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^AW05 vs. VONG
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^AW05 and VONG is 0.82, 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.


-0.50.00.51.00.8

Performance

^AW05 vs. VONG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FTSE All World ex South Africa Index (^AW05) and Vanguard Russell 1000 Growth ETF (VONG). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
6.47%
13.78%
^AW05
VONG

Key characteristics

Sharpe Ratio

^AW05:

1.89

VONG:

2.23

Sortino Ratio

^AW05:

2.52

VONG:

2.86

Omega Ratio

^AW05:

1.35

VONG:

1.41

Calmar Ratio

^AW05:

2.34

VONG:

2.93

Martin Ratio

^AW05:

10.78

VONG:

11.45

Ulcer Index

^AW05:

1.79%

VONG:

3.35%

Daily Std Dev

^AW05:

10.09%

VONG:

17.20%

Max Drawdown

^AW05:

-59.47%

VONG:

-32.72%

Current Drawdown

^AW05:

-2.00%

VONG:

-0.45%

Returns By Period

In the year-to-date period, ^AW05 achieves a 17.43% return, which is significantly lower than VONG's 38.22% return. Over the past 10 years, ^AW05 has underperformed VONG with an annualized return of 7.14%, while VONG has yielded a comparatively higher 16.96% annualized return.


^AW05

YTD

17.43%

1M

0.30%

6M

6.45%

1Y

18.41%

5Y*

8.32%

10Y*

7.14%

VONG

YTD

38.22%

1M

5.81%

6M

14.66%

1Y

38.40%

5Y*

19.71%

10Y*

16.96%

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Risk-Adjusted Performance

^AW05 vs. VONG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FTSE All World ex South Africa Index (^AW05) and Vanguard Russell 1000 Growth ETF (VONG). 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 ^AW05, currently valued at 1.89, compared to the broader market-0.500.000.501.001.502.002.501.892.47
The chart of Sortino ratio for ^AW05, currently valued at 2.52, compared to the broader market-1.000.001.002.003.002.523.13
The chart of Omega ratio for ^AW05, currently valued at 1.35, compared to the broader market0.901.001.101.201.301.401.351.45
The chart of Calmar ratio for ^AW05, currently valued at 2.34, compared to the broader market0.001.002.003.002.343.21
The chart of Martin ratio for ^AW05, currently valued at 10.78, compared to the broader market0.005.0010.0015.0010.7812.59
^AW05
VONG

The current ^AW05 Sharpe Ratio is 1.89, which is comparable to the VONG Sharpe Ratio of 2.23. The chart below compares the historical Sharpe Ratios of ^AW05 and VONG, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.89
2.47
^AW05
VONG

Drawdowns

^AW05 vs. VONG - Drawdown Comparison

The maximum ^AW05 drawdown since its inception was -59.47%, which is greater than VONG's maximum drawdown of -32.72%. Use the drawdown chart below to compare losses from any high point for ^AW05 and VONG. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.00%
-0.45%
^AW05
VONG

Volatility

^AW05 vs. VONG - Volatility Comparison

The current volatility for FTSE All World ex South Africa Index (^AW05) is 2.91%, while Vanguard Russell 1000 Growth ETF (VONG) has a volatility of 5.11%. This indicates that ^AW05 experiences smaller price fluctuations and is considered to be less risky than VONG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
2.91%
5.11%
^AW05
VONG
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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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