^AW01 vs. SPY
Compare and contrast key facts about FTSE All World (^AW01) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^AW01 or SPY.
Performance
^AW01 vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, ^AW01 achieves a 16.15% return, which is significantly lower than SPY's 24.91% return. Over the past 10 years, ^AW01 has underperformed SPY with an annualized return of 6.87%, while SPY has yielded a comparatively higher 13.04% annualized return.
^AW01
16.15%
-1.22%
6.25%
23.11%
8.87%
6.87%
SPY
24.91%
0.61%
11.66%
32.24%
15.43%
13.04%
Key characteristics
| ^AW01 | SPY | |
|---|---|---|
| Sharpe Ratio | 2.10 | 2.67 |
| Sortino Ratio | 2.81 | 3.56 |
| Omega Ratio | 1.39 | 1.50 |
| Calmar Ratio | 2.49 | 3.85 |
| Martin Ratio | 12.11 | 17.38 |
| Ulcer Index | 1.74% | 1.86% |
| Daily Std Dev | 9.89% | 12.17% |
| Max Drawdown | -59.48% | -55.19% |
| Current Drawdown | -1.89% | -1.77% |
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Correlation
The correlation between ^AW01 and SPY is 0.81, 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.
Risk-Adjusted Performance
^AW01 vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for FTSE All World (^AW01) and SPDR S&P 500 ETF (SPY). 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
^AW01 vs. SPY - Drawdown Comparison
The maximum ^AW01 drawdown since its inception was -59.48%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^AW01 and SPY. For additional features, visit the drawdowns tool.
Volatility
^AW01 vs. SPY - Volatility Comparison
The current volatility for FTSE All World (^AW01) is 3.00%, while SPDR S&P 500 ETF (SPY) has a volatility of 4.08%. This indicates that ^AW01 experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.