XP vs. ^SP500TR
Compare and contrast key facts about XP Inc. (XP) and S&P 500 Total Return (^SP500TR).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XP or ^SP500TR.
Performance
XP vs. ^SP500TR - Performance Comparison
Returns By Period
In the year-to-date period, XP achieves a -40.47% return, which is significantly lower than ^SP500TR's 26.26% return.
XP
-40.47%
-13.78%
-15.97%
-30.91%
N/A
N/A
^SP500TR
26.26%
1.79%
13.68%
32.39%
15.71%
13.21%
Key characteristics
| XP | ^SP500TR | |
|---|---|---|
| Sharpe Ratio | -0.76 | 2.69 |
| Sortino Ratio | -0.92 | 3.59 |
| Omega Ratio | 0.88 | 1.50 |
| Calmar Ratio | -0.44 | 3.90 |
| Martin Ratio | -1.22 | 17.53 |
| Ulcer Index | 24.65% | 1.88% |
| Daily Std Dev | 39.47% | 12.24% |
| Max Drawdown | -79.19% | -55.25% |
| Current Drawdown | -67.94% | -0.81% |
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Correlation
The correlation between XP and ^SP500TR is 0.44, 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.
Risk-Adjusted Performance
XP vs. ^SP500TR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for XP Inc. (XP) and S&P 500 Total Return (^SP500TR). 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
XP vs. ^SP500TR - Drawdown Comparison
The maximum XP drawdown since its inception was -79.19%, which is greater than ^SP500TR's maximum drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for XP and ^SP500TR. For additional features, visit the drawdowns tool.
Volatility
XP vs. ^SP500TR - Volatility Comparison
XP Inc. (XP) has a higher volatility of 11.69% compared to S&P 500 Total Return (^SP500TR) at 3.95%. This indicates that XP's price experiences larger fluctuations and is considered to be riskier than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.