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 15.65%/yr vs 13.40%/yr for ^GSPC. At a 0.47 correlation, their price movements are largely independent.
Performance
XDEM.DE vs. ^GSPC - Performance Comparison
Loading charts...
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 22.76% return, which is significantly higher than ^GSPC's 12.06% return. Over the past 10 years, XDEM.DE has outperformed ^GSPC with an annualized return of 15.65%, while ^GSPC has yielded a comparatively lower 13.40% annualized return.
XDEM.DE
- 1D
- -0.95%
- 1M
- 8.67%
- YTD
- 22.76%
- 6M
- 23.73%
- 1Y
- 31.52%
- 3Y*
- 26.15%
- 5Y*
- 14.74%
- 10Y*
- 15.65%
^GSPC
- 1D
- 0.27%
- 1M
- 5.17%
- YTD
- 12.06%
- 6M
- 10.90%
- 1Y
- 24.89%
- 3Y*
- 17.85%
- 5Y*
- 13.43%
- 10Y*
- 13.40%
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 | 22.76% | 8.09% | 38.24% | 8.17% | -13.85% | 25.04% | 16.52% | 31.63% | 0.79% | 16.07% |
^GSPC S&P 500 Index | 12.06% | 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 0.56, 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 | 0.56 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.55 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.51 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.51 |
Correlation (All Time) Calculated using the full available price history since Oct 2, 2014 | 0.47 |
The correlation between XDEM.DE and ^GSPC has been stable across timeframes, ranging from 0.47 to 0.56 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
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.
| XDEM.DE | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.17 | ||
| Sortino ratioReturn per unit of downside risk | +0.15 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.37 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 3.47 | 3.30 | +0.16 |
| Martin ratioReturn relative to average drawdown | 13.27 | 12.34 | +0.93 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading charts...
Sharpe Ratios by Period
| XDEM.DE | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.86 | 2.04 | -0.17 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.84 | 0.80 | +0.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.94 | 0.72 | +0.21 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.90 | 0.51 | +0.39 |
Drawdowns
XDEM.DE vs. ^GSPC - Drawdown Comparison
The maximum XDEM.DE drawdown since its inception was -30.93%, 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.
Loading charts...
Drawdown Indicators
| XDEM.DE | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.93% | -51.62% | +20.69% |
Max Drawdown (1Y)Largest decline over 1 year | -9.05% | -7.57% | -1.48% |
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 | -30.93% | -33.42% | +2.49% |
Current DrawdownCurrent decline from peak | -0.95% | -0.20% | -0.75% |
Average DrawdownAverage peak-to-trough decline | -5.97% | -9.08% | +3.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.36% | 2.02% | +0.34% |
Volatility
XDEM.DE vs. ^GSPC - Volatility Comparison
Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.DE) has a higher volatility of 5.80% compared to S&P 500 Index (^GSPC) at 2.24%. 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.
Loading charts...
Volatility by Period
| XDEM.DE | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.80% | 2.24% | +3.56% |
Volatility (6M)Calculated over the trailing 6-month period | 14.20% | 8.62% | +5.58% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.85% | 12.29% | +4.56% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.30% | 16.79% | +0.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.85% | 18.59% | -0.74% |
Frequently Asked Questions
XDEM.DE and ^GSPC have a correlation of 0.56, 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
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer