XDEM.DE vs. ^GSPC
Compare and contrast key facts about Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.DE) and S&P 500 (^GSPC).
XDEM.DE is a passively managed fund by DWS Investment S.A. (ETF) that tracks the performance of the MSCI ACWI Growth NR USD. It was launched on Sep 5, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XDEM.DE or ^GSPC.
Performance
XDEM.DE vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, XDEM.DE achieves a 36.19% return, which is significantly higher than ^GSPC's 23.56% return. Over the past 10 years, XDEM.DE has outperformed ^GSPC with an annualized return of 16.16%, while ^GSPC has yielded a comparatively lower 11.10% annualized return.
XDEM.DE
36.19%
1.30%
10.01%
40.56%
13.43%
16.16%
^GSPC
23.56%
0.49%
11.03%
30.56%
13.70%
11.10%
Key characteristics
| XDEM.DE | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 2.35 | 2.51 |
| Sortino Ratio | 3.01 | 3.36 |
| Omega Ratio | 1.46 | 1.47 |
| Calmar Ratio | 2.74 | 3.62 |
| Martin Ratio | 11.13 | 16.12 |
| Ulcer Index | 3.55% | 1.91% |
| Daily Std Dev | 16.67% | 12.27% |
| Max Drawdown | -30.93% | -56.78% |
| Current Drawdown | -1.48% | -1.80% |
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Correlation
The correlation between XDEM.DE and ^GSPC is 0.48, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
XDEM.DE vs. ^GSPC - Risk-Adjusted Performance 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 (^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
XDEM.DE vs. ^GSPC - Drawdown Comparison
The maximum XDEM.DE drawdown since its inception was -30.93%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for XDEM.DE and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
XDEM.DE vs. ^GSPC - Volatility Comparison
The current volatility for Xtrackers MSCI World Momentum Factor UCITS ETF 1C (XDEM.DE) is 3.07%, while S&P 500 (^GSPC) has a volatility of 4.06%. This indicates that XDEM.DE 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.