PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
DGT vs. XNTK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

DGT vs. XNTK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Global Dow ETF (DGT) and SPDR NYSE Technology ETF (XNTK). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.95%
7.88%
DGT
XNTK

Returns By Period

In the year-to-date period, DGT achieves a 16.08% return, which is significantly lower than XNTK's 22.80% return. Over the past 10 years, DGT has underperformed XNTK with an annualized return of 9.77%, while XNTK has yielded a comparatively higher 18.87% annualized return.


DGT

YTD

16.08%

1M

-1.81%

6M

4.95%

1Y

22.99%

5Y (annualized)

12.38%

10Y (annualized)

9.77%

XNTK

YTD

22.80%

1M

1.08%

6M

9.27%

1Y

34.05%

5Y (annualized)

21.63%

10Y (annualized)

18.87%

Key characteristics


DGTXNTK
Sharpe Ratio2.231.53
Sortino Ratio2.992.05
Omega Ratio1.401.27
Calmar Ratio3.412.00
Martin Ratio14.747.01
Ulcer Index1.63%4.81%
Daily Std Dev10.76%22.07%
Max Drawdown-55.36%-76.26%
Current Drawdown-2.06%-3.34%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DGT vs. XNTK - Expense Ratio Comparison

DGT has a 0.50% expense ratio, which is higher than XNTK's 0.35% expense ratio.


DGT
SPDR Global Dow ETF
Expense ratio chart for DGT: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for XNTK: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Correlation

-0.50.00.51.00.7

The correlation between DGT and XNTK is 0.66, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

DGT vs. XNTK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Global Dow ETF (DGT) and SPDR NYSE Technology ETF (XNTK). 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.


Sharpe ratio
The chart of Sharpe ratio for DGT, currently valued at 2.23, compared to the broader market0.002.004.002.231.54
The chart of Sortino ratio for DGT, currently valued at 2.99, compared to the broader market-2.000.002.004.006.008.0010.002.992.07
The chart of Omega ratio for DGT, currently valued at 1.40, compared to the broader market0.501.001.502.002.503.001.401.28
The chart of Calmar ratio for DGT, currently valued at 3.41, compared to the broader market0.005.0010.0015.003.412.02
The chart of Martin ratio for DGT, currently valued at 14.74, compared to the broader market0.0020.0040.0060.0080.00100.0014.747.08
DGT
XNTK

The current DGT Sharpe Ratio is 2.23, which is higher than the XNTK Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of DGT and XNTK, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.23
1.54
DGT
XNTK

Dividends

DGT vs. XNTK - Dividend Comparison

DGT's dividend yield for the trailing twelve months is around 2.30%, more than XNTK's 0.41% yield.


TTM20232022202120202019201820172016201520142013
DGT
SPDR Global Dow ETF
2.30%2.53%3.15%2.66%1.97%2.76%2.50%1.93%2.31%2.37%2.67%2.18%
XNTK
SPDR NYSE Technology ETF
0.41%0.34%0.85%0.34%0.30%0.61%29.64%1.29%0.81%0.93%0.87%1.05%

Drawdowns

DGT vs. XNTK - Drawdown Comparison

The maximum DGT drawdown since its inception was -55.36%, smaller than the maximum XNTK drawdown of -76.26%. Use the drawdown chart below to compare losses from any high point for DGT and XNTK. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.06%
-3.34%
DGT
XNTK

Volatility

DGT vs. XNTK - Volatility Comparison

The current volatility for SPDR Global Dow ETF (DGT) is 3.07%, while SPDR NYSE Technology ETF (XNTK) has a volatility of 5.64%. This indicates that DGT experiences smaller price fluctuations and is considered to be less risky than XNTK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
3.07%
5.64%
DGT
XNTK