XTR vs. TAIL
Compare and contrast key facts about Global X S&P 500 Tail Risk ETF (XTR) and Cambria Tail Risk ETF (TAIL).
XTR and TAIL 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. TAIL is an actively managed fund by Cambria. It was launched on Apr 6, 2017.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XTR or TAIL.
Key characteristics
| XTR | TAIL | |
|---|---|---|
| YTD Return | 25.44% | -8.85% |
| 1Y Return | 37.41% | -7.36% |
| 3Y Return (Ann) | 8.08% | -12.23% |
| Sharpe Ratio | 3.21 | -0.66 |
| Sortino Ratio | 4.45 | -0.93 |
| Omega Ratio | 1.59 | 0.89 |
| Calmar Ratio | 3.82 | -0.15 |
| Martin Ratio | 20.33 | -1.17 |
| Ulcer Index | 1.79% | 6.70% |
| Daily Std Dev | 11.33% | 11.96% |
| Max Drawdown | -20.83% | -51.07% |
| Current Drawdown | 0.00% | -50.64% |
Correlation
The correlation between XTR and TAIL is -0.63. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
XTR vs. TAIL - Performance Comparison
In the year-to-date period, XTR achieves a 25.44% return, which is significantly higher than TAIL's -8.85% 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. TAIL - Expense Ratio Comparison
XTR has a 0.60% expense ratio, which is higher than TAIL's 0.59% expense ratio.
Risk-Adjusted Performance
XTR vs. TAIL - 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 Cambria Tail Risk ETF (TAIL). 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. TAIL - Dividend Comparison
XTR's dividend yield for the trailing twelve months is around 1.07%, less than TAIL's 3.54% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
XTR Global X S&P 500 Tail Risk ETF | 1.07% | 1.09% | 1.09% | 2.32% | 0.00% | 0.00% | 0.00% | 0.00% |
TAIL Cambria Tail Risk ETF | 3.54% | 3.73% | 1.50% | 0.49% | 0.36% | 1.58% | 1.52% | 0.91% |
Drawdowns
XTR vs. TAIL - Drawdown Comparison
The maximum XTR drawdown since its inception was -20.83%, smaller than the maximum TAIL drawdown of -51.07%. Use the drawdown chart below to compare losses from any high point for XTR and TAIL. For additional features, visit the drawdowns tool.
Volatility
XTR vs. TAIL - Volatility Comparison
The current volatility for Global X S&P 500 Tail Risk ETF (XTR) is 3.80%, while Cambria Tail Risk ETF (TAIL) has a volatility of 4.01%. This indicates that XTR experiences smaller price fluctuations and is considered to be less risky than TAIL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.