Comparing S&P 500 and MSCI EAFE Performance

CBOE launched option trading on the MSCI EAFE (MXEA) index a couple of months ago. MXEA represents the performance of developed equity markets outside of the United States. There are over 900 stocks contributing to the index that cover over 20 different developed countries.

As a former spread trader I always like to take a look at the performance of similar markets. Today I’m going to cover the relationship between MXEA and the S&P 500 (SPX). We have data going back to January 2000 so the first chart is a quick look at the monthly price changes for both MXEA and SPX.

SPX - MSCI EAFE

Both seem to trend in the same direction, but there are some extreme historical divergences that last for years.   I know more traders are interested in shorter time frames so I did a comparison of the distribution of MXEA versus SPX by month from January 2000 through June 2015.

SPX MXEA

The distribution above shows that the difference between MXEA and SPX performance has varied from SPX outperforming MXEA by over 6% and at times MXEA outperforming SPX by over 7%. The average difference between SPX and MXEA performance (higher or lower) is 1.98% over this time period.

If you have more interest in the MSCI markets traded at CBOE www.cboe.com/msci is a good place to start.

For information on the wide variety of indexes calculated and disseminated by MSCI visit www.msci.com