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SEGM.L vs. FRIN.L
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SEGM.LFRIN.L
YTD Return11.43%13.13%
1Y Return18.60%22.78%
3Y Return (Ann)1.05%11.19%
5Y Return (Ann)-0.50%12.81%
Sharpe Ratio0.611.60
Sortino Ratio1.102.11
Omega Ratio1.271.32
Calmar Ratio0.863.68
Martin Ratio1.3413.38
Ulcer Index14.89%1.72%
Daily Std Dev32.66%14.32%
Max Drawdown-38.42%-36.20%
Current Drawdown-8.75%-4.86%

Correlation

-0.50.00.51.00.6

The correlation between SEGM.L and FRIN.L is 0.62, 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

SEGM.L vs. FRIN.L - Performance Comparison

In the year-to-date period, SEGM.L achieves a 11.43% return, which is significantly lower than FRIN.L's 13.13% 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%MayJuneJulyAugustSeptemberOctober
10.65%
6.77%
SEGM.L
FRIN.L

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Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SEGM.L vs. FRIN.L - Expense Ratio Comparison

SEGM.L has a 0.18% expense ratio, which is lower than FRIN.L's 0.19% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


FRIN.L
Franklin FTSE India UCITS ETF
Expense ratio chart for FRIN.L: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for SEGM.L: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Risk-Adjusted Performance

SEGM.L vs. FRIN.L - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EM IMI ESG Screened UCITS ETF USD (Acc) (SEGM.L) and Franklin FTSE India UCITS ETF (FRIN.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.


SEGM.L
Sharpe ratio
The chart of Sharpe ratio for SEGM.L, currently valued at 0.86, compared to the broader market-2.000.002.004.006.000.86
Sortino ratio
The chart of Sortino ratio for SEGM.L, currently valued at 1.43, compared to the broader market0.005.0010.001.43
Omega ratio
The chart of Omega ratio for SEGM.L, currently valued at 1.32, compared to the broader market1.001.502.002.503.003.501.32
Calmar ratio
The chart of Calmar ratio for SEGM.L, currently valued at 0.93, compared to the broader market0.005.0010.0015.000.93
Martin ratio
The chart of Martin ratio for SEGM.L, currently valued at 2.21, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.21
FRIN.L
Sharpe ratio
The chart of Sharpe ratio for FRIN.L, currently valued at 2.11, compared to the broader market-2.000.002.004.006.002.11
Sortino ratio
The chart of Sortino ratio for FRIN.L, currently valued at 2.66, compared to the broader market0.005.0010.002.66
Omega ratio
The chart of Omega ratio for FRIN.L, currently valued at 1.43, compared to the broader market1.001.502.002.503.003.501.43
Calmar ratio
The chart of Calmar ratio for FRIN.L, currently valued at 4.09, compared to the broader market0.005.0010.0015.004.09
Martin ratio
The chart of Martin ratio for FRIN.L, currently valued at 15.96, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.96

SEGM.L vs. FRIN.L - Sharpe Ratio Comparison

The current SEGM.L Sharpe Ratio is 0.61, which is lower than the FRIN.L Sharpe Ratio of 1.60. The chart below compares the historical Sharpe Ratios of SEGM.L and FRIN.L, 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 Ratio0.000.501.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
0.86
2.11
SEGM.L
FRIN.L

Dividends

SEGM.L vs. FRIN.L - Dividend Comparison

Neither SEGM.L nor FRIN.L has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

SEGM.L vs. FRIN.L - Drawdown Comparison

The maximum SEGM.L drawdown since its inception was -38.42%, which is greater than FRIN.L's maximum drawdown of -36.20%. Use the drawdown chart below to compare losses from any high point for SEGM.L and FRIN.L. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-12.09%
-6.69%
SEGM.L
FRIN.L

Volatility

SEGM.L vs. FRIN.L - Volatility Comparison

iShares MSCI EM IMI ESG Screened UCITS ETF USD (Acc) (SEGM.L) has a higher volatility of 4.41% compared to Franklin FTSE India UCITS ETF (FRIN.L) at 3.34%. This indicates that SEGM.L's price experiences larger fluctuations and is considered to be riskier than FRIN.L 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%MayJuneJulyAugustSeptemberOctober
4.41%
3.34%
SEGM.L
FRIN.L