PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
CGW vs. DGRW
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CGWDGRW
YTD Return11.22%19.33%
1Y Return26.09%29.88%
3Y Return (Ann)0.87%11.43%
5Y Return (Ann)10.16%14.30%
10Y Return (Ann)9.42%12.93%
Sharpe Ratio1.712.88
Sortino Ratio2.533.97
Omega Ratio1.301.54
Calmar Ratio1.174.83
Martin Ratio8.5218.38
Ulcer Index2.89%1.64%
Daily Std Dev14.35%10.48%
Max Drawdown-57.24%-32.04%
Current Drawdown-3.66%-2.18%

Correlation

-0.50.00.51.00.8

The correlation between CGW and DGRW is 0.79, 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.

Performance

CGW vs. DGRW - Performance Comparison

In the year-to-date period, CGW achieves a 11.22% return, which is significantly lower than DGRW's 19.33% return. Over the past 10 years, CGW has underperformed DGRW with an annualized return of 9.42%, while DGRW has yielded a comparatively higher 12.93% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
1.83%
11.72%
CGW
DGRW

Compare stocks, funds, or ETFs

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


CGW vs. DGRW - Expense Ratio Comparison

CGW has a 0.57% expense ratio, which is higher than DGRW's 0.28% expense ratio.


CGW
Invesco S&P Global Water Index ETF
Expense ratio chart for CGW: current value at 0.57% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.57%
Expense ratio chart for DGRW: current value at 0.28% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.28%

Risk-Adjusted Performance

CGW vs. DGRW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P Global Water Index ETF (CGW) and WisdomTree U.S. Dividend Growth Fund (DGRW). 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.


CGW
Sharpe ratio
The chart of Sharpe ratio for CGW, currently valued at 1.71, compared to the broader market0.002.004.006.001.71
Sortino ratio
The chart of Sortino ratio for CGW, currently valued at 2.53, compared to the broader market0.005.0010.002.53
Omega ratio
The chart of Omega ratio for CGW, currently valued at 1.30, compared to the broader market1.001.502.002.503.001.30
Calmar ratio
The chart of Calmar ratio for CGW, currently valued at 1.17, compared to the broader market0.005.0010.0015.001.17
Martin ratio
The chart of Martin ratio for CGW, currently valued at 8.52, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.52
DGRW
Sharpe ratio
The chart of Sharpe ratio for DGRW, currently valued at 2.88, compared to the broader market0.002.004.006.002.88
Sortino ratio
The chart of Sortino ratio for DGRW, currently valued at 3.97, compared to the broader market0.005.0010.003.97
Omega ratio
The chart of Omega ratio for DGRW, currently valued at 1.54, compared to the broader market1.001.502.002.503.001.54
Calmar ratio
The chart of Calmar ratio for DGRW, currently valued at 4.83, compared to the broader market0.005.0010.0015.004.83
Martin ratio
The chart of Martin ratio for DGRW, currently valued at 18.38, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.38

CGW vs. DGRW - Sharpe Ratio Comparison

The current CGW Sharpe Ratio is 1.71, which is lower than the DGRW Sharpe Ratio of 2.88. The chart below compares the historical Sharpe Ratios of CGW and DGRW, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.71
2.88
CGW
DGRW

Dividends

CGW vs. DGRW - Dividend Comparison

CGW's dividend yield for the trailing twelve months is around 1.39%, less than DGRW's 1.53% yield.


TTM20232022202120202019201820172016201520142013
CGW
Invesco S&P Global Water Index ETF
1.39%1.55%1.45%1.59%1.41%1.48%2.14%1.71%1.65%1.67%1.77%1.52%
DGRW
WisdomTree U.S. Dividend Growth Fund
1.53%1.74%2.15%1.78%1.91%2.20%2.42%1.73%2.13%2.18%1.79%1.06%

Drawdowns

CGW vs. DGRW - Drawdown Comparison

The maximum CGW drawdown since its inception was -57.24%, which is greater than DGRW's maximum drawdown of -32.04%. Use the drawdown chart below to compare losses from any high point for CGW and DGRW. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.66%
-2.18%
CGW
DGRW

Volatility

CGW vs. DGRW - Volatility Comparison

Invesco S&P Global Water Index ETF (CGW) has a higher volatility of 4.04% compared to WisdomTree U.S. Dividend Growth Fund (DGRW) at 2.96%. This indicates that CGW's price experiences larger fluctuations and is considered to be riskier than DGRW 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%JuneJulyAugustSeptemberOctoberNovember
4.04%
2.96%
CGW
DGRW