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^STOXX vs. ACWI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^STOXX and ACWI is 0.69, 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.


-0.50.00.51.00.7

Performance

^STOXX vs. ACWI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in STOXX Europe 600 Index (^STOXX) and iShares MSCI ACWI ETF (ACWI). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-4.66%
5.42%
^STOXX
ACWI

Key characteristics

Sharpe Ratio

^STOXX:

0.58

ACWI:

1.50

Sortino Ratio

^STOXX:

0.84

ACWI:

2.06

Omega Ratio

^STOXX:

1.11

ACWI:

1.27

Calmar Ratio

^STOXX:

0.83

ACWI:

2.20

Martin Ratio

^STOXX:

2.79

ACWI:

9.65

Ulcer Index

^STOXX:

2.14%

ACWI:

1.85%

Daily Std Dev

^STOXX:

10.23%

ACWI:

11.85%

Max Drawdown

^STOXX:

-61.04%

ACWI:

-56.00%

Current Drawdown

^STOXX:

-4.06%

ACWI:

-3.97%

Returns By Period

In the year-to-date period, ^STOXX achieves a 5.77% return, which is significantly lower than ACWI's 17.15% return. Over the past 10 years, ^STOXX has underperformed ACWI with an annualized return of 3.94%, while ACWI has yielded a comparatively higher 9.25% annualized return.


^STOXX

YTD

5.77%

1M

1.21%

6M

-2.36%

1Y

6.01%

5Y*

3.82%

10Y*

3.94%

ACWI

YTD

17.15%

1M

-1.11%

6M

5.00%

1Y

19.49%

5Y*

10.18%

10Y*

9.25%

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

^STOXX vs. ACWI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for STOXX Europe 600 Index (^STOXX) and iShares MSCI ACWI ETF (ACWI). 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 ^STOXX, currently valued at -0.06, compared to the broader market-1.000.001.002.00-0.061.47
The chart of Sortino ratio for ^STOXX, currently valued at 0.01, compared to the broader market-1.000.001.002.003.000.012.02
The chart of Omega ratio for ^STOXX, currently valued at 1.00, compared to the broader market0.800.901.001.101.201.301.401.001.27
The chart of Calmar ratio for ^STOXX, currently valued at -0.06, compared to the broader market0.001.002.003.004.00-0.062.12
The chart of Martin ratio for ^STOXX, currently valued at -0.17, compared to the broader market0.005.0010.0015.00-0.179.37
^STOXX
ACWI

The current ^STOXX Sharpe Ratio is 0.58, which is lower than the ACWI Sharpe Ratio of 1.50. The chart below compares the historical Sharpe Ratios of ^STOXX and ACWI, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.06
1.47
^STOXX
ACWI

Drawdowns

^STOXX vs. ACWI - Drawdown Comparison

The maximum ^STOXX drawdown since its inception was -61.04%, which is greater than ACWI's maximum drawdown of -56.00%. Use the drawdown chart below to compare losses from any high point for ^STOXX and ACWI. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.94%
-3.97%
^STOXX
ACWI

Volatility

^STOXX vs. ACWI - Volatility Comparison

The current volatility for STOXX Europe 600 Index (^STOXX) is 3.04%, while iShares MSCI ACWI ETF (ACWI) has a volatility of 3.52%. This indicates that ^STOXX experiences smaller price fluctuations and is considered to be less risky than ACWI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.04%
3.52%
^STOXX
ACWI
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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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