The X-ray spectral variability of Active Galactic Nuclei typically follows a �softer when brighter� trend, which is believed to be originated mainly from the superposition of different spectral components, varying independently from each other, although some intrinsic variations of the continuum are also possible. We analyzed the MEXSAS sample, made up by more than 7800 observations from 2700 quasars from the fifth release of the XMM-Newton Serendipitous Source Catalogue (3XMM-SSC), cross-matched with two quasar catalogues, SDSS-DR7Q and DR12Q. We developed a technique that is able to compute estimates of the photon index from approximate spectral fits, using the fluxes in the catalogue. We find an ensemble softer when brighter trend, extending therefore this result to quasars, and the same result is found for eight single sources extracted from the catalogue, plus one (PG 1114+445) discarded because of the presence of a prominent warm absorber. To quantify the effect of many spectral features such as absorbers, reflection and soft excess, we investigated a sample of nearby X-ray bright sources, for which it is possible to obtain accurate photon indices. We compute both the accurate and approximate photon indices and we confront the results obtained with both methods. Finally, we studied the spectra of 13 observations of PG 1114+445, finding multiple absorbers: a moderately ionized warm absorber (WA), a highly ionized, ultra-fast outflow (UFO), with velocity of about 15% of the speed of light, detected in four observations, and a second UFO, with much lower ionization and column density. Given the compatibility of the velocity of this absorber with the high-ionization UFO, and the other parameters with the WA, this is likely due to the UFO entraining the WA, pushing the gas at comparable velocities.