XDEV.L vs. ^GSPC
XDEV.L (Xtrackers MSCI World Value Factor UCITS ETF 1C) is Global Equities fund tracking the MSCI ACWI Value NR USD, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, XDEV.L returned 13.44%/yr vs 14.50%/yr for ^GSPC. A 0.52 correlation means they provide meaningful diversification when combined.
Performance
XDEV.L vs. ^GSPC - Performance Comparison
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Different Trading Currencies
XDEV.L is traded in GBp, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to GBp using the latest available exchange rates.
Returns By Period
In the year-to-date period, XDEV.L achieves a 34.49% return, which is significantly higher than ^GSPC's 11.24% return. Over the past 10 years, XDEV.L has underperformed ^GSPC with an annualized return of 13.44%, while ^GSPC has yielded a comparatively higher 14.50% annualized return.
XDEV.L
- 1D
- -0.91%
- 1M
- 13.12%
- YTD
- 34.49%
- 6M
- 37.39%
- 1Y
- 67.77%
- 3Y*
- 26.92%
- 5Y*
- 17.53%
- 10Y*
- 13.44%
^GSPC
- 1D
- 0.41%
- 1M
- 5.44%
- YTD
- 11.24%
- 6M
- 9.84%
- 1Y
- 28.25%
- 3Y*
- 18.03%
- 5Y*
- 13.60%
- 10Y*
- 14.50%
XDEV.L vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
XDEV.L Xtrackers MSCI World Value Factor UCITS ETF 1C | 34.49% | 30.51% | 6.79% | 13.25% | 1.01% | 21.67% | -6.88% | 14.56% | -9.23% | 11.91% |
^GSPC S&P 500 Index | 11.24% | 8.10% | 25.46% | 18.02% | -9.86% | 28.09% | 12.84% | 23.98% | -0.68% | 9.09% |
Correlation
The correlation between XDEV.L and ^GSPC is 0.49, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.49 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.37 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.40 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.49 |
Correlation (All Time) Calculated using the full available price history since Oct 20, 2014 | 0.52 |
The correlation between XDEV.L and ^GSPC shifts across timeframes, from 0.37 (3 years) to 0.52 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
XDEV.L vs. ^GSPC — Risk / Return Rank
XDEV.L
^GSPC
XDEV.L vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI World Value Factor UCITS ETF 1C (XDEV.L) 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.
| XDEV.L | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.61 | ||
| Sortino ratioReturn per unit of downside risk | +3.67 | ||
| Omega ratioGain probability vs. loss probability | 1.97 | 1.46 | +0.51 |
| Calmar ratioReturn relative to maximum drawdown | 9.75 | 3.53 | +6.21 |
| Martin ratioReturn relative to average drawdown | 37.53 | 13.19 | +24.33 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| XDEV.L | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 5.07 | 2.46 | +2.61 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.33 | 0.86 | +0.47 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.89 | 0.80 | +0.09 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.86 | 0.58 | +0.28 |
Drawdowns
XDEV.L vs. ^GSPC - Drawdown Comparison
The maximum XDEV.L drawdown since its inception was -28.20%, smaller than the maximum ^GSPC drawdown of -37.07%. Use the drawdown chart below to compare losses from any high point for XDEV.L and ^GSPC.
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Drawdown Indicators
| XDEV.L | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.20% | -37.07% | +8.87% |
Max Drawdown (1Y)Largest decline over 1 year | -6.92% | -8.03% | +1.11% |
Max Drawdown (3Y)Largest decline over 3 years | -14.00% | -22.15% | +8.15% |
Max Drawdown (5Y)Largest decline over 5 years | -14.00% | -22.15% | +8.15% |
Max Drawdown (10Y)Largest decline over 10 years | -28.20% | -26.01% | -2.19% |
Current DrawdownCurrent decline from peak | -0.91% | 0.00% | -0.91% |
Average DrawdownAverage peak-to-trough decline | -4.35% | -5.32% | +0.97% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.80% | 2.15% | -0.35% |
Volatility
XDEV.L vs. ^GSPC - Volatility Comparison
Xtrackers MSCI World Value Factor UCITS ETF 1C (XDEV.L) has a higher volatility of 5.42% compared to S&P 500 Index (^GSPC) at 2.60%. This indicates that XDEV.L'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
| XDEV.L | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.42% | 2.60% | +2.82% |
Volatility (6M)Calculated over the trailing 6-month period | 10.84% | 8.20% | +2.64% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.30% | 11.52% | +1.78% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.14% | 15.85% | -2.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.04% | 18.15% | -3.11% |
Frequently Asked Questions
XDEV.L and ^GSPC have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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