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^AW03 vs. ^IBEX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^AW03 and ^IBEX is 0.64, 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

^AW03 vs. ^IBEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FTSE All World ex UK Index (^AW03) and IBEX 35 Index (^IBEX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.70%
1.28%
^AW03
^IBEX

Key characteristics

Sharpe Ratio

^AW03:

1.91

^IBEX:

1.07

Sortino Ratio

^AW03:

2.54

^IBEX:

1.51

Omega Ratio

^AW03:

1.36

^IBEX:

1.18

Calmar Ratio

^AW03:

2.36

^IBEX:

0.37

Martin Ratio

^AW03:

10.85

^IBEX:

5.14

Ulcer Index

^AW03:

1.82%

^IBEX:

2.75%

Daily Std Dev

^AW03:

10.23%

^IBEX:

13.17%

Max Drawdown

^AW03:

-58.89%

^IBEX:

-62.65%

Current Drawdown

^AW03:

-1.95%

^IBEX:

-28.04%

Returns By Period

In the year-to-date period, ^AW03 achieves a 17.88% return, which is significantly higher than ^IBEX's 13.58% return. Over the past 10 years, ^AW03 has outperformed ^IBEX with an annualized return of 7.47%, while ^IBEX has yielded a comparatively lower 0.89% annualized return.


^AW03

YTD

17.88%

1M

0.35%

6M

6.72%

1Y

18.88%

5Y*

8.60%

10Y*

7.47%

^IBEX

YTD

13.58%

1M

-1.57%

6M

3.19%

1Y

13.47%

5Y*

3.43%

10Y*

0.89%

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Risk-Adjusted Performance

^AW03 vs. ^IBEX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FTSE All World ex UK Index (^AW03) and IBEX 35 Index (^IBEX). 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 ^AW03, currently valued at 1.91, compared to the broader market-0.500.000.501.001.502.002.501.910.46
The chart of Sortino ratio for ^AW03, currently valued at 2.54, compared to the broader market-1.000.001.002.003.002.540.72
The chart of Omega ratio for ^AW03, currently valued at 1.36, compared to the broader market0.901.001.101.201.301.401.361.09
The chart of Calmar ratio for ^AW03, currently valued at 2.36, compared to the broader market0.001.002.003.002.360.13
The chart of Martin ratio for ^AW03, currently valued at 10.85, compared to the broader market0.005.0010.0015.0010.851.68
^AW03
^IBEX

The current ^AW03 Sharpe Ratio is 1.91, which is higher than the ^IBEX Sharpe Ratio of 1.07. The chart below compares the historical Sharpe Ratios of ^AW03 and ^IBEX, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.91
0.46
^AW03
^IBEX

Drawdowns

^AW03 vs. ^IBEX - Drawdown Comparison

The maximum ^AW03 drawdown since its inception was -58.89%, smaller than the maximum ^IBEX drawdown of -62.65%. Use the drawdown chart below to compare losses from any high point for ^AW03 and ^IBEX. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.95%
-49.01%
^AW03
^IBEX

Volatility

^AW03 vs. ^IBEX - Volatility Comparison

The current volatility for FTSE All World ex UK Index (^AW03) is 2.97%, while IBEX 35 Index (^IBEX) has a volatility of 4.61%. This indicates that ^AW03 experiences smaller price fluctuations and is considered to be less risky than ^IBEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.97%
4.61%
^AW03
^IBEX
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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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