XMU.TO vs. ^GSPC
Compare and contrast key facts about iShares MSCI Min Vol USA Index ETF (XMU.TO) and S&P 500 (^GSPC).
XMU.TO is a passively managed fund by iShares that tracks the performance of the MSCI USA Minimum Volatility Index. It was launched on Jul 24, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XMU.TO or ^GSPC.
Key characteristics
| XMU.TO | ^GSPC | |
|---|---|---|
| YTD Return | 27.03% | 25.45% |
| 1Y Return | 28.51% | 35.64% |
| 3Y Return (Ann) | 10.25% | 8.55% |
| 5Y Return (Ann) | 9.81% | 14.13% |
| 10Y Return (Ann) | 12.94% | 11.39% |
| Sharpe Ratio | 3.54 | 2.90 |
| Sortino Ratio | 5.69 | 3.87 |
| Omega Ratio | 1.74 | 1.54 |
| Calmar Ratio | 8.94 | 4.19 |
| Martin Ratio | 27.06 | 18.72 |
| Ulcer Index | 1.05% | 1.90% |
| Daily Std Dev | 8.02% | 12.27% |
| Max Drawdown | -27.31% | -56.78% |
| Current Drawdown | -0.11% | -0.29% |
Correlation
The correlation between XMU.TO and ^GSPC is 0.74, 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
XMU.TO vs. ^GSPC - Performance Comparison
In the year-to-date period, XMU.TO achieves a 27.03% return, which is significantly higher than ^GSPC's 25.45% return. Over the past 10 years, XMU.TO has outperformed ^GSPC with an annualized return of 12.94%, while ^GSPC has yielded a comparatively lower 11.39% annualized return. 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
XMU.TO vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Min Vol USA Index ETF (XMU.TO) 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
XMU.TO vs. ^GSPC - Drawdown Comparison
The maximum XMU.TO drawdown since its inception was -27.31%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for XMU.TO and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
XMU.TO vs. ^GSPC - Volatility Comparison
The current volatility for iShares MSCI Min Vol USA Index ETF (XMU.TO) is 3.25%, while S&P 500 (^GSPC) has a volatility of 3.86%. This indicates that XMU.TO 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.