S100.L vs. ^AW01
Compare and contrast key facts about Invesco FTSE 100 UCITS ETF (S100.L) and FTSE All World (^AW01).
S100.L is a passively managed fund by Invesco that tracks the performance of the FTSE AllSh TR GBP. It was launched on Mar 31, 2009.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: S100.L or ^AW01.
Key characteristics
| S100.L | ^AW01 | |
|---|---|---|
| YTD Return | 8.98% | 15.48% |
| 1Y Return | 14.15% | 26.09% |
| 3Y Return (Ann) | 7.53% | 3.45% |
| 5Y Return (Ann) | 5.53% | 8.76% |
| 10Y Return (Ann) | 5.89% | 6.99% |
| Sharpe Ratio | 1.45 | 2.19 |
| Sortino Ratio | 2.13 | 2.92 |
| Omega Ratio | 1.26 | 1.42 |
| Calmar Ratio | 2.69 | 2.42 |
| Martin Ratio | 9.09 | 12.50 |
| Ulcer Index | 1.57% | 1.73% |
| Daily Std Dev | 9.83% | 9.86% |
| Max Drawdown | -34.58% | -59.48% |
| Current Drawdown | -2.57% | -1.85% |
Correlation
The correlation between S100.L and ^AW01 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
S100.L vs. ^AW01 - Performance Comparison
In the year-to-date period, S100.L achieves a 8.98% return, which is significantly lower than ^AW01's 15.48% return. Over the past 10 years, S100.L has underperformed ^AW01 with an annualized return of 5.89%, while ^AW01 has yielded a comparatively higher 6.99% annualized 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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Risk-Adjusted Performance
S100.L vs. ^AW01 - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco FTSE 100 UCITS ETF (S100.L) and FTSE All World (^AW01). 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.
Drawdowns
S100.L vs. ^AW01 - Drawdown Comparison
The maximum S100.L drawdown since its inception was -34.58%, smaller than the maximum ^AW01 drawdown of -59.48%. Use the drawdown chart below to compare losses from any high point for S100.L and ^AW01. For additional features, visit the drawdowns tool.
Volatility
S100.L vs. ^AW01 - Volatility Comparison
Invesco FTSE 100 UCITS ETF (S100.L) has a higher volatility of 3.08% compared to FTSE All World (^AW01) at 2.45%. This indicates that S100.L's price experiences larger fluctuations and is considered to be riskier than ^AW01 based on this measure. The chart below showcases a comparison of their rolling one-month volatility.