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FTSE All World ex South Africa Index (^AW05)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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FTSE All World ex South Africa Index

Popular comparisons: ^AW05 vs. ^GSPC, ^AW05 vs. VONG

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in FTSE All World ex South Africa Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


200.00%250.00%300.00%350.00%December2024FebruaryMarchAprilMay
241.25%
365.55%
^AW05 (FTSE All World ex South Africa Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

FTSE All World ex South Africa Index had a return of 8.71% year-to-date (YTD) and 22.27% in the last 12 months. Over the past 10 years, FTSE All World ex South Africa Index had an annualized return of 6.37%, while the S&P 500 had an annualized return of 10.76%, indicating that FTSE All World ex South Africa Index did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date8.71%11.21%
1 month4.11%4.60%
6 months14.14%16.35%
1 year22.27%27.79%
5 years (annualized)9.21%13.43%
10 years (annualized)6.37%10.76%

Monthly Returns

The table below presents the monthly returns of ^AW05, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.54%4.11%2.85%-3.39%8.71%
20237.02%-2.97%2.75%1.34%-1.27%5.49%3.52%-2.87%-4.18%-3.08%9.02%4.67%19.99%
2022-4.90%-2.69%1.89%-8.01%-0.13%-8.53%6.73%-3.78%-9.75%5.88%7.61%-3.86%-19.56%
2021-0.52%2.23%2.55%4.20%1.38%1.13%0.54%2.35%-4.22%4.94%-2.62%4.01%16.73%
2020-1.16%-8.19%-13.70%10.50%4.23%2.95%5.00%6.09%-3.38%-2.57%12.26%4.51%14.23%
20197.67%2.51%1.04%3.17%-6.19%6.28%0.17%-2.50%2.01%2.69%2.28%3.41%24.13%
20185.57%-4.36%-2.36%0.79%-0.21%-0.73%2.89%0.60%0.32%-7.54%1.25%-7.18%-11.17%
20172.64%2.68%0.99%1.38%1.88%0.27%2.59%0.16%1.86%2.02%1.74%1.51%21.55%
2016-6.13%-0.93%7.16%1.25%-0.10%-0.90%4.17%0.16%0.38%-1.72%0.67%2.10%5.70%
2015-1.60%5.40%-1.75%2.72%-0.27%-2.57%0.79%-6.98%-3.77%7.72%-0.93%-1.80%-3.84%
2014-4.02%4.50%0.26%0.74%1.84%1.75%-1.34%2.01%-3.33%0.55%1.53%-2.02%2.16%
20134.64%-0.22%1.55%2.68%-0.53%-3.09%4.67%-2.29%4.99%3.91%1.28%1.62%20.50%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^AW05 is 70, suggesting that the investment has average results relative to other indices in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^AW05 is 7070
^AW05 (FTSE All World ex South Africa Index)
The Sharpe Ratio Rank of ^AW05 is 7575Sharpe Ratio Rank
The Sortino Ratio Rank of ^AW05 is 7676Sortino Ratio Rank
The Omega Ratio Rank of ^AW05 is 7575Omega Ratio Rank
The Calmar Ratio Rank of ^AW05 is 6262Calmar Ratio Rank
The Martin Ratio Rank of ^AW05 is 6262Martin 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.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for FTSE All World ex South Africa Index (^AW05) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^AW05
Sharpe ratio
The chart of Sharpe ratio for ^AW05, currently valued at 2.02, compared to the broader market-1.000.001.002.003.002.02
Sortino ratio
The chart of Sortino ratio for ^AW05, currently valued at 2.88, compared to the broader market-2.000.002.004.002.88
Omega ratio
The chart of Omega ratio for ^AW05, currently valued at 1.36, compared to the broader market0.801.001.201.401.601.36
Calmar ratio
The chart of Calmar ratio for ^AW05, currently valued at 1.15, compared to the broader market0.001.002.003.004.005.006.001.15
Martin ratio
The chart of Martin ratio for ^AW05, currently valued at 5.55, compared to the broader market0.005.0010.0015.0020.005.55
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.52, compared to the broader market-1.000.001.002.003.002.52
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.56, compared to the broader market-2.000.002.004.003.56
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.44, compared to the broader market0.801.001.201.401.601.44
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.04, compared to the broader market0.001.002.003.004.005.006.002.04
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.59, compared to the broader market0.005.0010.0015.0020.009.59

Sharpe Ratio

The current FTSE All World ex South Africa Index Sharpe ratio is 2.02. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of FTSE All World ex South Africa Index with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00December2024FebruaryMarchAprilMay
2.02
2.52
^AW05 (FTSE All World ex South Africa Index)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-0.58%
-0.31%
^AW05 (FTSE All World ex South Africa Index)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the FTSE All World ex South Africa Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the FTSE All World ex South Africa Index was 59.47%, occurring on Mar 9, 2009. Recovery took 1364 trading sessions.

The current FTSE All World ex South Africa Index drawdown is 0.58%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-59.47%Nov 1, 2007352Mar 9, 20091364Jun 5, 20141716
-33.81%Feb 13, 202028Mar 23, 2020112Aug 26, 2020140
-30.95%Mar 20, 2002146Oct 9, 2002313Dec 23, 2003459
-27.34%Nov 17, 2021236Oct 12, 2022355Feb 22, 2024591
-20.74%Jan 29, 2018237Dec 25, 2018252Dec 12, 2019489

Volatility

Volatility Chart

The current FTSE All World ex South Africa Index volatility is 2.48%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%December2024FebruaryMarchAprilMay
2.48%
3.10%
^AW05 (FTSE All World ex South Africa Index)
Benchmark (^GSPC)