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XSOE vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between XSOE and ^GSPC is 0.61, 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.


-0.50.00.51.00.6

Performance

XSOE vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

50.00%100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
50.82%
192.72%
XSOE
^GSPC

Key characteristics

Sharpe Ratio

XSOE:

0.83

^GSPC:

2.10

Sortino Ratio

XSOE:

1.25

^GSPC:

2.80

Omega Ratio

XSOE:

1.15

^GSPC:

1.39

Calmar Ratio

XSOE:

0.36

^GSPC:

3.09

Martin Ratio

XSOE:

3.19

^GSPC:

13.49

Ulcer Index

XSOE:

4.07%

^GSPC:

1.94%

Daily Std Dev

XSOE:

15.69%

^GSPC:

12.52%

Max Drawdown

XSOE:

-45.23%

^GSPC:

-56.78%

Current Drawdown

XSOE:

-26.46%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, XSOE achieves a 8.53% return, which is significantly lower than ^GSPC's 24.34% return. Over the past 10 years, XSOE has underperformed ^GSPC with an annualized return of 4.90%, while ^GSPC has yielded a comparatively higher 11.06% annualized return.


XSOE

YTD

8.53%

1M

-0.67%

6M

2.00%

1Y

10.99%

5Y*

1.54%

10Y*

4.90%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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Risk-Adjusted Performance

XSOE vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE) 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.


Sharpe ratio
The chart of Sharpe ratio for XSOE, currently valued at 0.83, compared to the broader market0.002.004.000.832.10
The chart of Sortino ratio for XSOE, currently valued at 1.25, compared to the broader market-2.000.002.004.006.008.0010.001.252.80
The chart of Omega ratio for XSOE, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.151.39
The chart of Calmar ratio for XSOE, currently valued at 0.36, compared to the broader market0.005.0010.0015.000.363.09
The chart of Martin ratio for XSOE, currently valued at 3.19, compared to the broader market0.0020.0040.0060.0080.00100.003.1913.49
XSOE
^GSPC

The current XSOE Sharpe Ratio is 0.83, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of XSOE and ^GSPC, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.83
2.10
XSOE
^GSPC

Drawdowns

XSOE vs. ^GSPC - Drawdown Comparison

The maximum XSOE drawdown since its inception was -45.23%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for XSOE and ^GSPC. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-26.46%
-2.62%
XSOE
^GSPC

Volatility

XSOE vs. ^GSPC - Volatility Comparison

WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE) and S&P 500 (^GSPC) have volatilities of 3.78% and 3.79%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.78%
3.79%
XSOE
^GSPC
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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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