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WOSC.L vs. VBR
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


WOSC.LVBR
YTD Return4.14%11.33%
1Y Return11.47%23.76%
3Y Return (Ann)2.06%7.56%
5Y Return (Ann)6.78%11.13%
10Y Return (Ann)9.46%8.97%
Sharpe Ratio0.771.35
Daily Std Dev14.06%17.43%
Max Drawdown-36.13%-62.01%
Current Drawdown-2.56%-0.10%

Correlation

-0.50.00.51.00.6

The correlation between WOSC.L and VBR is 0.62, 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

WOSC.L vs. VBR - Performance Comparison

In the year-to-date period, WOSC.L achieves a 4.14% return, which is significantly lower than VBR's 11.33% return. Over the past 10 years, WOSC.L has outperformed VBR with an annualized return of 9.46%, while VBR has yielded a comparatively lower 8.97% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%AprilMayJuneJulyAugustSeptember
6.78%
6.66%
WOSC.L
VBR

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WOSC.L vs. VBR - Expense Ratio Comparison

WOSC.L has a 0.45% expense ratio, which is higher than VBR's 0.07% expense ratio.


WOSC.L
SPDR MSCI World Small Cap UCITS ETF
Expense ratio chart for WOSC.L: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for VBR: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

WOSC.L vs. VBR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI World Small Cap UCITS ETF (WOSC.L) and Vanguard Small-Cap Value ETF (VBR). 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.


WOSC.L
Sharpe ratio
The chart of Sharpe ratio for WOSC.L, currently valued at 1.33, compared to the broader market0.002.004.001.33
Sortino ratio
The chart of Sortino ratio for WOSC.L, currently valued at 2.00, compared to the broader market-2.000.002.004.006.008.0010.0012.002.00
Omega ratio
The chart of Omega ratio for WOSC.L, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.25
Calmar ratio
The chart of Calmar ratio for WOSC.L, currently valued at 0.84, compared to the broader market0.005.0010.0015.000.84
Martin ratio
The chart of Martin ratio for WOSC.L, currently valued at 7.39, compared to the broader market0.0020.0040.0060.0080.00100.007.39
VBR
Sharpe ratio
The chart of Sharpe ratio for VBR, currently valued at 1.63, compared to the broader market0.002.004.001.63
Sortino ratio
The chart of Sortino ratio for VBR, currently valued at 2.33, compared to the broader market-2.000.002.004.006.008.0010.0012.002.33
Omega ratio
The chart of Omega ratio for VBR, currently valued at 1.29, compared to the broader market0.501.001.502.002.503.001.29
Calmar ratio
The chart of Calmar ratio for VBR, currently valued at 1.75, compared to the broader market0.005.0010.0015.001.75
Martin ratio
The chart of Martin ratio for VBR, currently valued at 8.83, compared to the broader market0.0020.0040.0060.0080.00100.008.83

WOSC.L vs. VBR - Sharpe Ratio Comparison

The current WOSC.L Sharpe Ratio is 0.77, which is lower than the VBR Sharpe Ratio of 1.35. The chart below compares the 12-month rolling Sharpe Ratio of WOSC.L and VBR.


Rolling 12-month Sharpe Ratio0.400.600.801.001.201.401.60AprilMayJuneJulyAugustSeptember
1.33
1.63
WOSC.L
VBR

Dividends

WOSC.L vs. VBR - Dividend Comparison

WOSC.L has not paid dividends to shareholders, while VBR's dividend yield for the trailing twelve months is around 2.01%.


TTM20232022202120202019201820172016201520142013
WOSC.L
SPDR MSCI World Small Cap UCITS ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VBR
Vanguard Small-Cap Value ETF
2.01%2.12%2.03%1.75%1.68%2.06%2.35%1.79%1.77%1.99%1.77%1.87%

Drawdowns

WOSC.L vs. VBR - Drawdown Comparison

The maximum WOSC.L drawdown since its inception was -36.13%, smaller than the maximum VBR drawdown of -62.01%. Use the drawdown chart below to compare losses from any high point for WOSC.L and VBR. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-3.67%
-0.10%
WOSC.L
VBR

Volatility

WOSC.L vs. VBR - Volatility Comparison

SPDR MSCI World Small Cap UCITS ETF (WOSC.L) has a higher volatility of 5.26% compared to Vanguard Small-Cap Value ETF (VBR) at 4.77%. This indicates that WOSC.L's price experiences larger fluctuations and is considered to be riskier than VBR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%AprilMayJuneJulyAugustSeptember
5.26%
4.77%
WOSC.L
VBR