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

Performance

CGW vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P Global Water Index ETF (CGW) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

200.00%250.00%300.00%350.00%400.00%450.00%JuneJulyAugustSeptemberOctoberNovember
240.93%
453.98%
CGW
SPY

Returns By Period

In the year-to-date period, CGW achieves a 12.77% return, which is significantly lower than SPY's 26.90% return. Over the past 10 years, CGW has underperformed SPY with an annualized return of 9.44%, while SPY has yielded a comparatively higher 13.18% annualized return.


CGW

YTD

12.77%

1M

2.49%

6M

2.07%

1Y

20.41%

5Y (annualized)

10.01%

10Y (annualized)

9.44%

SPY

YTD

26.90%

1M

3.19%

6M

13.57%

1Y

33.01%

5Y (annualized)

15.45%

10Y (annualized)

13.18%

Key characteristics


CGWSPY
Sharpe Ratio1.492.72
Sortino Ratio2.143.62
Omega Ratio1.261.51
Calmar Ratio1.293.93
Martin Ratio6.7217.66
Ulcer Index3.04%1.87%
Daily Std Dev13.67%12.14%
Max Drawdown-57.24%-55.19%
Current Drawdown-2.32%-0.21%

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CGW vs. SPY - Expense Ratio Comparison

CGW has a 0.57% expense ratio, which is higher than SPY's 0.09% 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Correlation

The correlation between CGW and SPY 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.


-0.50.00.51.00.8

Risk-Adjusted Performance

CGW vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P Global Water Index ETF (CGW) and SPDR S&P 500 ETF (SPY). 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 1.49, compared to the broader market-2.000.002.004.001.492.72
The chart of Sortino ratio for CGW, currently valued at 2.14, compared to the broader market-2.000.002.004.006.008.0010.0012.002.143.62
The chart of Omega ratio for CGW, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.261.51
The chart of Calmar ratio for CGW, currently valued at 1.29, compared to the broader market0.005.0010.0015.001.293.93
The chart of Martin ratio for CGW, currently valued at 6.72, compared to the broader market0.0020.0040.0060.0080.00100.006.7217.66
CGW
SPY

The current CGW Sharpe Ratio is 1.49, which is lower than the SPY Sharpe Ratio of 2.72. The chart below compares the historical Sharpe Ratios of CGW and SPY, 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
1.49
2.72
CGW
SPY

Dividends

CGW vs. SPY - Dividend Comparison

CGW's dividend yield for the trailing twelve months is around 1.38%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
CGW
Invesco S&P Global Water Index ETF
1.38%1.55%1.45%1.59%1.41%1.48%2.14%1.71%1.65%1.67%1.77%1.52%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

CGW vs. SPY - Drawdown Comparison

The maximum CGW drawdown since its inception was -57.24%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CGW and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.32%
-0.21%
CGW
SPY

Volatility

CGW vs. SPY - Volatility Comparison

The current volatility for Invesco S&P Global Water Index ETF (CGW) is 3.59%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.99%. This indicates that CGW experiences smaller price fluctuations and is considered to be less risky than SPY 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
3.59%
3.99%
CGW
SPY
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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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