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XLSR vs. SPDV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XLSRSPDV
YTD Return19.07%18.43%
1Y Return28.77%34.56%
3Y Return (Ann)7.77%7.40%
5Y Return (Ann)13.55%8.51%
Sharpe Ratio2.152.53
Sortino Ratio2.883.66
Omega Ratio1.401.45
Calmar Ratio2.802.22
Martin Ratio11.9813.25
Ulcer Index2.39%2.57%
Daily Std Dev13.32%13.46%
Max Drawdown-32.94%-43.81%
Current Drawdown0.00%-1.08%

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.

Performance

XLSR vs. SPDV - Performance Comparison

The year-to-date returns for both stocks are quite close, with XLSR having a 19.07% return and SPDV slightly lower at 18.43%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.03%
13.21%
XLSR
SPDV

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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%

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.


XLSR
Sharpe ratio
The chart of Sharpe ratio for XLSR, currently valued at 2.15, compared to the broader market-2.000.002.004.006.002.15
Sortino ratio
The chart of Sortino ratio for XLSR, currently valued at 2.88, compared to the broader market-2.000.002.004.006.008.0010.0012.002.88
Omega ratio
The chart of Omega ratio for XLSR, currently valued at 1.40, compared to the broader market1.001.502.002.503.001.40
Calmar ratio
The chart of Calmar ratio for XLSR, currently valued at 2.80, compared to the broader market0.005.0010.0015.002.80
Martin ratio
The chart of Martin ratio for XLSR, currently valued at 11.98, compared to the broader market0.0020.0040.0060.0080.00100.0011.98
SPDV
Sharpe ratio
The chart of Sharpe ratio for SPDV, currently valued at 2.53, compared to the broader market-2.000.002.004.006.002.53
Sortino ratio
The chart of Sortino ratio for SPDV, currently valued at 3.66, compared to the broader market-2.000.002.004.006.008.0010.0012.003.66
Omega ratio
The chart of Omega ratio for SPDV, currently valued at 1.45, compared to the broader market1.001.502.002.503.001.45
Calmar ratio
The chart of Calmar ratio for SPDV, currently valued at 2.22, compared to the broader market0.005.0010.0015.002.22
Martin ratio
The chart of Martin ratio for SPDV, currently valued at 13.25, compared to the broader market0.0020.0040.0060.0080.00100.0013.25

XLSR vs. SPDV - Sharpe Ratio Comparison

The current XLSR Sharpe Ratio is 2.15, which is comparable to the SPDV Sharpe Ratio of 2.53. 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
2.15
2.53
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 3.40% 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
3.40%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%JuneJulyAugustSeptemberOctoberNovember0
-1.08%
XLSR
SPDV

Volatility

XLSR vs. SPDV - Volatility Comparison

The current volatility for SPDR SSGA US Sector Rotation ETF (XLSR) is 3.50%, while AAM S&P 500 High Dividend Value ETF (SPDV) has a volatility of 3.70%. This indicates that XLSR experiences smaller price fluctuations and is considered to be less risky than SPDV based on this measure. 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
3.50%
3.70%
XLSR
SPDV