.22%

Returns By Period

In the year-to-date period, ^XSP achieves a 0.47% return, which is significantly higher than ^SPXEW's 0.24% return.


^XSP

YTD

0.47%

1M

-2.98%

6M

5.95%

1Y

24.05%

5Y*

N/A

10Y*

N/A

^SPXEW

YTD

0.24%

1M

-5.00%

6M

7.22%

1Y

11.48%

5Y*

8.63%

10Y*

8.28%

*Annualized

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Risk-Adjusted Performance

^XSP vs. ^SPXEW — 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 8989
Overall Rank
The Sharpe Ratio Rank of ^XSP is 8888
Sharpe Ratio Rank
The Sortino Ratio Rank of ^XSP is 8888
Sortino Ratio Rank
The Omega Ratio Rank of ^XSP is 8888
Omega Ratio Rank
The Calmar Ratio Rank of ^XSP is 8989
Calmar Ratio Rank
The Martin Ratio Rank of ^XSP is 9292
Martin Ratio Rank

^SPXEW
The Risk-Adjusted Performance Rank of ^SPXEW is 5656
Overall Rank
The Sharpe Ratio Rank of ^SPXEW is 5454
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SPXEW is 5555
Sortino Ratio Rank
The Omega Ratio Rank of ^SPXEW is 5151
Omega Ratio Rank
The Calmar Ratio Rank of ^SPXEW is 6363
Calmar Ratio Rank
The Martin Ratio Rank of ^SPXEW is 5555
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. ^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.


The chart of Sharpe ratio for ^XSP, currently valued at 1.90, compared to the broader market0.001.002.001.901.00
The chart of Sortino ratio for ^XSP, currently valued at 2.55, compared to the broader market-1.000.001.002.003.002.551.44
The chart of Omega ratio for ^XSP, currently valued at 1.35, compared to the broader market0.901.001.101.201.301.401.351.18
The chart of Calmar ratio for ^XSP, currently valued at 2.83, compared to the broader market0.001.002.003.002.831.58
The chart of Martin ratio for ^XSP, currently valued at 12.05, compared to the broader market0.005.0010.0015.0012.054.50
^XSP
^SPXEW

The current ^XSP Sharpe Ratio is 2.03, which is higher than the ^SPXEW Sharpe Ratio of 1.00. The chart below compares the historical Sharpe Ratios of ^XSP and ^SPXEW, 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 Ratio0.001.002.003.004.00AugustSeptemberOctoberNovemberDecember2025
1.90
1.00
^XSP
^SPXEW

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.


-8.00%-6.00%-4.00%-2.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-2.98%
-6.22%
^XSP
^SPXEW

Volatility

^XSP vs. ^SPXEW - Volatility Comparison

S&P 500 Mini-SPX Options Index (^XSP) has a higher volatility of 4.45% compared to S&P 500 Equal Weighted Index (^SPXEW) at 3.93%. 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.


2.00%3.00%4.00%5.00%6.00%AugustSeptemberOctoberNovemberDecember2025
4.45%
3.93%
^XSP
^SPXEW