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IFGL vs. WPC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IFGL and WPC is 0.43, 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.


-0.50.00.51.00.4

Performance

IFGL vs. WPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares International Developed Real Estate ETF (IFGL) and W. P. Carey Inc. (WPC). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
-5.55%
369.26%
IFGL
WPC

Key characteristics

Sharpe Ratio

IFGL:

-0.37

WPC:

-0.50

Sortino Ratio

IFGL:

-0.41

WPC:

-0.56

Omega Ratio

IFGL:

0.95

WPC:

0.93

Calmar Ratio

IFGL:

-0.17

WPC:

-0.33

Martin Ratio

IFGL:

-0.84

WPC:

-0.85

Ulcer Index

IFGL:

6.53%

WPC:

12.36%

Daily Std Dev

IFGL:

14.88%

WPC:

21.07%

Max Drawdown

IFGL:

-70.14%

WPC:

-52.45%

Current Drawdown

IFGL:

-30.62%

WPC:

-28.88%

Returns By Period

In the year-to-date period, IFGL achieves a -8.02% return, which is significantly higher than WPC's -12.40% return. Over the past 10 years, IFGL has underperformed WPC with an annualized return of -0.39%, while WPC has yielded a comparatively higher 3.31% annualized return.


IFGL

YTD

-8.02%

1M

-3.59%

6M

-1.44%

1Y

-6.74%

5Y*

-5.55%

10Y*

-0.39%

WPC

YTD

-12.40%

1M

-4.57%

6M

1.40%

1Y

-11.36%

5Y*

-0.94%

10Y*

3.31%

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Risk-Adjusted Performance

IFGL vs. WPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares International Developed Real Estate ETF (IFGL) and W. P. Carey Inc. (WPC). 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 IFGL, currently valued at -0.37, compared to the broader market0.002.004.00-0.37-0.50
The chart of Sortino ratio for IFGL, currently valued at -0.41, compared to the broader market-2.000.002.004.006.008.0010.00-0.41-0.56
The chart of Omega ratio for IFGL, currently valued at 0.95, compared to the broader market0.501.001.502.002.503.000.950.93
The chart of Calmar ratio for IFGL, currently valued at -0.17, compared to the broader market0.005.0010.0015.00-0.17-0.33
The chart of Martin ratio for IFGL, currently valued at -0.84, compared to the broader market0.0020.0040.0060.0080.00100.00-0.84-0.85
IFGL
WPC

The current IFGL Sharpe Ratio is -0.37, which is comparable to the WPC Sharpe Ratio of -0.50. The chart below compares the historical Sharpe Ratios of IFGL and WPC, 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 Ratio-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
-0.37
-0.50
IFGL
WPC

Dividends

IFGL vs. WPC - Dividend Comparison

IFGL's dividend yield for the trailing twelve months is around 4.87%, less than WPC's 6.40% yield.


TTM20232022202120202019201820172016201520142013
IFGL
iShares International Developed Real Estate ETF
4.87%1.82%2.79%3.25%2.17%7.60%4.10%4.90%7.68%3.70%3.56%11.68%
WPC
W. P. Carey Inc.
6.40%6.17%5.43%5.13%5.91%5.17%6.26%5.82%6.65%6.49%5.26%5.71%

Drawdowns

IFGL vs. WPC - Drawdown Comparison

The maximum IFGL drawdown since its inception was -70.14%, which is greater than WPC's maximum drawdown of -52.45%. Use the drawdown chart below to compare losses from any high point for IFGL and WPC. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%JulyAugustSeptemberOctoberNovemberDecember
-30.62%
-28.88%
IFGL
WPC

Volatility

IFGL vs. WPC - Volatility Comparison

The current volatility for iShares International Developed Real Estate ETF (IFGL) is 4.33%, while W. P. Carey Inc. (WPC) has a volatility of 6.05%. This indicates that IFGL experiences smaller price fluctuations and is considered to be less risky than WPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
4.33%
6.05%
IFGL
WPC
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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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