PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^STOXX vs. URTH
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^STOXX and URTH is 0.58, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

^STOXX vs. URTH - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in STOXX Europe 600 Index (^STOXX) and iShares MSCI World ETF (URTH). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%250.00%300.00%JulyAugustSeptemberOctoberNovemberDecember
63.66%
300.05%
^STOXX
URTH

Key characteristics

Sharpe Ratio

^STOXX:

0.47

URTH:

1.80

Sortino Ratio

^STOXX:

0.69

URTH:

2.44

Omega Ratio

^STOXX:

1.09

URTH:

1.33

Calmar Ratio

^STOXX:

0.67

URTH:

2.61

Martin Ratio

^STOXX:

2.24

URTH:

11.27

Ulcer Index

^STOXX:

2.16%

URTH:

1.91%

Daily Std Dev

^STOXX:

10.27%

URTH:

11.93%

Max Drawdown

^STOXX:

-61.04%

URTH:

-34.01%

Current Drawdown

^STOXX:

-4.90%

URTH:

-3.39%

Returns By Period

In the year-to-date period, ^STOXX achieves a 4.84% return, which is significantly lower than URTH's 19.32% return. Over the past 10 years, ^STOXX has underperformed URTH with an annualized return of 3.79%, while URTH has yielded a comparatively higher 10.03% annualized return.


^STOXX

YTD

4.84%

1M

0.34%

6M

-2.51%

1Y

5.29%

5Y*

3.64%

10Y*

3.79%

URTH

YTD

19.32%

1M

-0.72%

6M

6.93%

1Y

19.85%

5Y*

11.52%

10Y*

10.03%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^STOXX vs. URTH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for STOXX Europe 600 Index (^STOXX) and iShares MSCI World ETF (URTH). 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 ^STOXX, currently valued at -0.00, compared to the broader market0.001.002.00-0.001.72
The chart of Sortino ratio for ^STOXX, currently valued at 0.08, compared to the broader market-1.000.001.002.003.000.082.33
The chart of Omega ratio for ^STOXX, currently valued at 1.01, compared to the broader market0.901.001.101.201.301.401.011.32
The chart of Calmar ratio for ^STOXX, currently valued at -0.00, compared to the broader market0.001.002.003.00-0.002.47
The chart of Martin ratio for ^STOXX, currently valued at -0.00, compared to the broader market0.005.0010.0015.0020.00-0.0010.75
^STOXX
URTH

The current ^STOXX Sharpe Ratio is 0.47, which is lower than the URTH Sharpe Ratio of 1.80. The chart below compares the historical Sharpe Ratios of ^STOXX and URTH, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.00
1.72
^STOXX
URTH

Drawdowns

^STOXX vs. URTH - Drawdown Comparison

The maximum ^STOXX drawdown since its inception was -61.04%, which is greater than URTH's maximum drawdown of -34.01%. Use the drawdown chart below to compare losses from any high point for ^STOXX and URTH. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.16%
-3.39%
^STOXX
URTH

Volatility

^STOXX vs. URTH - Volatility Comparison

The current volatility for STOXX Europe 600 Index (^STOXX) is 3.04%, while iShares MSCI World ETF (URTH) has a volatility of 3.60%. This indicates that ^STOXX experiences smaller price fluctuations and is considered to be less risky than URTH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.04%
3.60%
^STOXX
URTH
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab