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SPWO vs. SPUS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPWO and SPUS is 0.65, 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.


-0.50.00.51.00.7

Performance

SPWO vs. SPUS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SP Funds S&P World ETF (SPWO) and SP Funds S&P 500 Sharia Industry Exclusions ETF (SPUS). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
1.14%
9.52%
SPWO
SPUS

Key characteristics

Sharpe Ratio

SPWO:

0.76

SPUS:

1.90

Sortino Ratio

SPWO:

1.16

SPUS:

2.52

Omega Ratio

SPWO:

1.14

SPUS:

1.35

Calmar Ratio

SPWO:

1.23

SPUS:

2.58

Martin Ratio

SPWO:

3.75

SPUS:

10.20

Ulcer Index

SPWO:

3.25%

SPUS:

2.90%

Daily Std Dev

SPWO:

16.14%

SPUS:

15.61%

Max Drawdown

SPWO:

-9.89%

SPUS:

-30.80%

Current Drawdown

SPWO:

-6.22%

SPUS:

-1.64%

Returns By Period

In the year-to-date period, SPWO achieves a 10.98% return, which is significantly lower than SPUS's 29.07% return.


SPWO

YTD

10.98%

1M

-0.15%

6M

1.14%

1Y

12.87%

5Y*

N/A

10Y*

N/A

SPUS

YTD

29.07%

1M

3.19%

6M

9.53%

1Y

29.49%

5Y*

17.92%

10Y*

N/A

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. SPUS - Expense Ratio Comparison

SPWO has a 0.55% expense ratio, which is higher than SPUS's 0.49% expense ratio.


SPWO
SP Funds S&P World ETF
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%
Expense ratio chart for SPUS: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%

Risk-Adjusted Performance

SPWO vs. SPUS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SP Funds S&P World ETF (SPWO) and SP Funds S&P 500 Sharia Industry Exclusions ETF (SPUS). 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 SPWO, currently valued at 0.76, compared to the broader market0.002.004.000.761.90
The chart of Sortino ratio for SPWO, currently valued at 1.16, compared to the broader market-2.000.002.004.006.008.0010.001.162.52
The chart of Omega ratio for SPWO, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.35
The chart of Calmar ratio for SPWO, currently valued at 1.23, compared to the broader market0.005.0010.0015.001.232.58
The chart of Martin ratio for SPWO, currently valued at 3.75, compared to the broader market0.0020.0040.0060.0080.00100.003.7510.20
SPWO
SPUS

The current SPWO Sharpe Ratio is 0.76, which is lower than the SPUS Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of SPWO and SPUS, 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 Ratio0.801.001.201.401.601.80
0.76
1.90
SPWO
SPUS

Dividends

SPWO vs. SPUS - Dividend Comparison

SPWO's dividend yield for the trailing twelve months is around 1.12%, more than SPUS's 0.68% yield.


TTM2023202220212020
SPWO
SP Funds S&P World ETF
1.12%0.00%0.00%0.00%0.00%
SPUS
SP Funds S&P 500 Sharia Industry Exclusions ETF
0.68%0.87%1.21%0.93%1.04%

Drawdowns

SPWO vs. SPUS - Drawdown Comparison

The maximum SPWO drawdown since its inception was -9.89%, smaller than the maximum SPUS drawdown of -30.80%. Use the drawdown chart below to compare losses from any high point for SPWO and SPUS. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.22%
-1.64%
SPWO
SPUS

Volatility

SPWO vs. SPUS - Volatility Comparison

SP Funds S&P World ETF (SPWO) has a higher volatility of 4.86% compared to SP Funds S&P 500 Sharia Industry Exclusions ETF (SPUS) at 4.11%. This indicates that SPWO's price experiences larger fluctuations and is considered to be riskier than SPUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.86%
4.11%
SPWO
SPUS
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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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