XRMI vs. XTR
Compare and contrast key facts about Global X S&P 500 Risk Managed Income ETF (XRMI) and Global X S&P 500 Tail Risk ETF (XTR).
XRMI and XTR are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. XRMI is a passively managed fund by Global X that tracks the performance of the Cboe S&P 500 Risk Managed Income Index. It was launched on Aug 25, 2021. XTR is a passively managed fund by Global X that tracks the performance of the Cboe S&P 500 Tail Risk Index. It was launched on Aug 25, 2021. Both XRMI and XTR are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XRMI or XTR.
Key characteristics
| XRMI | XTR | |
|---|---|---|
| YTD Return | 12.34% | 25.44% |
| 1Y Return | 14.93% | 37.41% |
| 3Y Return (Ann) | 0.43% | 8.08% |
| Sharpe Ratio | 2.67 | 3.21 |
| Sortino Ratio | 3.88 | 4.45 |
| Omega Ratio | 1.56 | 1.59 |
| Calmar Ratio | 1.16 | 3.82 |
| Martin Ratio | 17.92 | 20.33 |
| Ulcer Index | 0.82% | 1.79% |
| Daily Std Dev | 5.50% | 11.33% |
| Max Drawdown | -15.29% | -20.83% |
| Current Drawdown | -0.05% | 0.00% |
Correlation
The correlation between XRMI and XTR 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.
Performance
XRMI vs. XTR - Performance Comparison
In the year-to-date period, XRMI achieves a 12.34% return, which is significantly lower than XTR's 25.44% 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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XRMI vs. XTR - Expense Ratio Comparison
Both XRMI and XTR have an expense ratio of 0.60%.
Risk-Adjusted Performance
XRMI vs. XTR - 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 Global X S&P 500 Tail Risk ETF (XTR). 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.
Dividends
XRMI vs. XTR - Dividend Comparison
XRMI's dividend yield for the trailing twelve months is around 11.87%, more than XTR's 1.07% yield.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
XRMI Global X S&P 500 Risk Managed Income ETF | 11.87% | 12.61% | 12.85% | 2.94% |
XTR Global X S&P 500 Tail Risk ETF | 1.07% | 1.09% | 1.09% | 2.32% |
Drawdowns
XRMI vs. XTR - Drawdown Comparison
The maximum XRMI drawdown since its inception was -15.29%, smaller than the maximum XTR drawdown of -20.83%. Use the drawdown chart below to compare losses from any high point for XRMI and XTR. For additional features, visit the drawdowns tool.
Volatility
XRMI vs. XTR - Volatility Comparison
The current volatility for Global X S&P 500 Risk Managed Income ETF (XRMI) is 1.87%, while Global X S&P 500 Tail Risk ETF (XTR) has a volatility of 3.80%. This indicates that XRMI experiences smaller price fluctuations and is considered to be less risky than XTR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.