PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ARKK vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ARKK and SPY is 0.66, 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

ARKK vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ARK Innovation ETF (ARKK) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%250.00%JulyAugustSeptemberOctoberNovemberDecember
242.00%
259.52%
ARKK
SPY

Key characteristics

Sharpe Ratio

ARKK:

0.87

SPY:

2.92

Sortino Ratio

ARKK:

1.37

SPY:

3.86

Omega Ratio

ARKK:

1.16

SPY:

1.54

Calmar Ratio

ARKK:

0.42

SPY:

4.22

Martin Ratio

ARKK:

2.15

SPY:

18.99

Ulcer Index

ARKK:

14.39%

SPY:

1.87%

Daily Std Dev

ARKK:

35.66%

SPY:

12.13%

Max Drawdown

ARKK:

-80.91%

SPY:

-55.19%

Current Drawdown

ARKK:

-59.16%

SPY:

0.00%

Returns By Period

In the year-to-date period, ARKK achieves a 20.11% return, which is significantly lower than SPY's 29.08% return. Both investments have delivered pretty close results over the past 10 years, with ARKK having a 13.51% annualized return and SPY not far ahead at 13.55%.


ARKK

YTD

20.11%

1M

16.33%

6M

43.61%

1Y

27.90%

5Y (annualized)

5.79%

10Y (annualized)

13.51%

SPY

YTD

29.08%

1M

1.61%

6M

14.54%

1Y

33.86%

5Y (annualized)

15.99%

10Y (annualized)

13.55%

Compare stocks, funds, or ETFs

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


ARKK vs. SPY - Expense Ratio Comparison

ARKK has a 0.75% expense ratio, which is higher than SPY's 0.09% expense ratio.


ARKK
ARK Innovation ETF
Expense ratio chart for ARKK: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

ARKK vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ARK Innovation ETF (ARKK) and SPDR S&P 500 ETF (SPY). 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 ARKK, currently valued at 0.87, compared to the broader market0.002.004.000.872.92
The chart of Sortino ratio for ARKK, currently valued at 1.37, compared to the broader market-2.000.002.004.006.008.0010.0012.001.373.86
The chart of Omega ratio for ARKK, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.001.161.54
The chart of Calmar ratio for ARKK, currently valued at 0.42, compared to the broader market0.005.0010.0015.000.424.22
The chart of Martin ratio for ARKK, currently valued at 2.15, compared to the broader market0.0020.0040.0060.0080.00100.002.1518.99
ARKK
SPY

The current ARKK Sharpe Ratio is 0.87, which is lower than the SPY Sharpe Ratio of 2.92. The chart below compares the historical Sharpe Ratios of ARKK and SPY, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.87
2.92
ARKK
SPY

Dividends

ARKK vs. SPY - Dividend Comparison

ARKK has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.15%.


TTM20232022202120202019201820172016201520142013
ARKK
ARK Innovation ETF
0.00%0.00%0.00%0.83%1.31%0.38%3.14%1.32%0.00%2.27%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.15%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

ARKK vs. SPY - Drawdown Comparison

The maximum ARKK drawdown since its inception was -80.91%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ARKK and SPY. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-59.16%
0
ARKK
SPY

Volatility

ARKK vs. SPY - Volatility Comparison

ARK Innovation ETF (ARKK) has a higher volatility of 11.22% compared to SPDR S&P 500 ETF (SPY) at 2.20%. This indicates that ARKK's price experiences larger fluctuations and is considered to be riskier than SPY 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%14.00%JulyAugustSeptemberOctoberNovemberDecember
11.22%
2.20%
ARKK
SPY
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