XYLU.L vs. PEPS
XYLU.L (Global X S&P 500 Covered Call UCITS ETF USD) and PEPS (Parametric Equity Plus ETF) are both Derivative Income funds. XYLU.L is passively managed, while PEPS is actively managed. Over the past year, XYLU.L returned 18.07% vs 32.12% for PEPS. At a 0.48 correlation, their price movements are largely independent. XYLU.L charges 0.45%/yr vs 0.10%/yr for PEPS.
Performance
XYLU.L vs. PEPS - Performance Comparison
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Returns By Period
In the year-to-date period, XYLU.L achieves a 5.28% return, which is significantly lower than PEPS's 11.10% return.
XYLU.L
- 1D
- 0.03%
- 1M
- 2.15%
- YTD
- 5.28%
- 6M
- 6.77%
- 1Y
- 18.07%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
PEPS
- 1D
- 0.39%
- 1M
- 5.83%
- YTD
- 11.10%
- 6M
- 11.19%
- 1Y
- 32.12%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
XYLU.L vs. PEPS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
XYLU.L Global X S&P 500 Covered Call UCITS ETF USD | 5.28% | 7.85% | 3.15% |
PEPS Parametric Equity Plus ETF | 11.10% | 20.32% | -1.45% |
Correlation
The correlation between XYLU.L and PEPS is 0.53, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.53 |
Correlation (All Time) Calculated using the full available price history since Nov 11, 2024 | 0.48 |
The correlation between XYLU.L and PEPS has been stable across timeframes, ranging from 0.48 to 0.53 - a consistent structural relationship.
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Return for Risk
XYLU.L vs. PEPS — Risk / Return Rank
XYLU.L
PEPS
XYLU.L vs. PEPS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X S&P 500 Covered Call UCITS ETF USD (XYLU.L) and Parametric Equity Plus ETF (PEPS). 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.
| XYLU.L | PEPS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.14 | ||
| Sortino ratioReturn per unit of downside risk | +0.68 | ||
| Omega ratioGain probability vs. loss probability | 1.56 | 1.45 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | 3.48 | 3.29 | +0.19 |
| Martin ratioReturn relative to average drawdown | 18.28 | 15.42 | +2.86 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| XYLU.L | PEPS | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.61 | 2.47 | +0.14 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.11 | 1.06 | +0.05 |
Drawdowns
XYLU.L vs. PEPS - Drawdown Comparison
The maximum XYLU.L drawdown since its inception was -17.20%, smaller than the maximum PEPS drawdown of -21.26%. Use the drawdown chart below to compare losses from any high point for XYLU.L and PEPS.
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Drawdown Indicators
| XYLU.L | PEPS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.20% | -21.26% | +4.06% |
Max Drawdown (1Y)Largest decline over 1 year | -5.17% | -9.80% | +4.63% |
Current DrawdownCurrent decline from peak | 0.00% | -0.13% | +0.13% |
Average DrawdownAverage peak-to-trough decline | -2.02% | -2.76% | +0.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.99% | 2.09% | -1.10% |
Volatility
XYLU.L vs. PEPS - Volatility Comparison
The current volatility for Global X S&P 500 Covered Call UCITS ETF USD (XYLU.L) is 1.52%, while Parametric Equity Plus ETF (PEPS) has a volatility of 2.68%. This indicates that XYLU.L experiences smaller price fluctuations and is considered to be less risky than PEPS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| XYLU.L | PEPS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.52% | 2.68% | -1.16% |
Volatility (6M)Calculated over the trailing 6-month period | 5.45% | 9.83% | -4.38% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.89% | 13.05% | -6.16% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.44% | 18.28% | -7.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.44% | 18.28% | -7.84% |
XYLU.L vs. PEPS - Expense Ratio Comparison
XYLU.L has a 0.45% expense ratio, which is higher than PEPS's 0.10% expense ratio.
Dividends
XYLU.L vs. PEPS - Dividend Comparison
XYLU.L's dividend yield for the trailing twelve months is around 10.27%, more than PEPS's 0.88% yield.
| Position | TTM | 2025 | 2024 | 2023 |
|---|---|---|---|---|
PEPS Parametric Equity Plus ETF | 0.88% | 1.00% | 0.17% | 0.00% |
XYLU.L Global X S&P 500 Covered Call UCITS ETF USD | 10.27% | 10.48% | 8.49% | 3.88% |
Frequently Asked Questions
XYLU.L and PEPS have a correlation of 0.53, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, PEPS is cheaper at 0.10% per year. The better choice depends on whether you care most about return, fees, risk, or income.
PEPS is cheaper with a 0.10% expense ratio, compared with 0.45% for XYLU.L.
They also come from different issuers: Global X and Parametric. Their fees differ too: 0.45% for XYLU.L and 0.10% for PEPS.
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