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NORW vs. MGK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


NORWMGK
YTD Return-0.67%31.65%
1Y Return8.61%41.08%
3Y Return (Ann)-4.54%10.31%
5Y Return (Ann)6.71%20.48%
10Y Return (Ann)3.97%16.60%
Sharpe Ratio0.502.38
Sortino Ratio0.793.07
Omega Ratio1.091.43
Calmar Ratio0.413.03
Martin Ratio2.2611.53
Ulcer Index4.15%3.56%
Daily Std Dev18.66%17.25%
Max Drawdown-35.62%-48.36%
Current Drawdown-16.07%0.00%

Correlation

-0.50.00.51.00.6

The correlation between NORW and MGK is 0.59, 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

NORW vs. MGK - Performance Comparison

In the year-to-date period, NORW achieves a -0.67% return, which is significantly lower than MGK's 31.65% return. Over the past 10 years, NORW has underperformed MGK with an annualized return of 3.97%, while MGK has yielded a comparatively higher 16.60% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-3.31%
18.78%
NORW
MGK

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NORW vs. MGK - Expense Ratio Comparison

NORW has a 0.50% expense ratio, which is higher than MGK's 0.07% expense ratio.


NORW
Global X MSCI Norway ETF
Expense ratio chart for NORW: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for MGK: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

NORW vs. MGK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X MSCI Norway ETF (NORW) and Vanguard Mega Cap Growth ETF (MGK). 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.


NORW
Sharpe ratio
The chart of Sharpe ratio for NORW, currently valued at 0.50, compared to the broader market-2.000.002.004.006.000.50
Sortino ratio
The chart of Sortino ratio for NORW, currently valued at 0.79, compared to the broader market-2.000.002.004.006.008.0010.0012.000.79
Omega ratio
The chart of Omega ratio for NORW, currently valued at 1.09, compared to the broader market1.001.502.002.503.001.09
Calmar ratio
The chart of Calmar ratio for NORW, currently valued at 0.41, compared to the broader market0.005.0010.0015.000.41
Martin ratio
The chart of Martin ratio for NORW, currently valued at 2.26, compared to the broader market0.0020.0040.0060.0080.00100.002.26
MGK
Sharpe ratio
The chart of Sharpe ratio for MGK, currently valued at 2.38, compared to the broader market-2.000.002.004.006.002.38
Sortino ratio
The chart of Sortino ratio for MGK, currently valued at 3.07, compared to the broader market-2.000.002.004.006.008.0010.0012.003.07
Omega ratio
The chart of Omega ratio for MGK, currently valued at 1.43, compared to the broader market1.001.502.002.503.001.43
Calmar ratio
The chart of Calmar ratio for MGK, currently valued at 3.03, compared to the broader market0.005.0010.0015.003.03
Martin ratio
The chart of Martin ratio for MGK, currently valued at 11.53, compared to the broader market0.0020.0040.0060.0080.00100.0011.53

NORW vs. MGK - Sharpe Ratio Comparison

The current NORW Sharpe Ratio is 0.50, which is lower than the MGK Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of NORW and MGK, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
0.50
2.38
NORW
MGK

Dividends

NORW vs. MGK - Dividend Comparison

NORW's dividend yield for the trailing twelve months is around 5.34%, more than MGK's 0.42% yield.


TTM20232022202120202019201820172016201520142013
NORW
Global X MSCI Norway ETF
5.34%5.27%4.01%2.42%1.13%2.47%3.54%3.64%3.78%2.95%3.85%2.58%
MGK
Vanguard Mega Cap Growth ETF
0.42%0.50%0.70%0.41%0.65%0.85%1.12%1.23%1.53%1.43%1.25%1.29%

Drawdowns

NORW vs. MGK - Drawdown Comparison

The maximum NORW drawdown since its inception was -35.62%, smaller than the maximum MGK drawdown of -48.36%. Use the drawdown chart below to compare losses from any high point for NORW and MGK. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-16.07%
0
NORW
MGK

Volatility

NORW vs. MGK - Volatility Comparison

Global X MSCI Norway ETF (NORW) and Vanguard Mega Cap Growth ETF (MGK) have volatilities of 5.40% and 5.21%, 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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
5.40%
5.21%
NORW
MGK