XDN0.L vs. ^GSPC
Compare and contrast key facts about Xtrackers MSCI Nordic UCITS ETF 1D (XDN0.L) and S&P 500 (^GSPC).
XDN0.L is a passively managed fund by Xtrackers that tracks the performance of the MSCI Nordic Countries NR EUR. It was launched on Sep 4, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XDN0.L or ^GSPC.
Key characteristics
| XDN0.L | ^GSPC | |
|---|---|---|
| YTD Return | -1.19% | 25.48% |
| 1Y Return | 8.02% | 33.14% |
| 3Y Return (Ann) | 1.04% | 8.55% |
| 5Y Return (Ann) | 10.54% | 13.96% |
| 10Y Return (Ann) | 11.90% | 11.39% |
| Sharpe Ratio | 0.47 | 2.91 |
| Sortino Ratio | 0.78 | 3.88 |
| Omega Ratio | 1.09 | 1.55 |
| Calmar Ratio | 0.51 | 4.20 |
| Martin Ratio | 1.46 | 18.80 |
| Ulcer Index | 4.34% | 1.90% |
| Daily Std Dev | 13.47% | 12.27% |
| Max Drawdown | -24.85% | -56.78% |
| Current Drawdown | -12.47% | -0.27% |
Correlation
The correlation between XDN0.L and ^GSPC is 0.40, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
XDN0.L vs. ^GSPC - Performance Comparison
In the year-to-date period, XDN0.L achieves a -1.19% return, which is significantly lower than ^GSPC's 25.48% return. Both investments have delivered pretty close results over the past 10 years, with XDN0.L having a 11.90% annualized return and ^GSPC not far behind at 11.39%. 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
XDN0.L vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI Nordic UCITS ETF 1D (XDN0.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
XDN0.L vs. ^GSPC - Drawdown Comparison
The maximum XDN0.L drawdown since its inception was -24.85%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for XDN0.L and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
XDN0.L vs. ^GSPC - Volatility Comparison
Xtrackers MSCI Nordic UCITS ETF 1D (XDN0.L) has a higher volatility of 4.68% compared to S&P 500 (^GSPC) at 3.75%. This indicates that XDN0.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.