XSHD vs. ^GSPC
Compare and contrast key facts about Invesco S&P SmallCap High Dividend Low Volatility ETF (XSHD) and S&P 500 (^GSPC).
XSHD is a passively managed fund by Invesco that tracks the performance of the S&P SmallCap 600 Low Volatility High Dividend Index. It was launched on Dec 1, 2016.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XSHD or ^GSPC.
Key characteristics
| XSHD | ^GSPC | |
|---|---|---|
| YTD Return | -2.74% | 24.72% |
| 1Y Return | 6.85% | 32.12% |
| 3Y Return (Ann) | -7.27% | 8.33% |
| 5Y Return (Ann) | -3.06% | 13.81% |
| Sharpe Ratio | 0.42 | 2.66 |
| Sortino Ratio | 0.72 | 3.56 |
| Omega Ratio | 1.08 | 1.50 |
| Calmar Ratio | 0.25 | 3.81 |
| Martin Ratio | 1.09 | 17.03 |
| Ulcer Index | 7.09% | 1.90% |
| Daily Std Dev | 18.27% | 12.16% |
| Max Drawdown | -49.52% | -56.78% |
| Current Drawdown | -23.61% | -0.87% |
Correlation
The correlation between XSHD and ^GSPC is 0.62, 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
XSHD vs. ^GSPC - Performance Comparison
In the year-to-date period, XSHD achieves a -2.74% return, which is significantly lower than ^GSPC's 24.72% 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
XSHD vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P SmallCap High Dividend Low Volatility ETF (XSHD) 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
XSHD vs. ^GSPC - Drawdown Comparison
The maximum XSHD drawdown since its inception was -49.52%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for XSHD and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
XSHD vs. ^GSPC - Volatility Comparison
Invesco S&P SmallCap High Dividend Low Volatility ETF (XSHD) has a higher volatility of 5.42% compared to S&P 500 (^GSPC) at 3.81%. This indicates that XSHD's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.