PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^W2DOW vs. IRM
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^W2DOW and IRM is 0.27, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.3

Performance

^W2DOW vs. IRM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones Global ex-U.S. Index (^W2DOW) and Iron Mountain Incorporated (IRM). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
-0.82%
15.80%
^W2DOW
IRM

Key characteristics

Sharpe Ratio

^W2DOW:

0.33

IRM:

1.92

Sortino Ratio

^W2DOW:

0.51

IRM:

2.38

Omega Ratio

^W2DOW:

1.07

IRM:

1.33

Calmar Ratio

^W2DOW:

0.22

IRM:

2.58

Martin Ratio

^W2DOW:

1.12

IRM:

11.55

Ulcer Index

^W2DOW:

3.17%

IRM:

4.51%

Daily Std Dev

^W2DOW:

10.72%

IRM:

27.08%

Max Drawdown

^W2DOW:

-93.05%

IRM:

-55.71%

Current Drawdown

^W2DOW:

-9.96%

IRM:

-20.19%

Returns By Period

In the year-to-date period, ^W2DOW achieves a 2.76% return, which is significantly lower than IRM's 49.35% return. Over the past 10 years, ^W2DOW has underperformed IRM with an annualized return of 2.06%, while IRM has yielded a comparatively higher 16.66% annualized return.


^W2DOW

YTD

2.76%

1M

-1.68%

6M

-1.53%

1Y

4.65%

5Y*

1.64%

10Y*

2.06%

IRM

YTD

49.35%

1M

-12.22%

6M

15.84%

1Y

53.65%

5Y*

32.92%

10Y*

16.66%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^W2DOW vs. IRM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones Global ex-U.S. Index (^W2DOW) and Iron Mountain Incorporated (IRM). 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 ^W2DOW, currently valued at 0.33, compared to the broader market-1.000.001.002.000.331.94
The chart of Sortino ratio for ^W2DOW, currently valued at 0.51, compared to the broader market-1.000.001.002.003.000.512.40
The chart of Omega ratio for ^W2DOW, currently valued at 1.07, compared to the broader market0.800.901.001.101.201.301.401.071.34
The chart of Calmar ratio for ^W2DOW, currently valued at 0.22, compared to the broader market0.001.002.003.004.000.222.59
The chart of Martin ratio for ^W2DOW, currently valued at 1.12, compared to the broader market0.005.0010.0015.001.1212.29
^W2DOW
IRM

The current ^W2DOW Sharpe Ratio is 0.33, which is lower than the IRM Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of ^W2DOW and IRM, 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 Ratio0.001.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
0.33
1.94
^W2DOW
IRM

Drawdowns

^W2DOW vs. IRM - Drawdown Comparison

The maximum ^W2DOW drawdown since its inception was -93.05%, which is greater than IRM's maximum drawdown of -55.71%. Use the drawdown chart below to compare losses from any high point for ^W2DOW and IRM. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.96%
-20.19%
^W2DOW
IRM

Volatility

^W2DOW vs. IRM - Volatility Comparison

The current volatility for Dow Jones Global ex-U.S. Index (^W2DOW) is 2.85%, while Iron Mountain Incorporated (IRM) has a volatility of 9.61%. This indicates that ^W2DOW experiences smaller price fluctuations and is considered to be less risky than IRM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
2.85%
9.61%
^W2DOW
IRM
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab