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

Performance

CGW vs. VTI - Performance Comparison

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

200.00%250.00%300.00%350.00%400.00%450.00%JuneJulyAugustSeptemberOctoberNovember
232.61%
438.06%
CGW
VTI

Returns By Period

In the year-to-date period, CGW achieves a 10.02% return, which is significantly lower than VTI's 23.63% return. Over the past 10 years, CGW has underperformed VTI with an annualized return of 9.21%, while VTI has yielded a comparatively higher 12.59% annualized return.


CGW

YTD

10.02%

1M

-3.78%

6M

-2.18%

1Y

18.77%

5Y (annualized)

9.76%

10Y (annualized)

9.21%

VTI

YTD

23.63%

1M

0.87%

6M

11.41%

1Y

32.34%

5Y (annualized)

14.66%

10Y (annualized)

12.59%

Key characteristics


CGWVTI
Sharpe Ratio1.432.58
Sortino Ratio2.063.45
Omega Ratio1.251.48
Calmar Ratio1.143.76
Martin Ratio6.5616.56
Ulcer Index2.98%1.95%
Daily Std Dev13.70%12.51%
Max Drawdown-57.24%-55.45%
Current Drawdown-4.71%-2.43%

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CGW vs. VTI - Expense Ratio Comparison

CGW has a 0.57% expense ratio, which is higher than VTI'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 VTI: 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%

Correlation

-0.50.00.51.00.8

The correlation between CGW and VTI 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.

Risk-Adjusted Performance

CGW vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P Global Water Index ETF (CGW) and Vanguard Total Stock Market ETF (VTI). 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 market0.002.004.001.432.58
The chart of Sortino ratio for CGW, currently valued at 2.06, compared to the broader market-2.000.002.004.006.008.0010.0012.002.063.45
The chart of Omega ratio for CGW, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.48
The chart of Calmar ratio for CGW, currently valued at 1.14, compared to the broader market0.005.0010.0015.001.143.76
The chart of Martin ratio for CGW, currently valued at 6.56, compared to the broader market0.0020.0040.0060.0080.00100.006.5616.56
CGW
VTI

The current CGW Sharpe Ratio is 1.43, which is lower than the VTI Sharpe Ratio of 2.58. The chart below compares the historical Sharpe Ratios of CGW and VTI, 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
1.43
2.58
CGW
VTI

Dividends

CGW vs. VTI - Dividend Comparison

CGW's dividend yield for the trailing twelve months is around 1.41%, more than VTI's 1.29% 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%
VTI
Vanguard Total Stock Market ETF
1.29%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

CGW vs. VTI - Drawdown Comparison

The maximum CGW drawdown since its inception was -57.24%, roughly equal to the maximum VTI drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for CGW and VTI. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.71%
-2.43%
CGW
VTI

Volatility

CGW vs. VTI - Volatility Comparison

The current volatility for Invesco S&P Global Water Index ETF (CGW) is 3.85%, while Vanguard Total Stock Market ETF (VTI) has a volatility of 4.28%. This indicates that CGW experiences smaller price fluctuations and is considered to be less risky than VTI 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
3.85%
4.28%
CGW
VTI