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 16.73%/yr vs 13.56%/yr for ^GSPC. A 0.57 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 29.03% return, which is significantly higher than ^GSPC's 11.08% return. Over the past 10 years, XDEM.DE has outperformed ^GSPC with an annualized return of 16.73%, while ^GSPC has yielded a comparatively lower 13.56% annualized return.
XDEM.DE
- 1D
- 1.63%
- 1M
- 6.79%
- YTD
- 29.03%
- 6M
- 28.98%
- 1Y
- 40.31%
- 3Y*
- 28.45%
- 5Y*
- 15.28%
- 10Y*
- 16.73%
^GSPC
- 1D
- -0.08%
- 1M
- 0.13%
- YTD
- 11.08%
- 6M
- 9.99%
- 1Y
- 23.85%
- 3Y*
- 17.70%
- 5Y*
- 12.53%
- 10Y*
- 13.56%
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 | 29.03% | 8.09% | 38.22% | 8.18% | -13.65% | 24.74% | 16.54% | 31.58% | 0.81% | 16.07% |
^GSPC S&P 500 Index | 11.08% | 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 | 0.57 |
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 | +0.34 | ||
| Sortino ratioReturn per unit of downside risk | +0.77 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.35 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 4.45 | 3.17 | +1.29 |
| Martin ratioReturn relative to average drawdown | 16.95 | 11.71 | +5.23 |
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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 -51.62%. 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% | -51.62% | +20.68% |
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 | -1.24% | -1.08% | -0.16% |
Average DrawdownAverage peak-to-trough decline | -7.38% | -9.08% | +1.70% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.37% | 2.04% | +0.33% |
Volatility
XDEM.DE vs. ^GSPC - Volatility Comparison
Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.DE) has a higher volatility of 6.97% compared to S&P 500 Index (^GSPC) at 3.97%. 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 | 6.97% | 3.97% | +3.00% |
Volatility (6M)Calculated over the trailing 6-month period | 15.01% | 9.16% | +5.85% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.90% | 12.60% | +5.30% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.51% | 16.86% | +0.65% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.14% | 18.61% | -0.47% |
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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