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XTR vs. XRMI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between XTR and XRMI is 0.77, 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.


-0.50.00.51.0
Correlation: 0.8

Performance

XTR vs. XRMI - 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 Global X S&P 500 Risk Managed Income ETF (XRMI). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%NovemberDecember2025FebruaryMarchApril
18.48%
1.10%
XTR
XRMI

Key characteristics

Sharpe Ratio

XTR:

0.58

XRMI:

0.90

Sortino Ratio

XTR:

0.87

XRMI:

1.31

Omega Ratio

XTR:

1.12

XRMI:

1.18

Calmar Ratio

XTR:

0.59

XRMI:

0.82

Martin Ratio

XTR:

2.02

XRMI:

3.21

Ulcer Index

XTR:

4.16%

XRMI:

2.13%

Daily Std Dev

XTR:

14.52%

XRMI:

7.63%

Max Drawdown

XTR:

-20.83%

XRMI:

-15.29%

Current Drawdown

XTR:

-10.30%

XRMI:

-7.06%

Returns By Period

In the year-to-date period, XTR achieves a -6.66% return, which is significantly lower than XRMI's -4.60% return.


XTR

YTD

-6.66%

1M

-4.26%

6M

-5.97%

1Y

7.15%

5Y*

N/A

10Y*

N/A

XRMI

YTD

-4.60%

1M

-3.91%

6M

-0.79%

1Y

6.35%

5Y*

N/A

10Y*

N/A

*Annualized

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XTR vs. XRMI - Expense Ratio Comparison

Both XTR and XRMI have an expense ratio of 0.60%.


Expense ratio chart for XTR: current value is 0.60%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
XTR: 0.60%
Expense ratio chart for XRMI: current value is 0.60%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
XRMI: 0.60%

Risk-Adjusted Performance

XTR vs. XRMI — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

XTR
The Risk-Adjusted Performance Rank of XTR is 6363
Overall Rank
The Sharpe Ratio Rank of XTR is 6464
Sharpe Ratio Rank
The Sortino Ratio Rank of XTR is 6161
Sortino Ratio Rank
The Omega Ratio Rank of XTR is 6060
Omega Ratio Rank
The Calmar Ratio Rank of XTR is 6969
Calmar Ratio Rank
The Martin Ratio Rank of XTR is 6161
Martin Ratio Rank

XRMI
The Risk-Adjusted Performance Rank of XRMI is 7777
Overall Rank
The Sharpe Ratio Rank of XRMI is 7878
Sharpe Ratio Rank
The Sortino Ratio Rank of XRMI is 7777
Sortino Ratio Rank
The Omega Ratio Rank of XRMI is 7777
Omega Ratio Rank
The Calmar Ratio Rank of XRMI is 7979
Calmar Ratio Rank
The Martin Ratio Rank of XRMI is 7575
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

XTR vs. XRMI - 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 Global X S&P 500 Risk Managed Income ETF (XRMI). 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.


The chart of Sharpe ratio for XTR, currently valued at 0.58, compared to the broader market-1.000.001.002.003.004.00
XTR: 0.58
XRMI: 0.90
The chart of Sortino ratio for XTR, currently valued at 0.87, compared to the broader market-2.000.002.004.006.008.00
XTR: 0.87
XRMI: 1.31
The chart of Omega ratio for XTR, currently valued at 1.12, compared to the broader market0.501.001.502.002.50
XTR: 1.12
XRMI: 1.18
The chart of Calmar ratio for XTR, currently valued at 0.59, compared to the broader market0.002.004.006.008.0010.0012.00
XTR: 0.59
XRMI: 0.82
The chart of Martin ratio for XTR, currently valued at 2.02, compared to the broader market0.0020.0040.0060.00
XTR: 2.02
XRMI: 3.21

The current XTR Sharpe Ratio is 0.58, which is lower than the XRMI Sharpe Ratio of 0.90. The chart below compares the historical Sharpe Ratios of XTR and XRMI, 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 Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.58
0.90
XTR
XRMI

Dividends

XTR vs. XRMI - Dividend Comparison

XTR's dividend yield for the trailing twelve months is around 22.38%, more than XRMI's 12.87% yield.


TTM2024202320222021
XTR
Global X S&P 500 Tail Risk ETF
22.38%20.89%1.09%1.08%2.32%
XRMI
Global X S&P 500 Risk Managed Income ETF
12.87%11.87%12.61%12.85%2.94%

Drawdowns

XTR vs. XRMI - Drawdown Comparison

The maximum XTR drawdown since its inception was -20.83%, which is greater than XRMI's maximum drawdown of -15.29%. Use the drawdown chart below to compare losses from any high point for XTR and XRMI. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-10.30%
-7.06%
XTR
XRMI

Volatility

XTR vs. XRMI - Volatility Comparison

Global X S&P 500 Tail Risk ETF (XTR) has a higher volatility of 8.15% compared to Global X S&P 500 Risk Managed Income ETF (XRMI) at 4.46%. This indicates that XTR's price experiences larger fluctuations and is considered to be riskier than XRMI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%NovemberDecember2025FebruaryMarchApril
8.15%
4.46%
XTR
XRMI