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JGGI.L vs. SWDA.L
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


JGGI.LSWDA.L
YTD Return12.35%12.51%
1Y Return19.84%17.99%
3Y Return (Ann)11.61%9.02%
5Y Return (Ann)13.97%11.18%
10Y Return (Ann)12.55%12.05%
Sharpe Ratio1.571.78
Daily Std Dev13.26%10.43%
Max Drawdown-54.88%-25.58%
Current Drawdown-4.20%-0.90%

Correlation

-0.50.00.51.00.6

The correlation between JGGI.L and SWDA.L is 0.63, 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

JGGI.L vs. SWDA.L - Performance Comparison

The year-to-date returns for both investments are quite close, with JGGI.L having a 12.35% return and SWDA.L slightly higher at 12.51%. Both investments have delivered pretty close results over the past 10 years, with JGGI.L having a 12.55% annualized return and SWDA.L not far behind at 12.05%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%10.00%AprilMayJuneJulyAugustSeptember
5.57%
9.11%
JGGI.L
SWDA.L

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Risk-Adjusted Performance

JGGI.L vs. SWDA.L - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JP Morgan Global Growth & Income plc (JGGI.L) and iShares Core MSCI World UCITS ETF USD (Acc) (SWDA.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.


JGGI.L
Sharpe ratio
The chart of Sharpe ratio for JGGI.L, currently valued at 1.98, compared to the broader market-4.00-2.000.002.001.98
Sortino ratio
The chart of Sortino ratio for JGGI.L, currently valued at 2.73, compared to the broader market-6.00-4.00-2.000.002.004.002.73
Omega ratio
The chart of Omega ratio for JGGI.L, currently valued at 1.34, compared to the broader market0.501.001.501.34
Calmar ratio
The chart of Calmar ratio for JGGI.L, currently valued at 2.93, compared to the broader market0.001.002.003.004.005.002.93
Martin ratio
The chart of Martin ratio for JGGI.L, currently valued at 10.69, compared to the broader market-10.000.0010.0020.0010.69
SWDA.L
Sharpe ratio
The chart of Sharpe ratio for SWDA.L, currently valued at 2.14, compared to the broader market-4.00-2.000.002.002.14
Sortino ratio
The chart of Sortino ratio for SWDA.L, currently valued at 3.00, compared to the broader market-6.00-4.00-2.000.002.004.003.00
Omega ratio
The chart of Omega ratio for SWDA.L, currently valued at 1.38, compared to the broader market0.501.001.501.38
Calmar ratio
The chart of Calmar ratio for SWDA.L, currently valued at 2.03, compared to the broader market0.001.002.003.004.005.002.03
Martin ratio
The chart of Martin ratio for SWDA.L, currently valued at 10.83, compared to the broader market-10.000.0010.0020.0010.83

JGGI.L vs. SWDA.L - Sharpe Ratio Comparison

The current JGGI.L Sharpe Ratio is 1.57, which roughly equals the SWDA.L Sharpe Ratio of 1.78. The chart below compares the 12-month rolling Sharpe Ratio of JGGI.L and SWDA.L.


Rolling 12-month Sharpe Ratio1.001.502.002.50AprilMayJuneJulyAugustSeptember
1.98
2.14
JGGI.L
SWDA.L

Dividends

JGGI.L vs. SWDA.L - Dividend Comparison

JGGI.L's dividend yield for the trailing twelve months is around 3.55%, while SWDA.L has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
JGGI.L
JP Morgan Global Growth & Income plc
3.55%3.52%3.99%3.23%2.55%0.04%0.04%0.03%0.02%0.02%0.01%1.60%
SWDA.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%

Drawdowns

JGGI.L vs. SWDA.L - Drawdown Comparison

The maximum JGGI.L drawdown since its inception was -54.88%, which is greater than SWDA.L's maximum drawdown of -25.58%. Use the drawdown chart below to compare losses from any high point for JGGI.L and SWDA.L. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-2.41%
0
JGGI.L
SWDA.L

Volatility

JGGI.L vs. SWDA.L - Volatility Comparison

JP Morgan Global Growth & Income plc (JGGI.L) has a higher volatility of 5.07% compared to iShares Core MSCI World UCITS ETF USD (Acc) (SWDA.L) at 4.12%. This indicates that JGGI.L's price experiences larger fluctuations and is considered to be riskier than SWDA.L 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%7.00%AprilMayJuneJulyAugustSeptember
5.07%
4.12%
JGGI.L
SWDA.L