XDEQ.DE vs. ^GSPC
Compare and contrast key facts about Xtrackers MSCI World Quality Factor UCITS ETF 1C (XDEQ.DE) and S&P 500 (^GSPC).
XDEQ.DE is a passively managed fund by Xtrackers that tracks the performance of the MSCI ACWI NR USD. It was launched on Sep 11, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XDEQ.DE or ^GSPC.
Key characteristics
| XDEQ.DE | ^GSPC | |
|---|---|---|
| YTD Return | 25.16% | 25.48% |
| 1Y Return | 30.74% | 33.14% |
| 3Y Return (Ann) | 9.54% | 8.55% |
| 5Y Return (Ann) | 13.39% | 13.96% |
| 10Y Return (Ann) | 14.34% | 11.39% |
| Sharpe Ratio | 2.74 | 2.91 |
| Sortino Ratio | 3.73 | 3.88 |
| Omega Ratio | 1.54 | 1.55 |
| Calmar Ratio | 3.94 | 4.20 |
| Martin Ratio | 17.02 | 18.80 |
| Ulcer Index | 1.82% | 1.90% |
| Daily Std Dev | 11.24% | 12.27% |
| Max Drawdown | -32.16% | -56.78% |
| Current Drawdown | 0.00% | -0.27% |
Correlation
The correlation between XDEQ.DE and ^GSPC is 0.55, 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.
Performance
XDEQ.DE vs. ^GSPC - Performance Comparison
The year-to-date returns for both investments are quite close, with XDEQ.DE having a 25.16% return and ^GSPC slightly higher at 25.48%. Over the past 10 years, XDEQ.DE has outperformed ^GSPC with an annualized return of 14.34%, while ^GSPC has yielded a comparatively lower 11.39% annualized 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
XDEQ.DE vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI World Quality Factor UCITS ETF 1C (XDEQ.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
XDEQ.DE vs. ^GSPC - Drawdown Comparison
The maximum XDEQ.DE drawdown since its inception was -32.16%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for XDEQ.DE and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
XDEQ.DE vs. ^GSPC - Volatility Comparison
The current volatility for Xtrackers MSCI World Quality Factor UCITS ETF 1C (XDEQ.DE) is 2.73%, while S&P 500 (^GSPC) has a volatility of 3.75%. This indicates that XDEQ.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.