XTR vs. XRMI
Compare and contrast key facts about Global X S&P 500 Tail Risk ETF (XTR) and Global X S&P 500 Risk Managed Income ETF (XRMI).
XTR and XRMI 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. XRMI is a passively managed fund by Global X that tracks the performance of the Cboe S&P 500 Risk Managed Income Index. It was launched on Aug 25, 2021. Both XTR and XRMI are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: XTR or XRMI.
Key characteristics
| XTR | XRMI | |
|---|---|---|
| YTD Return | 24.18% | 12.46% |
| 1Y Return | 31.74% | 15.05% |
| 3Y Return (Ann) | 7.76% | 0.45% |
| Sharpe Ratio | 3.04 | 2.76 |
| Sortino Ratio | 4.22 | 4.00 |
| Omega Ratio | 1.56 | 1.58 |
| Calmar Ratio | 4.79 | 1.20 |
| Martin Ratio | 19.08 | 18.45 |
| Ulcer Index | 1.79% | 0.82% |
| Daily Std Dev | 11.25% | 5.48% |
| Max Drawdown | -20.83% | -15.29% |
| Current Drawdown | -1.01% | -0.10% |
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.
Performance
XTR vs. XRMI - Performance Comparison
In the year-to-date period, XTR achieves a 24.18% return, which is significantly higher than XRMI's 12.46% 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. XRMI - Expense Ratio Comparison
Both XTR and XRMI have an expense ratio of 0.60%.
Risk-Adjusted Performance
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.
Dividends
XTR vs. XRMI - Dividend Comparison
XTR's dividend yield for the trailing twelve months is around 1.08%, less than XRMI's 11.86% yield.
| TTM | 2023 | 2022 | 2021 | |
|---|---|---|---|---|
XTR Global X S&P 500 Tail Risk ETF | 1.08% | 1.09% | 1.09% | 2.32% |
XRMI Global X S&P 500 Risk Managed Income ETF | 11.86% | 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.
Volatility
XTR vs. XRMI - Volatility Comparison
Global X S&P 500 Tail Risk ETF (XTR) has a higher volatility of 3.76% compared to Global X S&P 500 Risk Managed Income ETF (XRMI) at 1.87%. 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.