XDEM.DE vs. ^GSPC
XDEM.DE (Xtrackers MSCI World Momentum Factor UCITS ETF 1C) is Momentum fund tracking the MSCI World Momentum Index, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, XDEM.DE returned 15.09%/yr vs 12.91%/yr for ^GSPC. A 0.56 correlation means they provide meaningful diversification when combined.
Performance
XDEM.DE vs. ^GSPC - Performance Comparison
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Different Trading Currencies
XDEM.DE is traded in EUR, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to EUR using the latest available exchange rates.
Returns By Period
In the year-to-date period, XDEM.DE achieves a 21.07% return, which is significantly higher than ^GSPC's 13.20% return. Over the past 10 years, XDEM.DE has outperformed ^GSPC with an annualized return of 15.09%, while ^GSPC has yielded a comparatively lower 12.91% annualized return.
XDEM.DE
- 1D
- -2.21%
- 1M
- -3.87%
- 6M
- 17.21%
- YTD
- 21.07%
- 1Y
- 30.84%
- 3Y*
- 25.08%
- 5Y*
- 13.77%
- 10Y*
- 15.09%
^GSPC
- 1D
- 0.00%
- 1M
- 1.21%
- 6M
- 10.91%
- YTD
- 13.20%
- 1Y
- 22.56%
- 3Y*
- 18.02%
- 5Y*
- 12.47%
- 10Y*
- 12.91%
XDEM.DE vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
XDEM.DE Xtrackers MSCI World Momentum Factor UCITS ETF 1C | 21.07% | 8.09% | 38.22% | 8.18% | -13.65% | 24.74% | 16.54% | 31.58% | 0.81% | 16.07% |
^GSPC S&P 500 Index | 13.27% | 2.58% | 31.45% | 20.51% | -14.45% | 36.38% | 6.68% | 31.79% | -1.84% | 4.74% |
Correlation
The correlation between XDEM.DE and ^GSPC is 0.59, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.59 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.56 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.51 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.54 |
Correlation (All Time) Calculated using the full available price history since Sep 5, 2014 | 0.56 |
The correlation between XDEM.DE and ^GSPC has been stable across timeframes, ranging from 0.51 to 0.59 - a consistent structural relationship.
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Return for Risk
XDEM.DE vs. ^GSPC — Risk / Return Rank
XDEM.DE
^GSPC
XDEM.DE vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.DE) and S&P 500 Index (^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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| XDEM.DE | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.20 | ||
| Sortino ratioReturn per unit of downside risk | -0.02 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.33 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 3.41 | 3.00 | +0.41 |
| Martin ratioReturn relative to average drawdown | 11.60 | 11.06 | +0.53 |
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Drawdowns
XDEM.DE vs. ^GSPC - Drawdown Comparison
The maximum XDEM.DE drawdown since its inception was -30.94%, smaller than the maximum ^GSPC drawdown of -51.28%. Use the drawdown chart below to compare losses from any high point for XDEM.DE and ^GSPC.
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Drawdown Indicators
| XDEM.DE | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.94% | -51.28% | +20.34% |
Max Drawdown (1Y)Largest decline over 1 year | -9.01% | -7.57% | -1.44% |
Max Drawdown (3Y)Largest decline over 3 years | -23.51% | -23.99% | +0.48% |
Max Drawdown (5Y)Largest decline over 5 years | -23.51% | -23.99% | +0.48% |
Max Drawdown (10Y)Largest decline over 10 years | -30.94% | -33.42% | +2.48% |
Current DrawdownCurrent decline from peak | -7.34% | -0.58% | -6.76% |
Average DrawdownAverage peak-to-trough decline | -7.37% | -8.94% | +1.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.65% | 2.04% | +0.61% |
Volatility
XDEM.DE vs. ^GSPC - Volatility Comparison
Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.DE) has a higher volatility of 8.52% compared to S&P 500 Index (^GSPC) at 3.04%. This indicates that XDEM.DE'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.
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Volatility by Period
| XDEM.DE | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.52% | 3.04% | +5.48% |
Volatility (6M)Calculated over the trailing 6-month period | 16.46% | 9.17% | +7.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.23% | 12.60% | +6.63% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.76% | 16.85% | +0.91% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.25% | 18.60% | -0.35% |
Frequently Asked Questions
XDEM.DE and ^GSPC have a correlation of 0.59, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
Find the right allocation for XDEM.DE and ^GSPC
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