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

Correlation

The correlation between SPGM and SPGP is 0.73, 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.


-0.50.00.51.00.7

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.

0.00%100.00%200.00%300.00%400.00%500.00%JulyAugustSeptemberOctoberNovemberDecember
-16.40%
458.35%
SPGM
SPGP

Key characteristics

Sharpe Ratio

SPGM:

1.52

SPGP:

0.55

Sortino Ratio

SPGM:

2.08

SPGP:

0.84

Omega Ratio

SPGM:

1.28

SPGP:

1.10

Calmar Ratio

SPGM:

0.62

SPGP:

0.85

Martin Ratio

SPGM:

9.67

SPGP:

2.50

Ulcer Index

SPGM:

1.90%

SPGP:

3.25%

Daily Std Dev

SPGM:

12.06%

SPGP:

14.86%

Max Drawdown

SPGM:

-77.71%

SPGP:

-42.08%

Current Drawdown

SPGM:

-16.40%

SPGP:

-7.45%

Returns By Period

In the year-to-date period, SPGM achieves a 16.62% return, which is significantly higher than SPGP's 7.30% return. Over the past 10 years, SPGM has underperformed SPGP with an annualized return of 9.22%, while SPGP has yielded a comparatively higher 13.46% annualized return.


SPGM

YTD

16.62%

1M

-0.55%

6M

4.85%

1Y

17.34%

5Y*

10.40%

10Y*

9.22%

SPGP

YTD

7.30%

1M

-4.57%

6M

1.47%

1Y

6.89%

5Y*

11.82%

10Y*

13.46%

Compare stocks, funds, or ETFs

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


SPGM vs. SPGP - Expense Ratio Comparison

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


SPGP
Invesco S&P 500 GARP ETF
Expense ratio chart for SPGP: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
Expense ratio chart for SPGM: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

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.


Sharpe ratio
The chart of Sharpe ratio for SPGM, currently valued at 1.52, compared to the broader market0.002.004.001.520.55
The chart of Sortino ratio for SPGM, currently valued at 2.08, compared to the broader market-2.000.002.004.006.008.0010.002.080.84
The chart of Omega ratio for SPGM, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.001.281.10
The chart of Calmar ratio for SPGM, currently valued at 0.62, compared to the broader market0.005.0010.0015.000.620.85
The chart of Martin ratio for SPGM, currently valued at 9.67, compared to the broader market0.0020.0040.0060.0080.00100.009.672.50
SPGM
SPGP

The current SPGM Sharpe Ratio is 1.52, which is higher than the SPGP Sharpe Ratio of 0.55. 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.52
0.55
SPGM
SPGP

Dividends

SPGM vs. SPGP - Dividend Comparison

SPGM's dividend yield for the trailing twelve months is around 1.99%, more than SPGP's 1.00% yield.


TTM20232022202120202019201820172016201520142013
SPGM
SPDR Portfolio MSCI Global Stock Market ETF
1.99%2.09%2.37%1.94%1.45%2.46%1.89%2.29%1.87%3.70%2.18%1.74%
SPGP
Invesco S&P 500 GARP ETF
1.00%1.24%1.22%0.69%1.10%0.86%0.95%0.68%0.89%1.12%1.52%2.11%

Drawdowns

SPGM vs. SPGP - Drawdown Comparison

The maximum SPGM drawdown since its inception was -77.71%, which is greater than SPGP's maximum 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.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-16.40%
-7.45%
SPGM
SPGP

Volatility

SPGM vs. SPGP - Volatility Comparison

The current volatility for SPDR Portfolio MSCI Global Stock Market ETF (SPGM) is 3.53%, while Invesco S&P 500 GARP ETF (SPGP) has a volatility of 4.05%. 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.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.53%
4.05%
SPGM
SPGP
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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