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GARP vs. SPGP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


GARPSPGP
YTD Return37.12%13.41%
1Y Return48.28%23.66%
3Y Return (Ann)13.22%6.47%
Sharpe Ratio2.701.58
Sortino Ratio3.462.22
Omega Ratio1.491.28
Calmar Ratio3.602.46
Martin Ratio13.807.43
Ulcer Index3.50%3.17%
Daily Std Dev17.92%14.94%
Max Drawdown-31.34%-42.08%
Current Drawdown-0.37%-0.81%

Correlation

-0.50.00.51.00.8

The correlation between GARP and SPGP is 0.77, 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

GARP vs. SPGP - Performance Comparison

In the year-to-date period, GARP achieves a 37.12% return, which is significantly higher than SPGP's 13.41% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
17.42%
6.95%
GARP
SPGP

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GARP vs. SPGP - Expense Ratio Comparison

GARP has a 0.15% expense ratio, which is lower than SPGP's 0.36% expense ratio.


SPGP
Invesco S&P 500 GARP ETF
Expense ratio chart for SPGP: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
Expense ratio chart for GARP: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

GARP vs. SPGP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Quality GARP ETF (GARP) and Invesco S&P 500 GARP ETF (SPGP). 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.


GARP
Sharpe ratio
The chart of Sharpe ratio for GARP, currently valued at 2.70, compared to the broader market-2.000.002.004.006.002.70
Sortino ratio
The chart of Sortino ratio for GARP, currently valued at 3.46, compared to the broader market-2.000.002.004.006.008.0010.0012.003.46
Omega ratio
The chart of Omega ratio for GARP, currently valued at 1.49, compared to the broader market1.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for GARP, currently valued at 3.60, compared to the broader market0.005.0010.0015.003.60
Martin ratio
The chart of Martin ratio for GARP, currently valued at 13.80, compared to the broader market0.0020.0040.0060.0080.00100.0013.80
SPGP
Sharpe ratio
The chart of Sharpe ratio for SPGP, currently valued at 1.58, compared to the broader market-2.000.002.004.006.001.58
Sortino ratio
The chart of Sortino ratio for SPGP, currently valued at 2.22, compared to the broader market-2.000.002.004.006.008.0010.0012.002.22
Omega ratio
The chart of Omega ratio for SPGP, currently valued at 1.28, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for SPGP, currently valued at 2.46, compared to the broader market0.005.0010.0015.002.46
Martin ratio
The chart of Martin ratio for SPGP, currently valued at 7.43, compared to the broader market0.0020.0040.0060.0080.00100.007.43

GARP vs. SPGP - Sharpe Ratio Comparison

The current GARP Sharpe Ratio is 2.70, which is higher than the SPGP Sharpe Ratio of 1.58. The chart below compares the historical Sharpe Ratios of GARP and SPGP, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.70
1.58
GARP
SPGP

Dividends

GARP vs. SPGP - Dividend Comparison

GARP's dividend yield for the trailing twelve months is around 0.36%, less than SPGP's 1.31% yield.


TTM20232022202120202019201820172016201520142013
GARP
iShares MSCI USA Quality GARP ETF
0.36%0.75%1.85%0.67%0.75%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPGP
Invesco S&P 500 GARP ETF
1.31%1.24%1.22%0.69%1.10%0.86%0.95%0.68%0.89%1.12%1.52%2.11%

Drawdowns

GARP vs. SPGP - Drawdown Comparison

The maximum GARP drawdown since its inception was -31.34%, smaller than the maximum SPGP drawdown of -42.08%. Use the drawdown chart below to compare losses from any high point for GARP and SPGP. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.37%
-0.81%
GARP
SPGP

Volatility

GARP vs. SPGP - Volatility Comparison

iShares MSCI USA Quality GARP ETF (GARP) has a higher volatility of 5.92% compared to Invesco S&P 500 GARP ETF (SPGP) at 5.45%. This indicates that GARP's price experiences larger fluctuations and is considered to be riskier than SPGP 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%JuneJulyAugustSeptemberOctoberNovember
5.92%
5.45%
GARP
SPGP