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SDG vs. SPDW
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SDG and SPDW is 0.68, 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.


-0.50.00.51.0
Correlation: 0.7

Performance

SDG vs. SPDW - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Global Impact ETF (SDG) and SPDR Portfolio World ex-US ETF (SPDW). The values are adjusted to include any dividend payments, if applicable.

60.00%70.00%80.00%90.00%100.00%NovemberDecember2025FebruaryMarchApril
74.90%
83.83%
SDG
SPDW

Key characteristics

Sharpe Ratio

SDG:

-0.22

SPDW:

0.63

Sortino Ratio

SDG:

-0.19

SPDW:

1.00

Omega Ratio

SDG:

0.98

SPDW:

1.13

Calmar Ratio

SDG:

-0.13

SPDW:

0.80

Martin Ratio

SDG:

-0.40

SPDW:

2.46

Ulcer Index

SDG:

10.00%

SPDW:

4.40%

Daily Std Dev

SDG:

17.96%

SPDW:

17.27%

Max Drawdown

SDG:

-30.35%

SPDW:

-60.02%

Current Drawdown

SDG:

-23.48%

SPDW:

-0.61%

Returns By Period

In the year-to-date period, SDG achieves a 0.81% return, which is significantly lower than SPDW's 9.99% return.


SDG

YTD

0.81%

1M

-2.06%

6M

-10.10%

1Y

-4.08%

5Y*

4.75%

10Y*

N/A

SPDW

YTD

9.99%

1M

1.13%

6M

5.78%

1Y

10.77%

5Y*

11.42%

10Y*

5.31%

*Annualized

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SDG vs. SPDW - Expense Ratio Comparison

SDG has a 0.49% expense ratio, which is higher than SPDW's 0.04% expense ratio.


Expense ratio chart for SDG: current value is 0.49%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SDG: 0.49%
Expense ratio chart for SPDW: current value is 0.04%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SPDW: 0.04%

Risk-Adjusted Performance

SDG vs. SPDW — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SDG
The Risk-Adjusted Performance Rank of SDG is 1212
Overall Rank
The Sharpe Ratio Rank of SDG is 1212
Sharpe Ratio Rank
The Sortino Ratio Rank of SDG is 1111
Sortino Ratio Rank
The Omega Ratio Rank of SDG is 1111
Omega Ratio Rank
The Calmar Ratio Rank of SDG is 1313
Calmar Ratio Rank
The Martin Ratio Rank of SDG is 1414
Martin Ratio Rank

SPDW
The Risk-Adjusted Performance Rank of SPDW is 6969
Overall Rank
The Sharpe Ratio Rank of SPDW is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of SPDW is 6767
Sortino Ratio Rank
The Omega Ratio Rank of SPDW is 6666
Omega Ratio Rank
The Calmar Ratio Rank of SPDW is 7878
Calmar Ratio Rank
The Martin Ratio Rank of SPDW is 6868
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

SDG vs. SPDW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Global Impact ETF (SDG) and SPDR Portfolio World ex-US ETF (SPDW). 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.


The chart of Sharpe ratio for SDG, currently valued at -0.22, compared to the broader market-1.000.001.002.003.004.00
SDG: -0.22
SPDW: 0.63
The chart of Sortino ratio for SDG, currently valued at -0.19, compared to the broader market-2.000.002.004.006.008.00
SDG: -0.19
SPDW: 1.00
The chart of Omega ratio for SDG, currently valued at 0.98, compared to the broader market0.501.001.502.002.50
SDG: 0.98
SPDW: 1.13
The chart of Calmar ratio for SDG, currently valued at -0.13, compared to the broader market0.002.004.006.008.0010.0012.00
SDG: -0.13
SPDW: 0.80
The chart of Martin ratio for SDG, currently valued at -0.40, compared to the broader market0.0020.0040.0060.00
SDG: -0.40
SPDW: 2.46

The current SDG Sharpe Ratio is -0.22, which is lower than the SPDW Sharpe Ratio of 0.63. The chart below compares the historical Sharpe Ratios of SDG and SPDW, 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-0.500.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
-0.22
0.63
SDG
SPDW

Dividends

SDG vs. SPDW - Dividend Comparison

SDG's dividend yield for the trailing twelve months is around 1.93%, less than SPDW's 2.90% yield.


TTM20242023202220212020201920182017201620152014
SDG
iShares MSCI Global Impact ETF
1.93%1.95%1.77%1.82%1.66%0.97%1.39%2.47%2.54%1.34%0.00%0.00%
SPDW
SPDR Portfolio World ex-US ETF
2.90%3.19%2.75%3.12%3.04%1.87%3.13%3.08%1.86%3.11%2.79%3.51%

Drawdowns

SDG vs. SPDW - Drawdown Comparison

The maximum SDG drawdown since its inception was -30.35%, smaller than the maximum SPDW drawdown of -60.02%. Use the drawdown chart below to compare losses from any high point for SDG and SPDW. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-23.48%
-0.61%
SDG
SPDW

Volatility

SDG vs. SPDW - Volatility Comparison

The current volatility for iShares MSCI Global Impact ETF (SDG) is 9.86%, while SPDR Portfolio World ex-US ETF (SPDW) has a volatility of 11.45%. This indicates that SDG experiences smaller price fluctuations and is considered to be less risky than SPDW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%NovemberDecember2025FebruaryMarchApril
9.86%
11.45%
SDG
SPDW