XDAT vs. ^GSPC
Compare and contrast key facts about Franklin Exponential Data ETF (XDAT) and S&P 500 (^GSPC).
XDAT is an actively managed fund by Franklin Templeton. It was launched on Jan 12, 2021.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XDAT or ^GSPC.
Key characteristics
| XDAT | ^GSPC | |
|---|---|---|
| YTD Return | 19.77% | 25.48% |
| 1Y Return | 32.44% | 33.14% |
| 3Y Return (Ann) | -4.98% | 8.55% |
| Sharpe Ratio | 1.92 | 2.91 |
| Sortino Ratio | 2.51 | 3.88 |
| Omega Ratio | 1.34 | 1.55 |
| Calmar Ratio | 1.00 | 4.20 |
| Martin Ratio | 4.91 | 18.80 |
| Ulcer Index | 7.47% | 1.90% |
| Daily Std Dev | 19.09% | 12.27% |
| Max Drawdown | -54.87% | -56.78% |
| Current Drawdown | -15.61% | -0.27% |
Correlation
The correlation between XDAT and ^GSPC is 0.77, 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.
Performance
XDAT vs. ^GSPC - Performance Comparison
In the year-to-date period, XDAT achieves a 19.77% return, which is significantly lower than ^GSPC's 25.48% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
XDAT vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Franklin Exponential Data ETF (XDAT) 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.
Drawdowns
XDAT vs. ^GSPC - Drawdown Comparison
The maximum XDAT drawdown since its inception was -54.87%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for XDAT and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
XDAT vs. ^GSPC - Volatility Comparison
Franklin Exponential Data ETF (XDAT) has a higher volatility of 4.77% compared to S&P 500 (^GSPC) at 3.75%. This indicates that XDAT's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.