XMV.TO vs. ^GSPC
Compare and contrast key facts about iShares MSCI Min Vol Canada Index ETF (XMV.TO) and S&P 500 (^GSPC).
XMV.TO is a passively managed fund by iShares that tracks the performance of the Morningstar Canada GR CAD. 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: XMV.TO or ^GSPC.
Key characteristics
| XMV.TO | ^GSPC | |
|---|---|---|
| YTD Return | 21.00% | 24.72% |
| 1Y Return | 25.31% | 32.12% |
| 3Y Return (Ann) | 8.94% | 8.33% |
| 5Y Return (Ann) | 9.63% | 13.81% |
| 10Y Return (Ann) | 8.72% | 11.31% |
| Sharpe Ratio | 3.20 | 2.66 |
| Sortino Ratio | 4.67 | 3.56 |
| Omega Ratio | 1.63 | 1.50 |
| Calmar Ratio | 6.47 | 3.81 |
| Martin Ratio | 23.07 | 17.03 |
| Ulcer Index | 1.09% | 1.90% |
| Daily Std Dev | 7.82% | 12.16% |
| Max Drawdown | -35.58% | -56.78% |
| Current Drawdown | -0.47% | -0.87% |
Correlation
The correlation between XMV.TO and ^GSPC is 0.58, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
XMV.TO vs. ^GSPC - Performance Comparison
In the year-to-date period, XMV.TO achieves a 21.00% return, which is significantly lower than ^GSPC's 24.72% return. Over the past 10 years, XMV.TO has underperformed ^GSPC with an annualized return of 8.72%, while ^GSPC has yielded a comparatively higher 11.31% 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
XMV.TO vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Min Vol Canada Index ETF (XMV.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
XMV.TO vs. ^GSPC - Drawdown Comparison
The maximum XMV.TO drawdown since its inception was -35.58%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for XMV.TO and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
XMV.TO vs. ^GSPC - Volatility Comparison
The current volatility for iShares MSCI Min Vol Canada Index ETF (XMV.TO) is 2.62%, while S&P 500 (^GSPC) has a volatility of 3.81%. This indicates that XMV.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.