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

Performance

GARP vs. SPY - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.43%
13.19%
GARP
SPY

Returns By Period

In the year-to-date period, GARP achieves a 36.07% return, which is significantly higher than SPY's 26.47% return.


GARP

YTD

36.07%

1M

6.13%

6M

13.43%

1Y

42.64%

5Y (annualized)

N/A

10Y (annualized)

N/A

SPY

YTD

26.47%

1M

3.03%

6M

13.19%

1Y

32.65%

5Y (annualized)

15.68%

10Y (annualized)

13.14%

Key characteristics


GARPSPY
Sharpe Ratio2.372.69
Sortino Ratio3.073.59
Omega Ratio1.431.50
Calmar Ratio3.173.88
Martin Ratio12.0817.47
Ulcer Index3.53%1.87%
Daily Std Dev17.99%12.14%
Max Drawdown-31.34%-55.19%
Current Drawdown-1.13%-0.54%

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GARP vs. SPY - Expense Ratio Comparison

GARP has a 0.15% expense ratio, which is higher than SPY's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


GARP
iShares MSCI USA Quality GARP ETF
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%
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%

Correlation

-0.50.00.51.00.9

The correlation between GARP and SPY is 0.88, 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.

Risk-Adjusted Performance

GARP vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Quality GARP ETF (GARP) 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 GARP, currently valued at 2.37, compared to the broader market0.002.004.002.372.69
The chart of Sortino ratio for GARP, currently valued at 3.07, compared to the broader market-2.000.002.004.006.008.0010.0012.003.073.59
The chart of Omega ratio for GARP, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.001.431.50
The chart of Calmar ratio for GARP, currently valued at 3.17, compared to the broader market0.005.0010.0015.0020.003.173.88
The chart of Martin ratio for GARP, currently valued at 12.08, compared to the broader market0.0020.0040.0060.0080.00100.0012.0817.47
GARP
SPY

The current GARP Sharpe Ratio is 2.37, which is comparable to the SPY Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of GARP 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.37
2.69
GARP
SPY

Dividends

GARP vs. SPY - Dividend Comparison

GARP's dividend yield for the trailing twelve months is around 0.37%, less than SPY's 1.18% yield.


TTM20232022202120202019201820172016201520142013
GARP
iShares MSCI USA Quality GARP ETF
0.37%0.75%1.85%0.67%0.75%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.18%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

GARP vs. SPY - Drawdown Comparison

The maximum GARP drawdown since its inception was -31.34%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for GARP and SPY. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.13%
-0.54%
GARP
SPY

Volatility

GARP vs. SPY - Volatility Comparison

iShares MSCI USA Quality GARP ETF (GARP) has a higher volatility of 5.76% compared to SPDR S&P 500 ETF (SPY) at 3.98%. This indicates that GARP'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%JuneJulyAugustSeptemberOctoberNovember
5.76%
3.98%
GARP
SPY