PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
WOSC.L vs. VWRA.L
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


WOSC.LVWRA.L
YTD Return5.16%15.37%
1Y Return12.23%23.86%
3Y Return (Ann)2.40%6.20%
5Y Return (Ann)6.88%11.24%
Sharpe Ratio0.892.04
Daily Std Dev14.03%11.98%
Max Drawdown-36.13%-33.62%
Current Drawdown-1.61%-0.16%

Correlation

-0.50.00.51.00.8

The correlation between WOSC.L and VWRA.L is 0.85, 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.

Performance

WOSC.L vs. VWRA.L - Performance Comparison

In the year-to-date period, WOSC.L achieves a 5.16% return, which is significantly lower than VWRA.L's 15.37% 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
8.19%
8.39%
WOSC.L
VWRA.L

Compare stocks, funds, or ETFs

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


WOSC.L vs. VWRA.L - Expense Ratio Comparison

WOSC.L has a 0.45% expense ratio, which is higher than VWRA.L's 0.22% 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 VWRA.L: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%

Risk-Adjusted Performance

WOSC.L vs. VWRA.L - 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 FTSE All-World UCITS ETF USD Accumulating (VWRA.L). 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 1.19, compared to the broader market0.002.004.001.19
Sortino ratio
The chart of Sortino ratio for WOSC.L, currently valued at 1.82, compared to the broader market-2.000.002.004.006.008.0010.0012.001.82
Omega ratio
The chart of Omega ratio for WOSC.L, currently valued at 1.22, compared to the broader market0.501.001.502.002.503.001.22
Calmar ratio
The chart of Calmar ratio for WOSC.L, currently valued at 0.76, compared to the broader market0.005.0010.0015.000.76
Martin ratio
The chart of Martin ratio for WOSC.L, currently valued at 5.79, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.79
VWRA.L
Sharpe ratio
The chart of Sharpe ratio for VWRA.L, currently valued at 2.04, compared to the broader market0.002.004.002.04
Sortino ratio
The chart of Sortino ratio for VWRA.L, currently valued at 2.90, compared to the broader market-2.000.002.004.006.008.0010.0012.002.90
Omega ratio
The chart of Omega ratio for VWRA.L, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.37
Calmar ratio
The chart of Calmar ratio for VWRA.L, currently valued at 1.79, compared to the broader market0.005.0010.0015.001.79
Martin ratio
The chart of Martin ratio for VWRA.L, currently valued at 10.61, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.61

WOSC.L vs. VWRA.L - Sharpe Ratio Comparison

The current WOSC.L Sharpe Ratio is 0.89, which is lower than the VWRA.L Sharpe Ratio of 2.04. The chart below compares the 12-month rolling Sharpe Ratio of WOSC.L and VWRA.L.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50AprilMayJuneJulyAugustSeptember
1.19
2.04
WOSC.L
VWRA.L

Dividends

WOSC.L vs. VWRA.L - Dividend Comparison

Neither WOSC.L nor VWRA.L has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

WOSC.L vs. VWRA.L - Drawdown Comparison

The maximum WOSC.L drawdown since its inception was -36.13%, which is greater than VWRA.L's maximum drawdown of -33.62%. Use the drawdown chart below to compare losses from any high point for WOSC.L and VWRA.L. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-2.40%
-0.16%
WOSC.L
VWRA.L

Volatility

WOSC.L vs. VWRA.L - Volatility Comparison

SPDR MSCI World Small Cap UCITS ETF (WOSC.L) has a higher volatility of 5.13% compared to Vanguard FTSE All-World UCITS ETF USD Accumulating (VWRA.L) at 3.68%. This indicates that WOSC.L's price experiences larger fluctuations and is considered to be riskier than VWRA.L 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%AprilMayJuneJulyAugustSeptember
5.13%
3.68%
WOSC.L
VWRA.L