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XMU.TO vs. XUS.TO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XMU.TOXUS.TO
YTD Return27.08%33.13%
1Y Return29.55%40.55%
3Y Return (Ann)10.72%14.10%
5Y Return (Ann)10.01%16.82%
10Y Return (Ann)12.86%15.41%
Sharpe Ratio3.553.55
Sortino Ratio5.684.90
Omega Ratio1.731.68
Calmar Ratio9.035.10
Martin Ratio27.3324.94
Ulcer Index1.05%1.59%
Daily Std Dev8.08%11.15%
Max Drawdown-27.31%-27.23%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.7

The correlation between XMU.TO and XUS.TO 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

XMU.TO vs. XUS.TO - Performance Comparison

In the year-to-date period, XMU.TO achieves a 27.08% return, which is significantly lower than XUS.TO's 33.13% return. Over the past 10 years, XMU.TO has underperformed XUS.TO with an annualized return of 12.86%, while XUS.TO has yielded a comparatively higher 15.41% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.46%
15.45%
XMU.TO
XUS.TO

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


XMU.TO vs. XUS.TO - Expense Ratio Comparison

XMU.TO has a 0.33% expense ratio, which is higher than XUS.TO's 0.09% expense ratio.


XMU.TO
iShares MSCI Min Vol USA Index ETF
Expense ratio chart for XMU.TO: current value at 0.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.33%
Expense ratio chart for XUS.TO: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

XMU.TO vs. XUS.TO - 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 iShares Core S&P 500 Index ETF (XUS.TO). 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.


XMU.TO
Sharpe ratio
The chart of Sharpe ratio for XMU.TO, currently valued at 3.38, compared to the broader market-2.000.002.004.003.38
Sortino ratio
The chart of Sortino ratio for XMU.TO, currently valued at 5.06, compared to the broader market-2.000.002.004.006.008.0010.0012.005.06
Omega ratio
The chart of Omega ratio for XMU.TO, currently valued at 1.65, compared to the broader market1.001.502.002.503.001.65
Calmar ratio
The chart of Calmar ratio for XMU.TO, currently valued at 2.85, compared to the broader market0.005.0010.0015.002.85
Martin ratio
The chart of Martin ratio for XMU.TO, currently valued at 21.74, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.74
XUS.TO
Sharpe ratio
The chart of Sharpe ratio for XUS.TO, currently valued at 3.18, compared to the broader market-2.000.002.004.003.18
Sortino ratio
The chart of Sortino ratio for XUS.TO, currently valued at 4.30, compared to the broader market-2.000.002.004.006.008.0010.0012.004.30
Omega ratio
The chart of Omega ratio for XUS.TO, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for XUS.TO, currently valued at 4.60, compared to the broader market0.005.0010.0015.004.60
Martin ratio
The chart of Martin ratio for XUS.TO, currently valued at 21.11, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.11

XMU.TO vs. XUS.TO - Sharpe Ratio Comparison

The current XMU.TO Sharpe Ratio is 3.55, which is comparable to the XUS.TO Sharpe Ratio of 3.55. The chart below compares the historical Sharpe Ratios of XMU.TO and XUS.TO, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.38
3.18
XMU.TO
XUS.TO

Dividends

XMU.TO vs. XUS.TO - Dividend Comparison

XMU.TO's dividend yield for the trailing twelve months is around 1.13%, more than XUS.TO's 0.95% yield.


TTM20232022202120202019201820172016201520142013
XMU.TO
iShares MSCI Min Vol USA Index ETF
1.13%1.41%1.17%1.06%1.68%1.44%1.48%1.59%1.83%1.43%4.96%1.30%
XUS.TO
iShares Core S&P 500 Index ETF
0.95%1.22%1.38%0.99%1.35%2.02%1.77%1.48%1.66%1.70%1.36%1.07%

Drawdowns

XMU.TO vs. XUS.TO - Drawdown Comparison

The maximum XMU.TO drawdown since its inception was -27.31%, roughly equal to the maximum XUS.TO drawdown of -27.23%. Use the drawdown chart below to compare losses from any high point for XMU.TO and XUS.TO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
XMU.TO
XUS.TO

Volatility

XMU.TO vs. XUS.TO - Volatility Comparison

The current volatility for iShares MSCI Min Vol USA Index ETF (XMU.TO) is 3.26%, while iShares Core S&P 500 Index ETF (XUS.TO) has a volatility of 3.85%. This indicates that XMU.TO experiences smaller price fluctuations and is considered to be less risky than XUS.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.26%
3.85%
XMU.TO
XUS.TO