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XRMI vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between XRMI and SPY is 0.77, 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.


-0.50.00.51.00.8

Performance

XRMI vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X S&P 500 Risk Managed Income ETF (XRMI) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
5.50%
38.88%
XRMI
SPY

Key characteristics

Sharpe Ratio

XRMI:

2.70

SPY:

2.21

Sortino Ratio

XRMI:

3.99

SPY:

2.93

Omega Ratio

XRMI:

1.58

SPY:

1.41

Calmar Ratio

XRMI:

1.42

SPY:

3.26

Martin Ratio

XRMI:

18.52

SPY:

14.43

Ulcer Index

XRMI:

0.82%

SPY:

1.90%

Daily Std Dev

XRMI:

5.63%

SPY:

12.41%

Max Drawdown

XRMI:

-15.29%

SPY:

-55.19%

Current Drawdown

XRMI:

0.00%

SPY:

-2.74%

Returns By Period

In the year-to-date period, XRMI achieves a 14.69% return, which is significantly lower than SPY's 25.54% return.


XRMI

YTD

14.69%

1M

2.15%

6M

8.74%

1Y

14.84%

5Y*

N/A

10Y*

N/A

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

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


XRMI vs. SPY - Expense Ratio Comparison

XRMI has a 0.60% expense ratio, which is higher than SPY's 0.09% expense ratio.


XRMI
Global X S&P 500 Risk Managed Income ETF
Expense ratio chart for XRMI: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for SPY: 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

XRMI vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X S&P 500 Risk Managed Income ETF (XRMI) and SPDR S&P 500 ETF (SPY). 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.


Sharpe ratio
The chart of Sharpe ratio for XRMI, currently valued at 2.70, compared to the broader market0.002.004.002.702.21
The chart of Sortino ratio for XRMI, currently valued at 3.99, compared to the broader market-2.000.002.004.006.008.0010.003.992.93
The chart of Omega ratio for XRMI, currently valued at 1.58, compared to the broader market0.501.001.502.002.503.001.581.41
The chart of Calmar ratio for XRMI, currently valued at 1.42, compared to the broader market0.005.0010.0015.001.423.26
The chart of Martin ratio for XRMI, currently valued at 18.52, compared to the broader market0.0020.0040.0060.0080.00100.0018.5214.43
XRMI
SPY

The current XRMI Sharpe Ratio is 2.70, which is comparable to the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of XRMI and SPY, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
2.70
2.21
XRMI
SPY

Dividends

XRMI vs. SPY - Dividend Comparison

XRMI's dividend yield for the trailing twelve months is around 11.77%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
XRMI
Global X S&P 500 Risk Managed Income ETF
11.77%12.61%12.85%2.94%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

XRMI vs. SPY - Drawdown Comparison

The maximum XRMI drawdown since its inception was -15.29%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for XRMI and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember0
-2.74%
XRMI
SPY

Volatility

XRMI vs. SPY - Volatility Comparison

The current volatility for Global X S&P 500 Risk Managed Income ETF (XRMI) is 1.71%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.72%. This indicates that XRMI experiences smaller price fluctuations and is considered to be less risky than SPY 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%JulyAugustSeptemberOctoberNovemberDecember
1.71%
3.72%
XRMI
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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