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XVOL vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XVOLSPY
YTD Return25.93%27.16%
1Y Return35.73%37.73%
3Y Return (Ann)2.74%10.28%
Sharpe Ratio1.913.25
Sortino Ratio2.754.32
Omega Ratio1.491.61
Calmar Ratio1.714.74
Martin Ratio7.8421.51
Ulcer Index4.74%1.85%
Daily Std Dev19.48%12.20%
Max Drawdown-25.82%-55.19%
Current Drawdown-1.64%0.00%

Correlation

-0.50.00.51.00.9

The correlation between XVOL and SPY is 0.88, 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

XVOL vs. SPY - Performance Comparison

The year-to-date returns for both investments are quite close, with XVOL having a 25.93% return and SPY slightly higher at 27.16%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.35%
15.13%
XVOL
SPY

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XVOL vs. SPY - Expense Ratio Comparison

XVOL has a 0.83% expense ratio, which is higher than SPY's 0.09% expense ratio.


XVOL
Acruence Active Hedge U.S. Equity ETF
Expense ratio chart for XVOL: current value at 0.83% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.83%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

XVOL vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Acruence Active Hedge U.S. Equity ETF (XVOL) and SPDR S&P 500 ETF (SPY). 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.


XVOL
Sharpe ratio
The chart of Sharpe ratio for XVOL, currently valued at 1.91, compared to the broader market-2.000.002.004.006.001.91
Sortino ratio
The chart of Sortino ratio for XVOL, currently valued at 2.75, compared to the broader market0.005.0010.002.75
Omega ratio
The chart of Omega ratio for XVOL, currently valued at 1.49, compared to the broader market1.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for XVOL, currently valued at 1.71, compared to the broader market0.005.0010.0015.001.71
Martin ratio
The chart of Martin ratio for XVOL, currently valued at 7.83, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.84
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.25, compared to the broader market-2.000.002.004.006.003.25
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.32, compared to the broader market0.005.0010.004.32
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.61, compared to the broader market1.001.502.002.503.001.61
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.74, compared to the broader market0.005.0010.0015.004.74
Martin ratio
The chart of Martin ratio for SPY, currently valued at 21.51, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.51

XVOL vs. SPY - Sharpe Ratio Comparison

The current XVOL Sharpe Ratio is 1.91, which is lower than the SPY Sharpe Ratio of 3.25. The chart below compares the historical Sharpe Ratios of XVOL and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.91
3.25
XVOL
SPY

Dividends

XVOL vs. SPY - Dividend Comparison

XVOL's dividend yield for the trailing twelve months is around 0.87%, less than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
XVOL
Acruence Active Hedge U.S. Equity ETF
0.87%1.09%2.86%0.29%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

XVOL vs. SPY - Drawdown Comparison

The maximum XVOL drawdown since its inception was -25.82%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for XVOL and SPY. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.64%
0
XVOL
SPY

Volatility

XVOL vs. SPY - Volatility Comparison

Acruence Active Hedge U.S. Equity ETF (XVOL) has a higher volatility of 4.71% compared to SPDR S&P 500 ETF (SPY) at 3.92%. This indicates that XVOL's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
4.71%
3.92%
XVOL
SPY