XDEV.L vs. ^GSPC
Compare and contrast key facts about Xtrackers MSCI World Value Factor UCITS ETF 1C (XDEV.L) and S&P 500 (^GSPC).
XDEV.L is a passively managed fund by DWS Investment S.A. (ETF) that tracks the performance of the MSCI ACWI Value 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: XDEV.L or ^GSPC.
Performance
XDEV.L vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, XDEV.L achieves a 7.21% return, which is significantly lower than ^GSPC's 23.56% return. Over the past 10 years, XDEV.L has underperformed ^GSPC with an annualized return of 8.27%, while ^GSPC has yielded a comparatively higher 11.10% annualized return.
XDEV.L
7.21%
0.11%
0.55%
13.24%
6.79%
8.27%
^GSPC
23.56%
0.49%
11.03%
30.56%
13.70%
11.10%
Key characteristics
| XDEV.L | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 1.15 | 2.51 |
| Sortino Ratio | 1.54 | 3.36 |
| Omega Ratio | 1.21 | 1.47 |
| Calmar Ratio | 1.53 | 3.62 |
| Martin Ratio | 5.51 | 16.12 |
| Ulcer Index | 2.15% | 1.91% |
| Daily Std Dev | 10.37% | 12.27% |
| Max Drawdown | -28.20% | -56.78% |
| Current Drawdown | -0.31% | -1.80% |
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Correlation
The correlation between XDEV.L 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.
Risk-Adjusted Performance
XDEV.L vs. ^GSPC - Risk-Adjusted Performance 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 (^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
XDEV.L vs. ^GSPC - Drawdown Comparison
The maximum XDEV.L drawdown since its inception was -28.20%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for XDEV.L and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
XDEV.L vs. ^GSPC - Volatility Comparison
The current volatility for Xtrackers MSCI World Value Factor UCITS ETF 1C (XDEV.L) is 3.29%, while S&P 500 (^GSPC) has a volatility of 4.06%. This indicates that XDEV.L 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.