PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
2B7K.DE vs. ACWI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between 2B7K.DE and ACWI is 0.68, 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.


-0.50.00.51.00.7

Performance

2B7K.DE vs. ACWI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI World SRI UCITS ETF EUR (Acc) (2B7K.DE) and iShares MSCI ACWI ETF (ACWI). The values are adjusted to include any dividend payments, if applicable.

70.00%80.00%90.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
96.17%
85.34%
2B7K.DE
ACWI

Key characteristics

Sharpe Ratio

2B7K.DE:

1.64

ACWI:

1.73

Sortino Ratio

2B7K.DE:

2.22

ACWI:

2.36

Omega Ratio

2B7K.DE:

1.33

ACWI:

1.32

Calmar Ratio

2B7K.DE:

2.27

ACWI:

2.52

Martin Ratio

2B7K.DE:

9.23

ACWI:

10.99

Ulcer Index

2B7K.DE:

2.05%

ACWI:

1.86%

Daily Std Dev

2B7K.DE:

11.49%

ACWI:

11.78%

Max Drawdown

2B7K.DE:

-31.65%

ACWI:

-56.00%

Current Drawdown

2B7K.DE:

-2.81%

ACWI:

-3.22%

Returns By Period

The year-to-date returns for both stocks are quite close, with 2B7K.DE having a 18.70% return and ACWI slightly lower at 18.07%.


2B7K.DE

YTD

18.70%

1M

0.55%

6M

8.85%

1Y

19.49%

5Y*

12.01%

10Y*

N/A

ACWI

YTD

18.07%

1M

-0.34%

6M

6.25%

1Y

18.93%

5Y*

10.34%

10Y*

9.34%

Compare stocks, funds, or ETFs

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


2B7K.DE vs. ACWI - Expense Ratio Comparison

2B7K.DE has a 0.20% expense ratio, which is lower than ACWI's 0.32% expense ratio.


ACWI
iShares MSCI ACWI ETF
Expense ratio chart for ACWI: current value at 0.32% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.32%
Expense ratio chart for 2B7K.DE: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

2B7K.DE vs. ACWI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI World SRI UCITS ETF EUR (Acc) (2B7K.DE) 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.


Sharpe ratio
The chart of Sharpe ratio for 2B7K.DE, currently valued at 1.14, compared to the broader market0.002.004.001.141.63
The chart of Sortino ratio for 2B7K.DE, currently valued at 1.61, compared to the broader market-2.000.002.004.006.008.0010.001.612.23
The chart of Omega ratio for 2B7K.DE, currently valued at 1.21, compared to the broader market0.501.001.502.002.503.001.211.30
The chart of Calmar ratio for 2B7K.DE, currently valued at 1.66, compared to the broader market0.005.0010.0015.001.662.36
The chart of Martin ratio for 2B7K.DE, currently valued at 6.17, compared to the broader market0.0020.0040.0060.0080.00100.006.1710.38
2B7K.DE
ACWI

The current 2B7K.DE Sharpe Ratio is 1.64, which is comparable to the ACWI Sharpe Ratio of 1.73. The chart below compares the historical Sharpe Ratios of 2B7K.DE and ACWI, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.14
1.63
2B7K.DE
ACWI

Dividends

2B7K.DE vs. ACWI - Dividend Comparison

2B7K.DE has not paid dividends to shareholders, while ACWI's dividend yield for the trailing twelve months is around 1.69%.


TTM20232022202120202019201820172016201520142013
2B7K.DE
iShares MSCI World SRI UCITS ETF EUR (Acc)
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ACWI
iShares MSCI ACWI ETF
1.69%1.88%1.79%1.71%1.43%2.33%2.25%1.94%2.19%2.56%2.26%1.89%

Drawdowns

2B7K.DE vs. ACWI - Drawdown Comparison

The maximum 2B7K.DE drawdown since its inception was -31.65%, smaller than the maximum ACWI drawdown of -56.00%. Use the drawdown chart below to compare losses from any high point for 2B7K.DE and ACWI. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.01%
-3.22%
2B7K.DE
ACWI

Volatility

2B7K.DE vs. ACWI - Volatility Comparison

The current volatility for iShares MSCI World SRI UCITS ETF EUR (Acc) (2B7K.DE) is 2.87%, while iShares MSCI ACWI ETF (ACWI) has a volatility of 3.60%. This indicates that 2B7K.DE 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.87%
3.60%
2B7K.DE
ACWI
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