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CGW vs. IVV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CGWIVV
YTD Return11.60%26.58%
1Y Return27.40%38.22%
3Y Return (Ann)0.81%9.99%
5Y Return (Ann)10.30%15.91%
10Y Return (Ann)9.39%13.38%
Sharpe Ratio1.903.11
Sortino Ratio2.774.15
Omega Ratio1.331.58
Calmar Ratio1.284.56
Martin Ratio9.3420.64
Ulcer Index2.90%1.86%
Daily Std Dev14.29%12.31%
Max Drawdown-57.24%-55.25%
Current Drawdown-3.33%0.00%

Correlation

-0.50.00.51.00.8

The correlation between CGW and IVV is 0.81, 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. IVV - Performance Comparison

In the year-to-date period, CGW achieves a 11.60% return, which is significantly lower than IVV's 26.58% return. Over the past 10 years, CGW has underperformed IVV with an annualized return of 9.39%, while IVV has yielded a comparatively higher 13.38% 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
1.23%
15.30%
CGW
IVV

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CGW vs. IVV - Expense Ratio Comparison

CGW has a 0.57% expense ratio, which is higher than IVV's 0.03% 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 IVV: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

CGW vs. IVV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P Global Water Index ETF (CGW) and iShares Core S&P 500 ETF (IVV). 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 1.90, compared to the broader market-2.000.002.004.006.001.90
Sortino ratio
The chart of Sortino ratio for CGW, currently valued at 2.77, compared to the broader market-2.000.002.004.006.008.0010.0012.002.77
Omega ratio
The chart of Omega ratio for CGW, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for CGW, currently valued at 1.28, compared to the broader market0.005.0010.0015.001.28
Martin ratio
The chart of Martin ratio for CGW, currently valued at 9.34, compared to the broader market0.0020.0040.0060.0080.00100.009.34
IVV
Sharpe ratio
The chart of Sharpe ratio for IVV, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Sortino ratio
The chart of Sortino ratio for IVV, currently valued at 4.15, compared to the broader market-2.000.002.004.006.008.0010.0012.004.15
Omega ratio
The chart of Omega ratio for IVV, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for IVV, currently valued at 4.56, compared to the broader market0.005.0010.0015.004.56
Martin ratio
The chart of Martin ratio for IVV, currently valued at 20.64, compared to the broader market0.0020.0040.0060.0080.00100.0020.64

CGW vs. IVV - Sharpe Ratio Comparison

The current CGW Sharpe Ratio is 1.90, which is lower than the IVV Sharpe Ratio of 3.11. The chart below compares the historical Sharpe Ratios of CGW and IVV, 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
1.90
3.11
CGW
IVV

Dividends

CGW vs. IVV - Dividend Comparison

CGW's dividend yield for the trailing twelve months is around 1.39%, more than IVV's 1.24% 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%
IVV
iShares Core S&P 500 ETF
1.24%1.44%1.66%1.20%1.57%1.99%2.21%1.75%2.01%2.27%1.83%1.80%

Drawdowns

CGW vs. IVV - Drawdown Comparison

The maximum CGW drawdown since its inception was -57.24%, roughly equal to the maximum IVV drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for CGW and IVV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.33%
0
CGW
IVV

Volatility

CGW vs. IVV - Volatility Comparison

Invesco S&P Global Water Index ETF (CGW) and iShares Core S&P 500 ETF (IVV) have volatilities of 4.07% and 3.96%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.07%
3.96%
CGW
IVV