PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
XTR vs. SPD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.00.9

Performance

XTR vs. SPD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X S&P 500 Tail Risk ETF (XTR) and Simplify US Equity PLUS Downside Convexity ETF (SPD). The values are adjusted to include any dividend payments, if applicable.

5.00%10.00%15.00%20.00%25.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
27.37%
12.30%
XTR
SPD

Key characteristics

Sharpe Ratio

XTR:

1.98

SPD:

1.63

Sortino Ratio

XTR:

2.74

SPD:

2.20

Omega Ratio

XTR:

1.36

SPD:

1.30

Calmar Ratio

XTR:

3.20

SPD:

1.54

Martin Ratio

XTR:

12.45

SPD:

9.65

Ulcer Index

XTR:

1.84%

SPD:

1.95%

Daily Std Dev

XTR:

11.53%

SPD:

11.55%

Max Drawdown

XTR:

-20.83%

SPD:

-27.38%

Current Drawdown

XTR:

-3.32%

SPD:

-4.32%

Returns By Period

In the year-to-date period, XTR achieves a 22.27% return, which is significantly higher than SPD's 18.26% return.


XTR

YTD

22.27%

1M

-0.02%

6M

6.67%

1Y

22.31%

5Y*

N/A

10Y*

N/A

SPD

YTD

18.26%

1M

-0.84%

6M

3.64%

1Y

18.20%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

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


XTR vs. SPD - Expense Ratio Comparison

XTR has a 0.60% expense ratio, which is higher than SPD's 0.28% expense ratio.


XTR
Global X S&P 500 Tail Risk ETF
Expense ratio chart for XTR: 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 SPD: current value at 0.28% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.28%

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.


Sharpe ratio
The chart of Sharpe ratio for XTR, currently valued at 1.98, compared to the broader market0.002.004.001.981.63
The chart of Sortino ratio for XTR, currently valued at 2.74, compared to the broader market-2.000.002.004.006.008.0010.002.742.20
The chart of Omega ratio for XTR, currently valued at 1.36, compared to the broader market0.501.001.502.002.503.001.361.30
The chart of Calmar ratio for XTR, currently valued at 3.20, compared to the broader market0.005.0010.0015.003.201.54
The chart of Martin ratio for XTR, currently valued at 12.45, compared to the broader market0.0020.0040.0060.0080.00100.0012.459.65
XTR
SPD

The current XTR Sharpe Ratio is 1.98, which is comparable to the SPD Sharpe Ratio of 1.63. The chart below compares the historical Sharpe Ratios of XTR and SPD, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.98
1.63
XTR
SPD

Dividends

XTR vs. SPD - Dividend Comparison

XTR's dividend yield for the trailing twelve months is around 1.10%, less than SPD's 1.30% yield.


TTM2023202220212020
XTR
Global X S&P 500 Tail Risk ETF
1.10%1.09%1.09%2.32%0.00%
SPD
Simplify US Equity PLUS Downside Convexity ETF
1.30%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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.32%
-4.32%
XTR
SPD

Volatility

XTR vs. SPD - Volatility Comparison

The current volatility for Global X S&P 500 Tail Risk ETF (XTR) is 3.44%, while Simplify US Equity PLUS Downside Convexity ETF (SPD) has a volatility of 4.53%. This indicates that XTR experiences smaller price fluctuations and is considered to be less risky than SPD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%JulyAugustSeptemberOctoberNovemberDecember
3.44%
4.53%
XTR
SPD
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab