PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
XLSR vs. SPDV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

XLSR vs. SPDV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR SSGA US Sector Rotation ETF (XLSR) and AAM S&P 500 High Dividend Value ETF (SPDV). The values are adjusted to include any dividend payments, if applicable.

40.00%50.00%60.00%70.00%80.00%90.00%100.00%JuneJulyAugustSeptemberOctoberNovember
103.40%
63.50%
XLSR
SPDV

Returns By Period

In the year-to-date period, XLSR achieves a 19.51% return, which is significantly lower than SPDV's 21.58% return.


XLSR

YTD

19.51%

1M

3.94%

6M

9.60%

1Y

25.17%

5Y (annualized)

13.37%

10Y (annualized)

N/A

SPDV

YTD

21.58%

1M

4.09%

6M

17.95%

1Y

33.92%

5Y (annualized)

9.21%

10Y (annualized)

N/A

Key characteristics


XLSRSPDV
Sharpe Ratio1.902.59
Sortino Ratio2.553.71
Omega Ratio1.351.46
Calmar Ratio2.462.73
Martin Ratio10.5013.18
Ulcer Index2.40%2.57%
Daily Std Dev13.27%13.09%
Max Drawdown-32.94%-43.81%
Current Drawdown0.00%0.00%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


XLSR vs. SPDV - Expense Ratio Comparison

XLSR has a 0.70% expense ratio, which is higher than SPDV's 0.29% expense ratio.


XLSR
SPDR SSGA US Sector Rotation ETF
Expense ratio chart for XLSR: current value at 0.70% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.70%
Expense ratio chart for SPDV: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Correlation

-0.50.00.51.00.7

The correlation between XLSR and SPDV is 0.72, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

XLSR vs. SPDV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR SSGA US Sector Rotation ETF (XLSR) and AAM S&P 500 High Dividend Value ETF (SPDV). 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.


Sharpe ratio
The chart of Sharpe ratio for XLSR, currently valued at 1.90, compared to the broader market0.002.004.001.902.59
The chart of Sortino ratio for XLSR, currently valued at 2.55, compared to the broader market-2.000.002.004.006.008.0010.0012.002.553.71
The chart of Omega ratio for XLSR, currently valued at 1.35, compared to the broader market0.501.001.502.002.503.001.351.46
The chart of Calmar ratio for XLSR, currently valued at 2.46, compared to the broader market0.005.0010.0015.002.462.73
The chart of Martin ratio for XLSR, currently valued at 10.50, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.5013.18
XLSR
SPDV

The current XLSR Sharpe Ratio is 1.90, which is comparable to the SPDV Sharpe Ratio of 2.59. The chart below compares the historical Sharpe Ratios of XLSR and SPDV, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.90
2.59
XLSR
SPDV

Dividends

XLSR vs. SPDV - Dividend Comparison

XLSR's dividend yield for the trailing twelve months is around 0.52%, less than SPDV's 3.32% yield.


TTM2023202220212020201920182017
XLSR
SPDR SSGA US Sector Rotation ETF
0.52%1.04%1.79%6.06%1.25%0.94%0.00%0.00%
SPDV
AAM S&P 500 High Dividend Value ETF
3.32%3.95%3.73%3.08%3.90%3.54%3.64%0.28%

Drawdowns

XLSR vs. SPDV - Drawdown Comparison

The maximum XLSR drawdown since its inception was -32.94%, smaller than the maximum SPDV drawdown of -43.81%. Use the drawdown chart below to compare losses from any high point for XLSR and SPDV. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
XLSR
SPDV

Volatility

XLSR vs. SPDV - Volatility Comparison

SPDR SSGA US Sector Rotation ETF (XLSR) and AAM S&P 500 High Dividend Value ETF (SPDV) have volatilities of 3.63% and 3.75%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.63%
3.75%
XLSR
SPDV