SIE.DE vs. DAX
Compare and contrast key facts about Siemens Aktiengesellschaft (SIE.DE) and Global X DAX Germany ETF (DAX).
DAX is a passively managed fund by Global X that tracks the performance of the DAX Index. It was launched on Oct 22, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SIE.DE or DAX.
Performance
SIE.DE vs. DAX - Performance Comparison
Returns By Period
In the year-to-date period, SIE.DE achieves a 7.64% return, which is significantly lower than DAX's 8.20% return. Over the past 10 years, SIE.DE has outperformed DAX with an annualized return of 11.37%, while DAX has yielded a comparatively lower 4.58% annualized return.
SIE.DE
7.64%
-4.18%
2.42%
23.88%
14.66%
11.37%
DAX
8.20%
-5.74%
-1.48%
14.57%
6.03%
4.58%
Key characteristics
| SIE.DE | DAX | |
|---|---|---|
| Sharpe Ratio | 0.92 | 1.04 |
| Sortino Ratio | 1.32 | 1.48 |
| Omega Ratio | 1.18 | 1.18 |
| Calmar Ratio | 1.22 | 1.39 |
| Martin Ratio | 3.19 | 4.98 |
| Ulcer Index | 6.97% | 3.00% |
| Daily Std Dev | 23.91% | 14.40% |
| Max Drawdown | -73.81% | -45.58% |
| Current Drawdown | -5.61% | -6.89% |
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Correlation
The correlation between SIE.DE and DAX is 0.69, 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
SIE.DE vs. DAX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Siemens Aktiengesellschaft (SIE.DE) and Global X DAX Germany ETF (DAX). 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.
Dividends
SIE.DE vs. DAX - Dividend Comparison
SIE.DE's dividend yield for the trailing twelve months is around 2.64%, more than DAX's 2.35% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SIE.DE Siemens Aktiengesellschaft | 2.64% | 2.50% | 3.09% | 2.29% | 3.32% | 3.62% | 4.21% | 3.44% | 3.32% | 4.07% | 3.55% | 3.35% |
DAX Global X DAX Germany ETF | 2.35% | 2.48% | 2.80% | 2.65% | 2.25% | 2.47% | 3.33% | 1.73% | 1.78% | 1.41% | 0.00% | 0.00% |
Drawdowns
SIE.DE vs. DAX - Drawdown Comparison
The maximum SIE.DE drawdown since its inception was -73.81%, which is greater than DAX's maximum drawdown of -45.58%. Use the drawdown chart below to compare losses from any high point for SIE.DE and DAX. For additional features, visit the drawdowns tool.
Volatility
SIE.DE vs. DAX - Volatility Comparison
Siemens Aktiengesellschaft (SIE.DE) has a higher volatility of 9.61% compared to Global X DAX Germany ETF (DAX) at 4.92%. This indicates that SIE.DE's price experiences larger fluctuations and is considered to be riskier than DAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.