GLOF vs. IMID.L
Compare and contrast key facts about iShares Global Equity Factor ETF (GLOF) and SPDR MSCI ACWI IMI (IMID.L).
GLOF and IMID.L are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. GLOF is a passively managed fund by iShares that tracks the performance of the STOXX Global Equity Factor Index. It was launched on Apr 28, 2005. IMID.L is a passively managed fund by State Street that tracks the performance of the MSCI ACWI NR USD. It was launched on May 13, 2011. Both GLOF and IMID.L are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GLOF or IMID.L.
Key characteristics
| GLOF | IMID.L | |
|---|---|---|
| YTD Return | 18.70% | 17.75% |
| 1Y Return | 26.80% | 25.72% |
| 3Y Return (Ann) | 7.02% | 5.43% |
| 5Y Return (Ann) | 10.36% | 10.96% |
| Sharpe Ratio | 2.31 | 2.39 |
| Sortino Ratio | 3.11 | 3.38 |
| Omega Ratio | 1.41 | 1.44 |
| Calmar Ratio | 3.08 | 3.49 |
| Martin Ratio | 14.19 | 15.23 |
| Ulcer Index | 1.89% | 1.76% |
| Daily Std Dev | 11.63% | 11.23% |
| Max Drawdown | -34.12% | -39.56% |
| Current Drawdown | -1.74% | -0.97% |
Correlation
The correlation between GLOF and IMID.L is 0.58, 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.
Performance
GLOF vs. IMID.L - Performance Comparison
In the year-to-date period, GLOF achieves a 18.70% return, which is significantly higher than IMID.L's 17.75% 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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GLOF vs. IMID.L - Expense Ratio Comparison
GLOF has a 0.20% expense ratio, which is lower than IMID.L's 0.40% expense ratio.
Risk-Adjusted Performance
GLOF vs. IMID.L - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Global Equity Factor ETF (GLOF) and SPDR MSCI ACWI IMI (IMID.L). 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.
Dividends
GLOF vs. IMID.L - Dividend Comparison
GLOF's dividend yield for the trailing twelve months is around 2.27%, while IMID.L has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|
GLOF iShares Global Equity Factor ETF | 2.27% | 2.51% | 2.53% | 1.90% | 1.73% | 2.41% | 2.03% | 1.94% | 1.94% | 0.92% |
IMID.L SPDR MSCI ACWI IMI | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
GLOF vs. IMID.L - Drawdown Comparison
The maximum GLOF drawdown since its inception was -34.12%, smaller than the maximum IMID.L drawdown of -39.56%. Use the drawdown chart below to compare losses from any high point for GLOF and IMID.L. For additional features, visit the drawdowns tool.
Volatility
GLOF vs. IMID.L - Volatility Comparison
iShares Global Equity Factor ETF (GLOF) and SPDR MSCI ACWI IMI (IMID.L) have volatilities of 2.95% and 2.97%, 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.