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ADM.DE vs. ACWI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ADM.DE and ACWI is 0.24, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.2

Performance

ADM.DE vs. ACWI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Archer-Daniels-Midland Company (ADM.DE) and iShares MSCI ACWI ETF (ACWI). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
102.72%
230.40%
ADM.DE
ACWI

Key characteristics

Sharpe Ratio

ADM.DE:

-0.81

ACWI:

1.59

Sortino Ratio

ADM.DE:

-0.88

ACWI:

2.18

Omega Ratio

ADM.DE:

0.85

ACWI:

1.29

Calmar Ratio

ADM.DE:

-0.50

ACWI:

2.32

Martin Ratio

ADM.DE:

-1.40

ACWI:

9.99

Ulcer Index

ADM.DE:

18.34%

ACWI:

1.88%

Daily Std Dev

ADM.DE:

32.06%

ACWI:

11.78%

Max Drawdown

ADM.DE:

-64.58%

ACWI:

-56.00%

Current Drawdown

ADM.DE:

-47.48%

ACWI:

-2.46%

Returns By Period

In the year-to-date period, ADM.DE achieves a -22.53% return, which is significantly lower than ACWI's 18.99% return. Over the past 10 years, ADM.DE has underperformed ACWI with an annualized return of 5.52%, while ACWI has yielded a comparatively higher 9.45% annualized return.


ADM.DE

YTD

-22.53%

1M

-4.81%

6M

-12.24%

1Y

-22.53%

5Y*

7.20%

10Y*

5.52%

ACWI

YTD

18.99%

1M

-0.71%

6M

6.84%

1Y

18.77%

5Y*

10.32%

10Y*

9.45%

*Annualized

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Risk-Adjusted Performance

ADM.DE vs. ACWI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Archer-Daniels-Midland Company (ADM.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 ADM.DE, currently valued at -0.83, compared to the broader market-4.00-2.000.002.00-0.831.79
The chart of Sortino ratio for ADM.DE, currently valued at -0.91, compared to the broader market-4.00-2.000.002.004.00-0.912.43
The chart of Omega ratio for ADM.DE, currently valued at 0.84, compared to the broader market0.501.001.502.000.841.33
The chart of Calmar ratio for ADM.DE, currently valued at -0.56, compared to the broader market0.002.004.006.00-0.562.59
The chart of Martin ratio for ADM.DE, currently valued at -1.50, compared to the broader market0.005.0010.0015.0020.0025.00-1.5011.29
ADM.DE
ACWI

The current ADM.DE Sharpe Ratio is -0.81, which is lower than the ACWI Sharpe Ratio of 1.59. The chart below compares the historical Sharpe Ratios of ADM.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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.83
1.79
ADM.DE
ACWI

Dividends

ADM.DE vs. ACWI - Dividend Comparison

ADM.DE's dividend yield for the trailing twelve months is around 3.79%, more than ACWI's 1.68% yield.


TTM20232022202120202019201820172016201520142013
ADM.DE
Archer-Daniels-Midland Company
3.79%2.54%1.72%2.12%3.13%3.80%3.23%3.36%3.01%2.98%1.65%2.20%
ACWI
iShares MSCI ACWI ETF
1.68%1.88%1.79%1.71%1.43%2.33%2.25%1.94%2.19%2.56%2.26%1.89%

Drawdowns

ADM.DE vs. ACWI - Drawdown Comparison

The maximum ADM.DE drawdown since its inception was -64.58%, which is greater than ACWI's maximum drawdown of -56.00%. Use the drawdown chart below to compare losses from any high point for ADM.DE and ACWI. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-44.73%
-2.46%
ADM.DE
ACWI

Volatility

ADM.DE vs. ACWI - Volatility Comparison

Archer-Daniels-Midland Company (ADM.DE) has a higher volatility of 5.09% compared to iShares MSCI ACWI ETF (ACWI) at 3.79%. This indicates that ADM.DE's price experiences larger fluctuations and is considered to be riskier than ACWI 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%JulyAugustSeptemberOctoberNovemberDecember
5.09%
3.79%
ADM.DE
ACWI
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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.

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