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IWDA.L vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


IWDA.LSPY
YTD Return18.56%23.18%
1Y Return36.75%40.57%
3Y Return (Ann)7.21%9.72%
5Y Return (Ann)12.40%15.45%
10Y Return (Ann)10.07%13.15%
Sharpe Ratio3.123.45
Sortino Ratio4.454.57
Omega Ratio1.581.65
Calmar Ratio3.744.12
Martin Ratio20.6922.62
Ulcer Index1.72%1.83%
Daily Std Dev11.37%12.01%
Max Drawdown-34.11%-55.19%
Current Drawdown-0.82%-0.78%

Correlation

-0.50.00.51.00.5

The correlation between IWDA.L and SPY is 0.52, 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

IWDA.L vs. SPY - Performance Comparison

In the year-to-date period, IWDA.L achieves a 18.56% return, which is significantly lower than SPY's 23.18% return. Over the past 10 years, IWDA.L has underperformed SPY with an annualized return of 10.07%, while SPY has yielded a comparatively higher 13.15% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctober
13.90%
16.65%
IWDA.L
SPY

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IWDA.L vs. SPY - Expense Ratio Comparison

IWDA.L has a 0.20% expense ratio, which is higher than SPY's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


IWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)
Expense ratio chart for IWDA.L: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

IWDA.L vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Core MSCI World UCITS ETF USD (Acc) (IWDA.L) and SPDR S&P 500 ETF (SPY). 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.


IWDA.L
Sharpe ratio
The chart of Sharpe ratio for IWDA.L, currently valued at 2.76, compared to the broader market-2.000.002.004.006.002.76
Sortino ratio
The chart of Sortino ratio for IWDA.L, currently valued at 3.91, compared to the broader market0.005.0010.003.91
Omega ratio
The chart of Omega ratio for IWDA.L, currently valued at 1.52, compared to the broader market1.001.502.002.503.001.52
Calmar ratio
The chart of Calmar ratio for IWDA.L, currently valued at 3.64, compared to the broader market0.005.0010.0015.003.64
Martin ratio
The chart of Martin ratio for IWDA.L, currently valued at 17.73, compared to the broader market0.0020.0040.0060.0080.00100.0017.73
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.93, compared to the broader market-2.000.002.004.006.002.93
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.92, compared to the broader market0.005.0010.003.92
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.56, compared to the broader market1.001.502.002.503.001.56
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.11, compared to the broader market0.005.0010.0015.004.11
Martin ratio
The chart of Martin ratio for SPY, currently valued at 18.85, compared to the broader market0.0020.0040.0060.0080.00100.0018.85

IWDA.L vs. SPY - Sharpe Ratio Comparison

The current IWDA.L Sharpe Ratio is 3.12, which is comparable to the SPY Sharpe Ratio of 3.45. The chart below compares the historical Sharpe Ratios of IWDA.L and SPY, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctober
2.76
2.93
IWDA.L
SPY

Dividends

IWDA.L vs. SPY - Dividend Comparison

IWDA.L has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.21%.


TTM20232022202120202019201820172016201520142013
IWDA.L
iShares Core MSCI World UCITS ETF USD (Acc)
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

IWDA.L vs. SPY - Drawdown Comparison

The maximum IWDA.L drawdown since its inception was -34.11%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for IWDA.L and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctober
-0.82%
-0.78%
IWDA.L
SPY

Volatility

IWDA.L vs. SPY - Volatility Comparison

The current volatility for iShares Core MSCI World UCITS ETF USD (Acc) (IWDA.L) is 1.84%, while SPDR S&P 500 ETF (SPY) has a volatility of 2.51%. This indicates that IWDA.L experiences smaller price fluctuations and is considered to be less risky than SPY 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%JuneJulyAugustSeptemberOctober
1.84%
2.51%
IWDA.L
SPY