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^AW01 vs. VOO
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^AW01 and VOO 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.


-0.50.00.51.00.9

Performance

^AW01 vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FTSE All World (^AW01) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.45%
10.98%
^AW01
VOO

Key characteristics

Sharpe Ratio

^AW01:

1.89

VOO:

2.30

Sortino Ratio

^AW01:

2.51

VOO:

3.05

Omega Ratio

^AW01:

1.35

VOO:

1.43

Calmar Ratio

^AW01:

2.34

VOO:

3.39

Martin Ratio

^AW01:

10.78

VOO:

15.10

Ulcer Index

^AW01:

1.78%

VOO:

1.90%

Daily Std Dev

^AW01:

10.09%

VOO:

12.48%

Max Drawdown

^AW01:

-59.48%

VOO:

-33.99%

Current Drawdown

^AW01:

-2.01%

VOO:

-0.76%

Returns By Period

In the year-to-date period, ^AW01 achieves a 17.40% return, which is significantly lower than VOO's 28.23% return. Over the past 10 years, ^AW01 has underperformed VOO with an annualized return of 7.08%, while VOO has yielded a comparatively higher 13.23% annualized return.


^AW01

YTD

17.40%

1M

0.29%

6M

6.44%

1Y

18.39%

5Y*

8.27%

10Y*

7.08%

VOO

YTD

28.23%

1M

1.30%

6M

11.10%

1Y

28.67%

5Y*

15.07%

10Y*

13.23%

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Risk-Adjusted Performance

^AW01 vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FTSE All World (^AW01) and Vanguard S&P 500 ETF (VOO). 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.


Sharpe ratio
The chart of Sharpe ratio for ^AW01, currently valued at 1.89, compared to the broader market-0.500.000.501.001.502.002.501.892.44
The chart of Sortino ratio for ^AW01, currently valued at 2.51, compared to the broader market-1.000.001.002.003.002.513.21
The chart of Omega ratio for ^AW01, currently valued at 1.35, compared to the broader market0.901.001.101.201.301.401.351.46
The chart of Calmar ratio for ^AW01, currently valued at 2.34, compared to the broader market0.001.002.003.002.343.58
The chart of Martin ratio for ^AW01, currently valued at 10.78, compared to the broader market0.005.0010.0015.0010.7816.03
^AW01
VOO

The current ^AW01 Sharpe Ratio is 1.89, which is comparable to the VOO Sharpe Ratio of 2.30. The chart below compares the historical Sharpe Ratios of ^AW01 and VOO, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.89
2.44
^AW01
VOO

Drawdowns

^AW01 vs. VOO - Drawdown Comparison

The maximum ^AW01 drawdown since its inception was -59.48%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ^AW01 and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.01%
-0.76%
^AW01
VOO

Volatility

^AW01 vs. VOO - Volatility Comparison

The current volatility for FTSE All World (^AW01) is 2.91%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.89%. This indicates that ^AW01 experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.91%
3.89%
^AW01
VOO
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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