VALW.L vs. ^GSPC
Compare and contrast key facts about SPDR MSCI World Value UCITS ETF (VALW.L) and S&P 500 (^GSPC).
VALW.L is a passively managed fund by State Street that tracks the performance of the MSCI ACWI Value NR USD. It was launched on Sep 2, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VALW.L or ^GSPC.
Key characteristics
| VALW.L | ^GSPC | |
|---|---|---|
| YTD Return | 5.31% | 19.77% |
| 1Y Return | 11.96% | 31.07% |
| 3Y Return (Ann) | 7.60% | 6.78% |
| Sharpe Ratio | 0.39 | 2.67 |
| Sortino Ratio | 0.83 | 3.55 |
| Omega Ratio | 1.23 | 1.50 |
| Calmar Ratio | 0.64 | 3.45 |
| Martin Ratio | 1.02 | 17.04 |
| Ulcer Index | 12.34% | 1.90% |
| Daily Std Dev | 32.07% | 12.10% |
| Max Drawdown | -19.68% | -56.78% |
| Current Drawdown | -10.43% | -2.59% |
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.
Performance
VALW.L vs. ^GSPC - Performance Comparison
In the year-to-date period, VALW.L achieves a 5.31% return, which is significantly lower than ^GSPC's 19.77% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Volatility
VALW.L vs. ^GSPC - Volatility Comparison
The current volatility for SPDR MSCI World Value UCITS ETF (VALW.L) is 2.17%, while S&P 500 (^GSPC) has a volatility of 3.11%. This indicates that VALW.L experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.