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XCLR vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between XCLR and ^GSPC 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

XCLR vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X S&P 500 Collar 95-110 ETF (XCLR) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.22%
7.29%
XCLR
^GSPC

Key characteristics

Sharpe Ratio

XCLR:

2.17

^GSPC:

1.90

Sortino Ratio

XCLR:

3.00

^GSPC:

2.54

Omega Ratio

XCLR:

1.40

^GSPC:

1.35

Calmar Ratio

XCLR:

0.56

^GSPC:

2.81

Martin Ratio

XCLR:

13.94

^GSPC:

12.39

Ulcer Index

XCLR:

1.54%

^GSPC:

1.93%

Daily Std Dev

XCLR:

9.87%

^GSPC:

12.58%

Max Drawdown

XCLR:

-46.74%

^GSPC:

-56.78%

Current Drawdown

XCLR:

-24.35%

^GSPC:

-3.58%

Returns By Period

In the year-to-date period, XCLR achieves a 20.89% return, which is significantly lower than ^GSPC's 23.11% return.


XCLR

YTD

20.89%

1M

-0.09%

6M

5.99%

1Y

21.01%

5Y*

N/A

10Y*

N/A

^GSPC

YTD

23.11%

1M

-0.36%

6M

7.02%

1Y

23.15%

5Y*

12.80%

10Y*

11.01%

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

XCLR vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X S&P 500 Collar 95-110 ETF (XCLR) and S&P 500 (^GSPC). 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 XCLR, currently valued at 2.17, compared to the broader market0.002.004.002.171.90
The chart of Sortino ratio for XCLR, currently valued at 3.00, compared to the broader market-2.000.002.004.006.008.0010.003.002.54
The chart of Omega ratio for XCLR, currently valued at 1.40, compared to the broader market0.501.001.502.002.503.001.401.35
The chart of Calmar ratio for XCLR, currently valued at 0.56, compared to the broader market0.005.0010.0015.000.562.81
The chart of Martin ratio for XCLR, currently valued at 13.94, compared to the broader market0.0020.0040.0060.0080.00100.0013.9412.39
XCLR
^GSPC

The current XCLR Sharpe Ratio is 2.17, which is comparable to the ^GSPC Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of XCLR and ^GSPC, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.17
1.90
XCLR
^GSPC

Drawdowns

XCLR vs. ^GSPC - Drawdown Comparison

The maximum XCLR drawdown since its inception was -46.74%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for XCLR and ^GSPC. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-24.35%
-3.58%
XCLR
^GSPC

Volatility

XCLR vs. ^GSPC - Volatility Comparison

The current volatility for Global X S&P 500 Collar 95-110 ETF (XCLR) is 3.37%, while S&P 500 (^GSPC) has a volatility of 3.64%. This indicates that XCLR experiences smaller price fluctuations and is considered to be less risky than ^GSPC 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%JulyAugustSeptemberOctoberNovemberDecember
3.37%
3.64%
XCLR
^GSPC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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