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URTH vs. ^AW01
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between URTH and ^AW01 is 0.83, 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.


-0.50.00.51.00.8

Performance

URTH vs. ^AW01 - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI World ETF (URTH) and FTSE All World (^AW01). The values are adjusted to include any dividend payments, if applicable.

150.00%200.00%250.00%300.00%JulyAugustSeptemberOctoberNovemberDecember
300.05%
175.64%
URTH
^AW01

Key characteristics

Sharpe Ratio

URTH:

1.80

^AW01:

1.75

Sortino Ratio

URTH:

2.44

^AW01:

2.34

Omega Ratio

URTH:

1.33

^AW01:

1.33

Calmar Ratio

URTH:

2.61

^AW01:

2.16

Martin Ratio

URTH:

11.27

^AW01:

10.02

Ulcer Index

URTH:

1.91%

^AW01:

1.77%

Daily Std Dev

URTH:

11.93%

^AW01:

10.06%

Max Drawdown

URTH:

-34.01%

^AW01:

-59.48%

Current Drawdown

URTH:

-3.39%

^AW01:

-3.38%

Returns By Period

In the year-to-date period, URTH achieves a 19.32% return, which is significantly higher than ^AW01's 15.76% return. Over the past 10 years, URTH has outperformed ^AW01 with an annualized return of 10.03%, while ^AW01 has yielded a comparatively lower 6.96% annualized return.


URTH

YTD

19.32%

1M

-0.72%

6M

6.93%

1Y

19.85%

5Y*

11.52%

10Y*

10.03%

^AW01

YTD

15.76%

1M

-0.41%

6M

5.31%

1Y

16.93%

5Y*

8.05%

10Y*

6.96%

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Risk-Adjusted Performance

URTH vs. ^AW01 - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI World ETF (URTH) and FTSE All World (^AW01). 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 URTH, currently valued at 1.80, compared to the broader market0.002.004.001.801.75
The chart of Sortino ratio for URTH, currently valued at 2.44, compared to the broader market-2.000.002.004.006.008.0010.002.442.34
The chart of Omega ratio for URTH, currently valued at 1.34, compared to the broader market0.501.001.502.002.503.001.341.33
The chart of Calmar ratio for URTH, currently valued at 2.59, compared to the broader market0.005.0010.0015.002.592.16
The chart of Martin ratio for URTH, currently valued at 11.26, compared to the broader market0.0020.0040.0060.0080.00100.0011.2610.02
URTH
^AW01

The current URTH Sharpe Ratio is 1.80, which is comparable to the ^AW01 Sharpe Ratio of 1.75. The chart below compares the historical Sharpe Ratios of URTH and ^AW01, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.80
1.75
URTH
^AW01

Drawdowns

URTH vs. ^AW01 - Drawdown Comparison

The maximum URTH drawdown since its inception was -34.01%, smaller than the maximum ^AW01 drawdown of -59.48%. Use the drawdown chart below to compare losses from any high point for URTH and ^AW01. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.39%
-3.38%
URTH
^AW01

Volatility

URTH vs. ^AW01 - Volatility Comparison

iShares MSCI World ETF (URTH) has a higher volatility of 3.60% compared to FTSE All World (^AW01) at 2.77%. This indicates that URTH's price experiences larger fluctuations and is considered to be riskier than ^AW01 based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.60%
2.77%
URTH
^AW01
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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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