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VALW.L vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between VALW.L and ^GSPC is 0.57, 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.


-0.50.00.51.00.6

Performance

VALW.L vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI World Value UCITS ETF (VALW.L) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-2.52%
8.86%
VALW.L
^GSPC

Key characteristics

Sharpe Ratio

VALW.L:

0.50

^GSPC:

2.10

Sortino Ratio

VALW.L:

0.73

^GSPC:

2.80

Omega Ratio

VALW.L:

1.10

^GSPC:

1.39

Calmar Ratio

VALW.L:

0.31

^GSPC:

3.09

Martin Ratio

VALW.L:

2.46

^GSPC:

13.49

Ulcer Index

VALW.L:

2.17%

^GSPC:

1.94%

Daily Std Dev

VALW.L:

10.58%

^GSPC:

12.52%

Max Drawdown

VALW.L:

-19.68%

^GSPC:

-56.78%

Current Drawdown

VALW.L:

-11.41%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, VALW.L achieves a 4.15% return, which is significantly lower than ^GSPC's 24.34% return.


VALW.L

YTD

4.15%

1M

-2.61%

6M

-1.01%

1Y

5.32%

5Y*

N/A

10Y*

N/A

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

VALW.L vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI World Value UCITS ETF (VALW.L) and S&P 500 (^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.


Sharpe ratio
The chart of Sharpe ratio for VALW.L, currently valued at 0.23, compared to the broader market0.002.004.000.231.95
The chart of Sortino ratio for VALW.L, currently valued at 0.39, compared to the broader market-2.000.002.004.006.008.0010.000.392.62
The chart of Omega ratio for VALW.L, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.051.37
The chart of Calmar ratio for VALW.L, currently valued at 0.19, compared to the broader market0.005.0010.0015.000.192.87
The chart of Martin ratio for VALW.L, currently valued at 1.01, compared to the broader market0.0020.0040.0060.0080.00100.001.0112.57
VALW.L
^GSPC

The current VALW.L Sharpe Ratio is 0.50, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of VALW.L and ^GSPC, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.23
1.95
VALW.L
^GSPC

Drawdowns

VALW.L vs. ^GSPC - Drawdown Comparison

The maximum VALW.L drawdown since its inception was -19.68%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for VALW.L and ^GSPC. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.26%
-2.62%
VALW.L
^GSPC

Volatility

VALW.L vs. ^GSPC - Volatility Comparison

SPDR MSCI World Value UCITS ETF (VALW.L) and S&P 500 (^GSPC) have volatilities of 3.62% and 3.75%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.62%
3.75%
VALW.L
^GSPC
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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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