XTR vs. SPD
Compare and contrast key facts about Global X S&P 500 Tail Risk ETF (XTR) and Simplify US Equity PLUS Downside Convexity ETF (SPD).
XTR and SPD are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. SPD is an actively managed fund by Simplify Asset Management Inc.. It was launched on Sep 3, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XTR or SPD.
Key characteristics
| XTR | SPD | |
|---|---|---|
| YTD Return | 25.44% | 21.61% |
| 1Y Return | 37.41% | 33.02% |
| 3Y Return (Ann) | 8.08% | 3.57% |
| Sharpe Ratio | 3.21 | 2.92 |
| Sortino Ratio | 4.45 | 4.08 |
| Omega Ratio | 1.59 | 1.54 |
| Calmar Ratio | 3.82 | 1.74 |
| Martin Ratio | 20.33 | 16.87 |
| Ulcer Index | 1.79% | 1.91% |
| Daily Std Dev | 11.33% | 11.03% |
| Max Drawdown | -20.83% | -27.38% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between XTR and SPD is 0.91, 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
XTR vs. SPD - Performance Comparison
In the year-to-date period, XTR achieves a 25.44% return, which is significantly higher than SPD's 21.61% 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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XTR vs. SPD - Expense Ratio Comparison
XTR has a 0.60% expense ratio, which is higher than SPD's 0.28% expense ratio.
Risk-Adjusted Performance
XTR vs. SPD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X S&P 500 Tail Risk ETF (XTR) and Simplify US Equity PLUS Downside Convexity ETF (SPD). 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
XTR vs. SPD - Dividend Comparison
XTR's dividend yield for the trailing twelve months is around 1.07%, less than SPD's 1.26% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|
XTR Global X S&P 500 Tail Risk ETF | 1.07% | 1.09% | 1.09% | 2.32% | 0.00% |
SPD Simplify US Equity PLUS Downside Convexity ETF | 1.26% | 1.91% | 1.65% | 0.88% | 0.43% |
Drawdowns
XTR vs. SPD - Drawdown Comparison
The maximum XTR drawdown since its inception was -20.83%, smaller than the maximum SPD drawdown of -27.38%. Use the drawdown chart below to compare losses from any high point for XTR and SPD. For additional features, visit the drawdowns tool.
Volatility
XTR vs. SPD - Volatility Comparison
Global X S&P 500 Tail Risk ETF (XTR) has a higher volatility of 3.80% compared to Simplify US Equity PLUS Downside Convexity ETF (SPD) at 3.58%. This indicates that XTR's price experiences larger fluctuations and is considered to be riskier than SPD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.