EGMW.L vs. ^GSPC
EGMW.L (iShares MSCI World ESG Enhanced UCITS ETF USD (Acc)) is Global Equities fund tracking the MSCI ACWI NR USD, while ^GSPC (S&P 500 Index) is an index. Over the past 5 years, EGMW.L returned 11.70%/yr vs 13.60%/yr for ^GSPC. A 0.56 correlation means they provide meaningful diversification when combined.
Performance
EGMW.L vs. ^GSPC - Performance Comparison
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Different Trading Currencies
EGMW.L is traded in GBP, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to GBP using the latest available exchange rates.
Returns By Period
In the year-to-date period, EGMW.L achieves a 9.42% return, which is significantly lower than ^GSPC's 11.24% return.
EGMW.L
- 1D
- 0.11%
- 1M
- 5.23%
- YTD
- 9.42%
- 6M
- 9.73%
- 1Y
- 25.53%
- 3Y*
- 16.40%
- 5Y*
- 11.70%
- 10Y*
- —
^GSPC
- 1D
- 0.41%
- 1M
- 5.44%
- YTD
- 11.24%
- 6M
- 9.84%
- 1Y
- 28.25%
- 3Y*
- 18.03%
- 5Y*
- 13.60%
- 10Y*
- 14.50%
EGMW.L vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
EGMW.L iShares MSCI World ESG Enhanced UCITS ETF USD (Acc) | 9.42% | 11.08% | 20.29% | 16.47% | -11.09% | 24.85% | 13.66% | 0.99% |
^GSPC S&P 500 Index | 11.24% | 8.10% | 25.46% | 18.02% | -9.86% | 28.09% | 12.84% | 0.51% |
Correlation
The correlation between EGMW.L and ^GSPC is 0.62, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.62 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.57 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.56 |
Correlation (All Time) Calculated using the full available price history since Nov 25, 2019 | 0.56 |
The correlation between EGMW.L and ^GSPC has been stable across timeframes, ranging from 0.56 to 0.62 - a consistent structural relationship.
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Return for Risk
EGMW.L vs. ^GSPC — Risk / Return Rank
EGMW.L
^GSPC
EGMW.L vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI World ESG Enhanced UCITS ETF USD (Acc) (EGMW.L) and S&P 500 Index (^GSPC). 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.
| EGMW.L | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 0.00 | ||
| Sortino ratioReturn per unit of downside risk | +0.20 | ||
| Omega ratioGain probability vs. loss probability | 1.46 | 1.46 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 3.56 | 3.53 | +0.03 |
| Martin ratioReturn relative to average drawdown | 14.23 | 13.19 | +1.03 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EGMW.L | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.46 | 2.46 | 0.00 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.88 | 0.86 | +0.02 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.80 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.79 | 0.58 | +0.21 |
Drawdowns
EGMW.L vs. ^GSPC - Drawdown Comparison
The maximum EGMW.L drawdown since its inception was -23.48%, smaller than the maximum ^GSPC drawdown of -37.07%. Use the drawdown chart below to compare losses from any high point for EGMW.L and ^GSPC.
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Drawdown Indicators
| EGMW.L | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.48% | -37.07% | +13.59% |
Max Drawdown (1Y)Largest decline over 1 year | -7.14% | -8.03% | +0.89% |
Max Drawdown (3Y)Largest decline over 3 years | -19.00% | -22.15% | +3.15% |
Max Drawdown (5Y)Largest decline over 5 years | -19.00% | -22.15% | +3.15% |
Max Drawdown (10Y)Largest decline over 10 years | — | -26.01% | — |
Current DrawdownCurrent decline from peak | -0.15% | 0.00% | -0.15% |
Average DrawdownAverage peak-to-trough decline | -3.95% | -5.32% | +1.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.79% | 2.15% | -0.36% |
Volatility
EGMW.L vs. ^GSPC - Volatility Comparison
iShares MSCI World ESG Enhanced UCITS ETF USD (Acc) (EGMW.L) and S&P 500 Index (^GSPC) have volatilities of 2.55% and 2.60%, 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.
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Volatility by Period
| EGMW.L | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.55% | 2.60% | -0.05% |
Volatility (6M)Calculated over the trailing 6-month period | 7.35% | 8.20% | -0.85% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.34% | 11.52% | -1.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.31% | 15.85% | -2.54% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.05% | 18.15% | -2.10% |
Frequently Asked Questions
EGMW.L and ^GSPC have a correlation of 0.62, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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