PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SPWO vs. KSA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SPWOKSA
YTD Return15.96%0.75%
Daily Std Dev15.97%13.38%
Max Drawdown-9.89%-40.56%
Current Drawdown-2.00%-12.73%

Correlation

-0.50.00.51.00.3

The correlation between SPWO and KSA is 0.30, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

SPWO vs. KSA - Performance Comparison

In the year-to-date period, SPWO achieves a 15.96% return, which is significantly higher than KSA's 0.75% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.24%
-1.64%
SPWO
KSA

Compare stocks, funds, or ETFs

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


SPWO vs. KSA - Expense Ratio Comparison

SPWO has a 0.55% expense ratio, which is lower than KSA's 0.74% expense ratio.


KSA
iShares MSCI Saudi Arabia ETF
Expense ratio chart for KSA: current value at 0.74% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.74%
Expense ratio chart for SPWO: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%

Risk-Adjusted Performance

SPWO vs. KSA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SP Funds S&P World ETF (SPWO) and iShares MSCI Saudi Arabia ETF (KSA). 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.


SPWO
Sharpe ratio
No data
KSA
Sharpe ratio
The chart of Sharpe ratio for KSA, currently valued at 0.89, compared to the broader market-2.000.002.004.006.000.89
Sortino ratio
The chart of Sortino ratio for KSA, currently valued at 1.30, compared to the broader market0.005.0010.001.30
Omega ratio
The chart of Omega ratio for KSA, currently valued at 1.17, compared to the broader market1.001.502.002.503.003.501.17
Calmar ratio
The chart of Calmar ratio for KSA, currently valued at 0.54, compared to the broader market0.005.0010.0015.0020.000.54
Martin ratio
The chart of Martin ratio for KSA, currently valued at 2.37, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.37

SPWO vs. KSA - Sharpe Ratio Comparison


Chart placeholderNot enough data

Dividends

SPWO vs. KSA - Dividend Comparison

SPWO's dividend yield for the trailing twelve months is around 0.95%, less than KSA's 2.75% yield.


TTM202320222021202020192018201720162015
SPWO
SP Funds S&P World ETF
0.95%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
KSA
iShares MSCI Saudi Arabia ETF
2.75%2.44%1.93%1.58%1.76%2.15%2.51%2.30%3.05%0.04%

Drawdowns

SPWO vs. KSA - Drawdown Comparison

The maximum SPWO drawdown since its inception was -9.89%, smaller than the maximum KSA drawdown of -40.56%. Use the drawdown chart below to compare losses from any high point for SPWO and KSA. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.00%
-5.33%
SPWO
KSA

Volatility

SPWO vs. KSA - Volatility Comparison

SP Funds S&P World ETF (SPWO) has a higher volatility of 4.64% compared to iShares MSCI Saudi Arabia ETF (KSA) at 2.96%. This indicates that SPWO's price experiences larger fluctuations and is considered to be riskier than KSA 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%JuneJulyAugustSeptemberOctoberNovember
4.64%
2.96%
SPWO
KSA