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SPGM vs. SPGP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPGM and SPGP is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


Performance

SPGM vs. SPGP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Portfolio MSCI Global Stock Market ETF (SPGM) and Invesco S&P 500 GARP ETF (SPGP). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SPGM:

0.58

SPGP:

-0.05

Sortino Ratio

SPGM:

0.93

SPGP:

0.07

Omega Ratio

SPGM:

1.13

SPGP:

1.01

Calmar Ratio

SPGM:

0.61

SPGP:

-0.06

Martin Ratio

SPGM:

2.63

SPGP:

-0.21

Ulcer Index

SPGM:

3.95%

SPGP:

6.85%

Daily Std Dev

SPGM:

17.96%

SPGP:

22.39%

Max Drawdown

SPGM:

-33.96%

SPGP:

-42.08%

Current Drawdown

SPGM:

-1.51%

SPGP:

-8.97%

Returns By Period

In the year-to-date period, SPGM achieves a 3.87% return, which is significantly higher than SPGP's -2.71% return. Over the past 10 years, SPGM has underperformed SPGP with an annualized return of 9.10%, while SPGP has yielded a comparatively higher 12.68% annualized return.


SPGM

YTD

3.87%

1M

11.97%

6M

3.18%

1Y

10.32%

3Y*

13.23%

5Y*

14.40%

10Y*

9.10%

SPGP

YTD

-2.71%

1M

12.05%

6M

-6.17%

1Y

-1.21%

3Y*

8.79%

5Y*

15.50%

10Y*

12.68%

*Annualized

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Invesco S&P 500 GARP ETF

SPGM vs. SPGP - Expense Ratio Comparison

SPGM has a 0.09% expense ratio, which is lower than SPGP's 0.36% expense ratio.


Risk-Adjusted Performance

SPGM vs. SPGP — Risk-Adjusted Performance Rank

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

SPGM
The Risk-Adjusted Performance Rank of SPGM is 6060
Overall Rank
The Sharpe Ratio Rank of SPGM is 5656
Sharpe Ratio Rank
The Sortino Ratio Rank of SPGM is 5656
Sortino Ratio Rank
The Omega Ratio Rank of SPGM is 5959
Omega Ratio Rank
The Calmar Ratio Rank of SPGM is 6363
Calmar Ratio Rank
The Martin Ratio Rank of SPGM is 6666
Martin Ratio Rank

SPGP
The Risk-Adjusted Performance Rank of SPGP is 1414
Overall Rank
The Sharpe Ratio Rank of SPGP is 1414
Sharpe Ratio Rank
The Sortino Ratio Rank of SPGP is 1414
Sortino Ratio Rank
The Omega Ratio Rank of SPGP is 1414
Omega Ratio Rank
The Calmar Ratio Rank of SPGP is 1313
Calmar Ratio Rank
The Martin Ratio Rank of SPGP is 1313
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.

SPGM vs. SPGP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio MSCI Global Stock Market ETF (SPGM) and Invesco S&P 500 GARP ETF (SPGP). 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 current SPGM Sharpe Ratio is 0.58, which is higher than the SPGP Sharpe Ratio of -0.05. The chart below compares the historical Sharpe Ratios of SPGM and SPGP, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

SPGM vs. SPGP - Dividend Comparison

SPGM's dividend yield for the trailing twelve months is around 1.91%, more than SPGP's 1.50% yield.


TTM20242023202220212020201920182017201620152014
SPGM
SPDR Portfolio MSCI Global Stock Market ETF
1.91%1.98%2.09%2.37%1.94%1.45%2.46%1.89%2.29%1.87%3.70%2.18%
SPGP
Invesco S&P 500 GARP ETF
1.50%1.38%1.24%1.22%0.69%1.10%0.86%0.95%0.68%0.89%1.12%1.52%

Drawdowns

SPGM vs. SPGP - Drawdown Comparison

The maximum SPGM drawdown since its inception was -33.96%, smaller than the maximum SPGP drawdown of -42.08%. Use the drawdown chart below to compare losses from any high point for SPGM and SPGP. For additional features, visit the drawdowns tool.


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Volatility

SPGM vs. SPGP - Volatility Comparison

The current volatility for SPDR Portfolio MSCI Global Stock Market ETF (SPGM) is 4.01%, while Invesco S&P 500 GARP ETF (SPGP) has a volatility of 6.14%. This indicates that SPGM experiences smaller price fluctuations and is considered to be less risky than SPGP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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