ZHDG vs. XRMI

Last updated Jun 23, 2026

ZHDG (ZEGA Buy and Hedge ETF) and XRMI (Global X S&P 500 Risk Managed Income ETF) are both Derivative Income funds. ZHDG is actively managed, while XRMI is passively managed. Over the past 3 years, ZHDG returned 13.47%/yr vs 6.90%/yr for XRMI. A 0.69 correlation means they provide meaningful diversification when combined. ZHDG charges 0.98%/yr vs 0.60%/yr for XRMI.

Performance

ZHDG vs. XRMI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ZEGA Buy and Hedge ETF (ZHDG) and Global X S&P 500 Risk Managed Income ETF (XRMI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ZHDG achieves a 3.69% return, which is significantly higher than XRMI's 1.66% return.

ZHDG

• 1D: -0.38%
• 1M: -0.26%
• YTD: 3.69%
• 6M: 4.25%
• 1Y: 16.71%
• 3Y*: 13.47%
• 5Y*: —
• 10Y*: —

XRMI

• 1D: -0.52%
• 1M: 0.39%
• YTD: 1.66%
• 6M: 1.20%
• 1Y: 9.03%
• 3Y*: 6.90%
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

ZHDG vs. XRMI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
ZHDG ZEGA Buy and Hedge ETF	3.69%	14.34%	18.02%	13.14%	-22.07%	4.46%
XRMI Global X S&P 500 Risk Managed Income ETF	1.66%	4.60%	15.18%	4.22%	-14.06%	2.26%

Correlation

The correlation between ZHDG and XRMI is 0.66, 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	0.66
Correlation (3Y) Calculated over the trailing 3-year period	0.62
Correlation (All Time) Calculated using the full available price history since Aug 26, 2021	0.69

The correlation between ZHDG and XRMI has been stable across timeframes, ranging from 0.62 to 0.69 - a consistent structural relationship.

Return for Risk

ZHDG vs. XRMI — Risk / Return Rank

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

ZHDG

ZHDG Risk / Return Rank: 44
ZHDG Sharpe Ratio Rank: 46
ZHDG Sortino Ratio Rank: 44
ZHDG Omega Ratio Rank: 44
ZHDG Calmar Ratio Rank: 40
ZHDG Martin Ratio Rank: 49

XRMI

XRMI Risk / Return Rank: 48
XRMI Sharpe Ratio Rank: 51
XRMI Sortino Ratio Rank: 50
XRMI Omega Ratio Rank: 54
XRMI Calmar Ratio Rank: 38
XRMI Martin Ratio Rank: 46

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ZHDG vs. XRMI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for ZEGA Buy and Hedge ETF (ZHDG) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	ZHDG	XRMI	Difference
Sharpe ratio: Return per unit of total volatility	1.56	1.65	-0.09
Sortino ratio: Return per unit of downside risk	2.17	2.30	-0.13
Omega ratio: Gain probability vs. loss probability	1.28	1.32	-0.04
Calmar ratio: Return relative to maximum drawdown	1.96	1.81	+0.15
Martin ratio: Return relative to average drawdown	7.94	7.28	+0.66

ZHDG vs. XRMI - Sharpe Ratio Comparison

The current ZHDG Sharpe Ratio is 1.56, which is comparable to the XRMI Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of ZHDG and XRMI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

ZHDG vs. XRMI - Drawdown Comparison

The maximum ZHDG drawdown since its inception was -23.27%, which is greater than XRMI's maximum drawdown of -15.31%. Use the drawdown chart below to compare losses from any high point for ZHDG and XRMI.

Drawdown Indicators

	ZHDG	XRMI	Difference
Max Drawdown Largest peak-to-trough decline	-23.27%	-15.31%	-7.96%
Max Drawdown (1Y) Largest decline over 1 year	-8.56%	-5.02%	-3.54%
Max Drawdown (3Y) Largest decline over 3 years	-11.63%	-8.34%	-3.29%
Current Drawdown Current decline from peak	-1.95%	-0.52%	-1.43%
Average Drawdown Average peak-to-trough decline	-8.10%	-5.87%	-2.23%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.11%	1.24%	+0.87%

Volatility

ZHDG vs. XRMI - Volatility Comparison

ZEGA Buy and Hedge ETF (ZHDG) has a higher volatility of 4.06% compared to Global X S&P 500 Risk Managed Income ETF (XRMI) at 1.71%. This indicates that ZHDG'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.

Volatility by Period

	ZHDG	XRMI	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.06%	1.71%	+2.35%
Volatility (6M) Calculated over the trailing 6-month period	8.84%	4.44%	+4.40%
Volatility (1Y) Calculated over the trailing 1-year period	10.80%	5.52%	+5.28%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.81%	6.91%	+4.90%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.81%	6.91%	+4.90%

ZHDG vs. XRMI - Expense Ratio Comparison

ZHDG has a 0.98% expense ratio, which is higher than XRMI's 0.60% expense ratio.

Dividends

ZHDG vs. XRMI - Dividend Comparison

ZHDG's dividend yield for the trailing twelve months is around 2.47%, less than XRMI's 12.73% yield.

Position	TTM	2025	2024	2023	2022	2021
XRMI Global X S&P 500 Risk Managed Income ETF	12.73%	12.35%	11.86%	12.62%	12.84%	2.93%
ZHDG ZEGA Buy and Hedge ETF	2.47%	2.57%	2.59%	1.52%	3.58%	1.33%

Frequently Asked Questions

Can I hold both ZHDG and XRMI in my portfolio?

ZHDG and XRMI have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ZHDG or XRMI?

ZHDG has higher volatility (4.06%) compared to XRMI (1.71%). In terms of maximum drawdown, ZHDG dropped -23.27% vs XRMI's -15.31%.

Which ETF is better, ZHDG or XRMI?

On 3-year performance, ZHDG leads with 13.47% vs 6.90% for XRMI. On fees, XRMI is cheaper at 0.60% per year. On volatility, XRMI has been the lower-risk option at 1.71%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ZHDG or XRMI?

Over the 3-year period, ZHDG has performed better with a 13.47% return vs 6.90%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ZHDG or XRMI?

XRMI is cheaper with a 0.60% expense ratio, compared with 0.98% for ZHDG.

Which ETF pays a higher dividend yield, ZHDG or XRMI?

XRMI has the higher dividend yield at 12.73%, compared with 2.47% for ZHDG.

What is the main difference between ZHDG and XRMI?

They also come from different issuers: ZEGA and Global X. Their fees differ too: 0.98% for ZHDG and 0.60% for XRMI.

Which has better risk-adjusted returns?

XRMI currently has the higher Sharpe Ratio (1.65 vs 1.56), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.