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CGW vs. GWRS
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Risk-Adjusted Performance
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Drawdowns
Volatility

Performance

CGW vs. GWRS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P Global Water Index ETF (CGW) and Global Water Resources, Inc. (GWRS). The values are adjusted to include any dividend payments, if applicable.

110.00%120.00%130.00%140.00%150.00%160.00%170.00%JuneJulyAugustSeptemberOctoberNovember
127.82%
150.56%
CGW
GWRS

Returns By Period

In the year-to-date period, CGW achieves a 10.02% return, which is significantly higher than GWRS's -1.61% return.


CGW

YTD

10.02%

1M

-4.27%

6M

-2.18%

1Y

19.56%

5Y (annualized)

9.81%

10Y (annualized)

9.17%

GWRS

YTD

-1.61%

1M

-1.87%

6M

-3.41%

1Y

12.91%

5Y (annualized)

2.56%

10Y (annualized)

N/A

Key characteristics


CGWGWRS
Sharpe Ratio1.430.29
Sortino Ratio2.060.64
Omega Ratio1.251.07
Calmar Ratio1.140.21
Martin Ratio6.561.54
Ulcer Index2.98%5.79%
Daily Std Dev13.70%31.21%
Max Drawdown-57.24%-51.67%
Current Drawdown-4.71%-33.71%

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Correlation

-0.50.00.51.00.4

The correlation between CGW and GWRS is 0.37, 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.

Risk-Adjusted Performance

CGW vs. GWRS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P Global Water Index ETF (CGW) and Global Water Resources, Inc. (GWRS). 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 CGW, currently valued at 1.43, compared to the broader market0.002.004.006.001.430.29
The chart of Sortino ratio for CGW, currently valued at 2.06, compared to the broader market-2.000.002.004.006.008.0010.0012.002.060.64
The chart of Omega ratio for CGW, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.07
The chart of Calmar ratio for CGW, currently valued at 1.14, compared to the broader market0.005.0010.0015.001.140.21
The chart of Martin ratio for CGW, currently valued at 6.56, compared to the broader market0.0020.0040.0060.0080.00100.006.561.54
CGW
GWRS

The current CGW Sharpe Ratio is 1.43, which is higher than the GWRS Sharpe Ratio of 0.29. The chart below compares the historical Sharpe Ratios of CGW and GWRS, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.43
0.29
CGW
GWRS

Dividends

CGW vs. GWRS - Dividend Comparison

CGW's dividend yield for the trailing twelve months is around 1.41%, less than GWRS's 2.38% yield.


TTM20232022202120202019201820172016201520142013
CGW
Invesco S&P Global Water Index ETF
1.41%1.55%1.45%1.59%1.41%1.48%2.14%1.71%1.65%1.67%1.77%1.52%
GWRS
Global Water Resources, Inc.
2.38%2.29%2.26%1.69%2.00%2.19%2.84%2.97%1.90%0.00%0.00%0.00%

Drawdowns

CGW vs. GWRS - Drawdown Comparison

The maximum CGW drawdown since its inception was -57.24%, which is greater than GWRS's maximum drawdown of -51.67%. Use the drawdown chart below to compare losses from any high point for CGW and GWRS. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.71%
-33.71%
CGW
GWRS

Volatility

CGW vs. GWRS - Volatility Comparison

The current volatility for Invesco S&P Global Water Index ETF (CGW) is 3.85%, while Global Water Resources, Inc. (GWRS) has a volatility of 9.05%. This indicates that CGW experiences smaller price fluctuations and is considered to be less risky than GWRS 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%12.00%JuneJulyAugustSeptemberOctoberNovember
3.85%
9.05%
CGW
GWRS