ERTH vs. ^GSPC
Compare and contrast key facts about Invesco MSCI Sustainable Future ETF (ERTH) and S&P 500 (^GSPC).
ERTH is a passively managed fund by Invesco that tracks the performance of the MSCI Global Environment Select Index. It was launched on Oct 24, 2006.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ERTH or ^GSPC.
Key characteristics
| ERTH | ^GSPC | |
|---|---|---|
| YTD Return | -11.40% | 25.45% |
| 1Y Return | 3.72% | 35.64% |
| 3Y Return (Ann) | -15.95% | 8.55% |
| 5Y Return (Ann) | 1.32% | 14.13% |
| 10Y Return (Ann) | 5.78% | 11.39% |
| Sharpe Ratio | 0.20 | 2.90 |
| Sortino Ratio | 0.45 | 3.87 |
| Omega Ratio | 1.05 | 1.54 |
| Calmar Ratio | 0.09 | 4.19 |
| Martin Ratio | 0.40 | 18.72 |
| Ulcer Index | 10.74% | 1.90% |
| Daily Std Dev | 21.28% | 12.27% |
| Max Drawdown | -64.46% | -56.78% |
| Current Drawdown | -41.71% | -0.29% |
Correlation
The correlation between ERTH and ^GSPC is 0.78, 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
ERTH vs. ^GSPC - Performance Comparison
In the year-to-date period, ERTH achieves a -11.40% return, which is significantly lower than ^GSPC's 25.45% return. Over the past 10 years, ERTH has underperformed ^GSPC with an annualized return of 5.78%, while ^GSPC has yielded a comparatively higher 11.39% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
ERTH vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco MSCI Sustainable Future ETF (ERTH) and S&P 500 (^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.
Drawdowns
ERTH vs. ^GSPC - Drawdown Comparison
The maximum ERTH drawdown since its inception was -64.46%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ERTH and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
ERTH vs. ^GSPC - Volatility Comparison
Invesco MSCI Sustainable Future ETF (ERTH) has a higher volatility of 7.06% compared to S&P 500 (^GSPC) at 3.86%. This indicates that ERTH's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.