Correlation
The correlation between ^AW05 and ^GSPC 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.
^AW05 vs. ^GSPC
Compare and contrast key facts about FTSE All World ex South Africa Index (^AW05) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^AW05 or ^GSPC.
Performance
^AW05 vs. ^GSPC - Performance Comparison
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Key characteristics
^AW05:
0.85
^GSPC:
0.66
^AW05:
0.99
^GSPC:
0.94
^AW05:
1.15
^GSPC:
1.14
^AW05:
0.62
^GSPC:
0.60
^AW05:
2.55
^GSPC:
2.28
^AW05:
3.86%
^GSPC:
5.01%
^AW05:
14.33%
^GSPC:
19.77%
^AW05:
-59.47%
^GSPC:
-56.78%
^AW05:
-0.64%
^GSPC:
-3.78%
Returns By Period
In the year-to-date period, ^AW05 achieves a 4.73% return, which is significantly higher than ^GSPC's 0.51% return. Over the past 10 years, ^AW05 has underperformed ^GSPC with an annualized return of 7.33%, while ^GSPC has yielded a comparatively higher 10.85% annualized return.
^AW05
4.73%
5.45%
2.22%
12.68%
10.45%
11.53%
7.33%
^GSPC
0.51%
5.49%
-2.00%
12.02%
12.68%
14.19%
10.85%
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Risk-Adjusted Performance
^AW05 vs. ^GSPC — Risk-Adjusted Performance Rank
^AW05
^GSPC
^AW05 vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for FTSE All World ex South Africa Index (^AW05) and S&P 500 (^GSPC). 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.
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Drawdowns
^AW05 vs. ^GSPC - Drawdown Comparison
The maximum ^AW05 drawdown since its inception was -59.47%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^AW05 and ^GSPC.
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Volatility
^AW05 vs. ^GSPC - Volatility Comparison
The current volatility for FTSE All World ex South Africa Index (^AW05) is 3.26%, while S&P 500 (^GSPC) has a volatility of 4.77%. This indicates that ^AW05 experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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