^GSPTSE vs. ACWI
Compare and contrast key facts about S&P TSX Composite Index (Canada) (^GSPTSE) and iShares MSCI ACWI ETF (ACWI).
ACWI is a passively managed fund by iShares that tracks the performance of the MSCI All Country World Index. It was launched on Mar 26, 2008.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^GSPTSE or ACWI.
Key characteristics
| ^GSPTSE | ACWI | |
|---|---|---|
| YTD Return | 17.19% | 18.90% |
| 1Y Return | 24.72% | 30.43% |
| 3Y Return (Ann) | 5.50% | 6.98% |
| 5Y Return (Ann) | 8.49% | 12.07% |
| 10Y Return (Ann) | 5.64% | 10.06% |
| Sharpe Ratio | 2.33 | 2.54 |
| Sortino Ratio | 3.32 | 3.47 |
| Omega Ratio | 1.43 | 1.46 |
| Calmar Ratio | 1.66 | 2.12 |
| Martin Ratio | 15.83 | 15.95 |
| Ulcer Index | 1.59% | 1.91% |
| Daily Std Dev | 10.79% | 12.02% |
| Max Drawdown | -49.99% | -56.00% |
| Current Drawdown | 0.00% | -0.65% |
Correlation
The correlation between ^GSPTSE and ACWI is 0.78, 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
^GSPTSE vs. ACWI - Performance Comparison
In the year-to-date period, ^GSPTSE achieves a 17.19% return, which is significantly lower than ACWI's 18.90% return. Over the past 10 years, ^GSPTSE has underperformed ACWI with an annualized return of 5.64%, while ACWI has yielded a comparatively higher 10.06% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^GSPTSE vs. ACWI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P TSX Composite Index (Canada) (^GSPTSE) and iShares MSCI ACWI ETF (ACWI). 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.
Drawdowns
^GSPTSE vs. ACWI - Drawdown Comparison
The maximum ^GSPTSE drawdown since its inception was -49.99%, smaller than the maximum ACWI drawdown of -56.00%. Use the drawdown chart below to compare losses from any high point for ^GSPTSE and ACWI. For additional features, visit the drawdowns tool.
Volatility
^GSPTSE vs. ACWI - Volatility Comparison
The current volatility for S&P TSX Composite Index (Canada) (^GSPTSE) is 2.68%, while iShares MSCI ACWI ETF (ACWI) has a volatility of 3.07%. This indicates that ^GSPTSE experiences smaller price fluctuations and is considered to be less risky than ACWI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.