^SIXY vs. ^AW01
Compare and contrast key facts about Consumer Discretionary Select Sector Index (^SIXY) and FTSE All World (^AW01).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^SIXY or ^AW01.
Key characteristics
| ^SIXY | ^AW01 | |
|---|---|---|
| YTD Return | 11.19% | 16.98% |
| 1Y Return | 22.83% | 28.12% |
| 3Y Return (Ann) | 1.69% | 4.95% |
| 5Y Return (Ann) | 10.23% | 9.75% |
| 10Y Return (Ann) | 12.07% | 7.65% |
| Sharpe Ratio | 1.84 | 3.33 |
| Sortino Ratio | 2.48 | 4.42 |
| Omega Ratio | 1.32 | 1.65 |
| Calmar Ratio | 1.08 | 2.22 |
| Martin Ratio | 8.29 | 19.93 |
| Ulcer Index | 3.89% | 1.68% |
| Daily Std Dev | 17.84% | 10.25% |
| Max Drawdown | -40.25% | -59.48% |
| Current Drawdown | -5.90% | -0.58% |
Correlation
The correlation between ^SIXY and ^AW01 is 0.76, 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
^SIXY vs. ^AW01 - Performance Comparison
In the year-to-date period, ^SIXY achieves a 11.19% return, which is significantly lower than ^AW01's 16.98% return. Over the past 10 years, ^SIXY has outperformed ^AW01 with an annualized return of 12.07%, while ^AW01 has yielded a comparatively lower 7.65% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^SIXY vs. ^AW01 - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Consumer Discretionary Select Sector Index (^SIXY) and FTSE All World (^AW01). 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
^SIXY vs. ^AW01 - Drawdown Comparison
The maximum ^SIXY drawdown since its inception was -40.25%, smaller than the maximum ^AW01 drawdown of -59.48%. Use the drawdown chart below to compare losses from any high point for ^SIXY and ^AW01. For additional features, visit the drawdowns tool.
Volatility
^SIXY vs. ^AW01 - Volatility Comparison
Consumer Discretionary Select Sector Index (^SIXY) has a higher volatility of 4.13% compared to FTSE All World (^AW01) at 2.43%. This indicates that ^SIXY's price experiences larger fluctuations and is considered to be riskier than ^AW01 based on this measure. The chart below showcases a comparison of their rolling one-month volatility.