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GII vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GII and VOO is 0.68, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

GII vs. VOO - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
9.23%
8.89%
GII
VOO

Key characteristics

Sharpe Ratio

GII:

1.33

VOO:

2.21

Sortino Ratio

GII:

1.83

VOO:

2.93

Omega Ratio

GII:

1.23

VOO:

1.41

Calmar Ratio

GII:

1.99

VOO:

3.25

Martin Ratio

GII:

6.69

VOO:

14.47

Ulcer Index

GII:

2.37%

VOO:

1.90%

Daily Std Dev

GII:

11.90%

VOO:

12.43%

Max Drawdown

GII:

-50.98%

VOO:

-33.99%

Current Drawdown

GII:

-5.35%

VOO:

-2.87%

Returns By Period

In the year-to-date period, GII achieves a 13.70% return, which is significantly lower than VOO's 25.49% return. Over the past 10 years, GII has underperformed VOO with an annualized return of 5.59%, while VOO has yielded a comparatively higher 13.04% annualized return.


GII

YTD

13.70%

1M

-3.71%

6M

9.23%

1Y

14.41%

5Y*

5.32%

10Y*

5.59%

VOO

YTD

25.49%

1M

0.01%

6M

8.65%

1Y

27.45%

5Y*

14.70%

10Y*

13.04%

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GII vs. VOO - Expense Ratio Comparison

GII has a 0.40% expense ratio, which is higher than VOO's 0.03% expense ratio.


GII
SPDR S&P Global Infrastructure ETF
Expense ratio chart for GII: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for VOO: 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

GII vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Global Infrastructure ETF (GII) and Vanguard S&P 500 ETF (VOO). 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 GII, currently valued at 1.33, compared to the broader market0.002.004.001.332.21
The chart of Sortino ratio for GII, currently valued at 1.83, compared to the broader market-2.000.002.004.006.008.0010.001.832.93
The chart of Omega ratio for GII, currently valued at 1.23, compared to the broader market0.501.001.502.002.503.001.231.41
The chart of Calmar ratio for GII, currently valued at 1.99, compared to the broader market0.005.0010.0015.001.993.25
The chart of Martin ratio for GII, currently valued at 6.69, compared to the broader market0.0020.0040.0060.0080.00100.006.6914.47
GII
VOO

The current GII Sharpe Ratio is 1.33, which is lower than the VOO Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of GII and VOO, 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 Ratio0.501.001.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
1.33
2.21
GII
VOO

Dividends

GII vs. VOO - Dividend Comparison

GII's dividend yield for the trailing twelve months is around 3.24%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
GII
SPDR S&P Global Infrastructure ETF
3.24%5.94%3.07%3.88%2.66%3.39%3.31%3.38%3.11%3.54%3.12%4.12%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

GII vs. VOO - Drawdown Comparison

The maximum GII drawdown since its inception was -50.98%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for GII and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.35%
-2.87%
GII
VOO

Volatility

GII vs. VOO - Volatility Comparison

SPDR S&P Global Infrastructure ETF (GII) has a higher volatility of 4.38% compared to Vanguard S&P 500 ETF (VOO) at 3.64%. This indicates that GII's price experiences larger fluctuations and is considered to be riskier than VOO 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%JulyAugustSeptemberOctoberNovemberDecember
4.38%
3.64%
GII
VOO
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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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