Correlation
The correlation between ^SPXVTR and ^AW01 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.
^SPXVTR vs. ^AW01
Compare and contrast key facts about S&P 500 Value Total Return Index (^SPXVTR) and FTSE All World (^AW01).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^SPXVTR or ^AW01.
Performance
^SPXVTR vs. ^AW01 - Performance Comparison
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Key characteristics
^SPXVTR:
0.35
^AW01:
0.86
^SPXVTR:
0.54
^AW01:
1.00
^SPXVTR:
1.08
^AW01:
1.15
^SPXVTR:
0.28
^AW01:
0.63
^SPXVTR:
0.92
^AW01:
2.60
^SPXVTR:
5.26%
^AW01:
3.85%
^SPXVTR:
16.21%
^AW01:
14.31%
^SPXVTR:
-17.97%
^AW01:
-59.48%
^SPXVTR:
-7.64%
^AW01:
-0.51%
Returns By Period
In the year-to-date period, ^SPXVTR achieves a -0.90% return, which is significantly lower than ^AW01's 4.88% return.
^SPXVTR
-0.90%
2.66%
-7.47%
6.81%
9.82%
13.86%
N/A
^AW01
4.88%
5.83%
2.86%
12.42%
10.45%
11.55%
7.29%
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Risk-Adjusted Performance
^SPXVTR vs. ^AW01 — Risk-Adjusted Performance Rank
^SPXVTR
^AW01
^SPXVTR vs. ^AW01 - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Value Total Return Index (^SPXVTR) 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.
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Drawdowns
^SPXVTR vs. ^AW01 - Drawdown Comparison
The maximum ^SPXVTR drawdown since its inception was -17.97%, smaller than the maximum ^AW01 drawdown of -59.48%. Use the drawdown chart below to compare losses from any high point for ^SPXVTR and ^AW01.
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Volatility
^SPXVTR vs. ^AW01 - Volatility Comparison
S&P 500 Value Total Return Index (^SPXVTR) has a higher volatility of 4.38% compared to FTSE All World (^AW01) at 3.24%. This indicates that ^SPXVTR'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.
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