ACWI vs. ^GSPC
Compare and contrast key facts about iShares MSCI ACWI ETF (ACWI) and S&P 500 (^GSPC).
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: ACWI or ^GSPC.
Performance
ACWI vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, ACWI achieves a 19.34% return, which is significantly lower than ^GSPC's 25.15% return. Over the past 10 years, ACWI has underperformed ^GSPC with an annualized return of 9.26%, while ^GSPC has yielded a comparatively higher 11.18% annualized return.
ACWI
19.34%
1.18%
8.73%
25.26%
11.19%
9.26%
^GSPC
25.15%
2.74%
12.53%
30.93%
13.79%
11.18%
Key characteristics
| ACWI | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 2.21 | 2.53 |
| Sortino Ratio | 3.03 | 3.39 |
| Omega Ratio | 1.40 | 1.47 |
| Calmar Ratio | 3.16 | 3.65 |
| Martin Ratio | 14.10 | 16.21 |
| Ulcer Index | 1.81% | 1.91% |
| Daily Std Dev | 11.55% | 12.23% |
| Max Drawdown | -56.00% | -56.78% |
| Current Drawdown | -0.97% | -0.53% |
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Correlation
The correlation between ACWI and ^GSPC is 0.94, 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.
Risk-Adjusted Performance
ACWI vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI ACWI ETF (ACWI) and S&P 500 (^GSPC). 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
ACWI vs. ^GSPC - Drawdown Comparison
The maximum ACWI drawdown since its inception was -56.00%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ACWI and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
ACWI vs. ^GSPC - Volatility Comparison
The current volatility for iShares MSCI ACWI ETF (ACWI) is 3.12%, while S&P 500 (^GSPC) has a volatility of 3.97%. This indicates that ACWI experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.