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0P6M.L vs. URTH
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


0P6M.LURTH
YTD Return10.15%18.87%
1Y Return50.66%36.92%
3Y Return (Ann)12.08%7.21%
5Y Return (Ann)17.66%12.67%
10Y Return (Ann)11.97%10.23%
Sharpe Ratio2.163.27
Sortino Ratio2.714.41
Omega Ratio1.391.60
Calmar Ratio2.003.16
Martin Ratio7.1821.33
Ulcer Index6.90%1.81%
Daily Std Dev22.89%11.82%
Max Drawdown-67.82%-34.01%
Current Drawdown-3.75%-1.07%

Correlation

-0.50.00.51.00.4

The correlation between 0P6M.L and URTH is 0.42, 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.

Performance

0P6M.L vs. URTH - Performance Comparison

In the year-to-date period, 0P6M.L achieves a 10.15% return, which is significantly lower than URTH's 18.87% return. Over the past 10 years, 0P6M.L has outperformed URTH with an annualized return of 11.97%, while URTH has yielded a comparatively lower 10.23% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
3.88%
13.61%
0P6M.L
URTH

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Risk-Adjusted Performance

0P6M.L vs. URTH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Siemens AG Class N (0P6M.L) 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.


0P6M.L
Sharpe ratio
The chart of Sharpe ratio for 0P6M.L, currently valued at 1.89, compared to the broader market-4.00-2.000.002.004.001.89
Sortino ratio
The chart of Sortino ratio for 0P6M.L, currently valued at 2.47, compared to the broader market-4.00-2.000.002.004.006.002.47
Omega ratio
The chart of Omega ratio for 0P6M.L, currently valued at 1.34, compared to the broader market0.501.001.502.001.34
Calmar ratio
The chart of Calmar ratio for 0P6M.L, currently valued at 1.91, compared to the broader market0.002.004.006.001.91
Martin ratio
The chart of Martin ratio for 0P6M.L, currently valued at 6.86, compared to the broader market-10.000.0010.0020.0030.006.86
URTH
Sharpe ratio
The chart of Sharpe ratio for URTH, currently valued at 2.67, compared to the broader market-4.00-2.000.002.004.002.67
Sortino ratio
The chart of Sortino ratio for URTH, currently valued at 3.64, compared to the broader market-4.00-2.000.002.004.006.003.64
Omega ratio
The chart of Omega ratio for URTH, currently valued at 1.50, compared to the broader market0.501.001.502.001.50
Calmar ratio
The chart of Calmar ratio for URTH, currently valued at 3.61, compared to the broader market0.002.004.006.003.61
Martin ratio
The chart of Martin ratio for URTH, currently valued at 17.01, compared to the broader market-10.000.0010.0020.0030.0017.01

0P6M.L vs. URTH - Sharpe Ratio Comparison

The current 0P6M.L Sharpe Ratio is 2.16, which is lower than the URTH Sharpe Ratio of 3.27. The chart below compares the historical Sharpe Ratios of 0P6M.L 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 Ratio0.000.501.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
1.89
2.67
0P6M.L
URTH

Dividends

0P6M.L vs. URTH - Dividend Comparison

0P6M.L's dividend yield for the trailing twelve months is around 2.59%, more than URTH's 1.45% yield.


TTM20232022202120202019201820172016201520142013
0P6M.L
Siemens AG Class N
2.59%2.51%3.09%2.29%2.99%3.26%3.80%3.10%3.01%3.66%3.20%2.91%
URTH
iShares MSCI World ETF
1.45%1.70%1.68%1.50%1.52%2.16%2.30%1.88%2.15%2.35%2.31%1.04%

Drawdowns

0P6M.L vs. URTH - Drawdown Comparison

The maximum 0P6M.L drawdown since its inception was -67.82%, which is greater than URTH's maximum drawdown of -34.01%. Use the drawdown chart below to compare losses from any high point for 0P6M.L and URTH. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-4.09%
-1.07%
0P6M.L
URTH

Volatility

0P6M.L vs. URTH - Volatility Comparison

Siemens AG Class N (0P6M.L) has a higher volatility of 4.04% compared to iShares MSCI World ETF (URTH) at 2.65%. This indicates that 0P6M.L's price experiences larger fluctuations and is considered to be riskier than URTH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%MayJuneJulyAugustSeptemberOctober
4.04%
2.65%
0P6M.L
URTH