VALW.L vs. ^GSPC
VALW.L (SPDR MSCI World Value UCITS ETF) is Global Equities fund tracking the MSCI ACWI Value NR USD, while ^GSPC (S&P 500 Index) is an index. Over the past 5 years, VALW.L returned 14.46%/yr vs 13.50%/yr for ^GSPC. At a 0.43 correlation, their price movements are largely independent.
Performance
VALW.L vs. ^GSPC - Performance Comparison
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Different Trading Currencies
VALW.L is traded in GBP, while ^GSPC is traded in USD. To make them comparable, the ^GSPC values have been converted to GBP using the latest available exchange rates.
Returns By Period
In the year-to-date period, VALW.L achieves a 19.01% return, which is significantly higher than ^GSPC's 10.75% return.
VALW.L
- 1D
- -0.26%
- 1M
- 9.99%
- YTD
- 19.01%
- 6M
- 21.67%
- 1Y
- 46.02%
- 3Y*
- 21.08%
- 5Y*
- 14.46%
- 10Y*
- —
^GSPC
- 1D
- -0.47%
- 1M
- 5.75%
- YTD
- 10.75%
- 6M
- 9.70%
- 1Y
- 27.40%
- 3Y*
- 17.84%
- 5Y*
- 13.50%
- 10Y*
- 14.55%
VALW.L vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
VALW.L SPDR MSCI World Value UCITS ETF | 19.01% | 27.01% | 5.92% | 16.43% | 0.09% | 20.68% | -18.17% |
^GSPC S&P 500 Index | 10.75% | 8.10% | 25.46% | 18.02% | -9.86% | 28.09% | 2.52% |
Correlation
The correlation between VALW.L and ^GSPC is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.48 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.39 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.42 |
Correlation (All Time) Calculated using the full available price history since Sep 3, 2020 | 0.43 |
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Return for Risk
VALW.L vs. ^GSPC — Risk / Return Rank
VALW.L
^GSPC
VALW.L vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI World Value UCITS ETF (VALW.L) and S&P 500 Index (^GSPC). 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.
| VALW.L | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.46 | ||
| Sortino ratioReturn per unit of downside risk | +2.15 | ||
| Omega ratioGain probability vs. loss probability | 1.72 | 1.45 | +0.28 |
| Calmar ratioReturn relative to maximum drawdown | 6.51 | 3.43 | +3.08 |
| Martin ratioReturn relative to average drawdown | 24.41 | 12.79 | +11.62 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| VALW.L | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.84 | 2.38 | +1.46 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.14 | 0.86 | +0.29 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.80 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.67 | 0.58 | +0.09 |
Drawdowns
VALW.L vs. ^GSPC - Drawdown Comparison
The maximum VALW.L drawdown since its inception was -28.59%, smaller than the maximum ^GSPC drawdown of -37.07%. Use the drawdown chart below to compare losses from any high point for VALW.L and ^GSPC.
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Drawdown Indicators
| VALW.L | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.59% | -37.07% | +8.48% |
Max Drawdown (1Y)Largest decline over 1 year | -7.04% | -8.03% | +0.99% |
Max Drawdown (3Y)Largest decline over 3 years | -14.24% | -22.15% | +7.91% |
Max Drawdown (5Y)Largest decline over 5 years | -14.24% | -22.15% | +7.91% |
Max Drawdown (10Y)Largest decline over 10 years | — | -26.01% | — |
Current DrawdownCurrent decline from peak | -0.26% | -0.47% | +0.21% |
Average DrawdownAverage peak-to-trough decline | -4.55% | -5.32% | +0.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.88% | 2.15% | -0.27% |
Volatility
VALW.L vs. ^GSPC - Volatility Comparison
SPDR MSCI World Value UCITS ETF (VALW.L) has a higher volatility of 4.22% compared to S&P 500 Index (^GSPC) at 2.76%. This indicates that VALW.L's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VALW.L | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.22% | 2.76% | +1.46% |
Volatility (6M)Calculated over the trailing 6-month period | 9.57% | 8.23% | +1.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.92% | 11.56% | +0.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.65% | 15.86% | -3.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.68% | 18.16% | -1.48% |
Frequently Asked Questions
VALW.L and ^GSPC have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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