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

Correlation

The correlation between IAT and SWPPX is 0.70, 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

IAT vs. SWPPX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares U.S. Regional Banks ETF (IAT) and Schwab S&P 500 Index Fund (SWPPX). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
25.94%
9.05%
IAT
SWPPX

Key characteristics

Sharpe Ratio

IAT:

1.03

SWPPX:

2.07

Sortino Ratio

IAT:

1.66

SWPPX:

2.77

Omega Ratio

IAT:

1.20

SWPPX:

1.39

Calmar Ratio

IAT:

0.65

SWPPX:

3.08

Martin Ratio

IAT:

5.61

SWPPX:

13.27

Ulcer Index

IAT:

4.60%

SWPPX:

1.96%

Daily Std Dev

IAT:

25.22%

SWPPX:

12.59%

Max Drawdown

IAT:

-77.22%

SWPPX:

-55.06%

Current Drawdown

IAT:

-19.34%

SWPPX:

-3.02%

Returns By Period

The year-to-date returns for both investments are quite close, with IAT having a 24.59% return and SWPPX slightly higher at 25.40%. Over the past 10 years, IAT has underperformed SWPPX with an annualized return of 6.41%, while SWPPX has yielded a comparatively higher 12.96% annualized return.


IAT

YTD

24.59%

1M

-9.47%

6M

25.94%

1Y

25.31%

5Y*

3.01%

10Y*

6.41%

SWPPX

YTD

25.40%

1M

-0.99%

6M

9.05%

1Y

25.83%

5Y*

14.67%

10Y*

12.96%

Compare stocks, funds, or ETFs

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


IAT vs. SWPPX - Expense Ratio Comparison

IAT has a 0.42% expense ratio, which is higher than SWPPX's 0.02% expense ratio.


IAT
iShares U.S. Regional Banks ETF
Expense ratio chart for IAT: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%
Expense ratio chart for SWPPX: current value at 0.02% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.02%

Risk-Adjusted Performance

IAT vs. SWPPX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares U.S. Regional Banks ETF (IAT) and Schwab S&P 500 Index Fund (SWPPX). 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 IAT, currently valued at 1.03, compared to the broader market0.002.004.001.032.07
The chart of Sortino ratio for IAT, currently valued at 1.66, compared to the broader market-2.000.002.004.006.008.0010.001.662.77
The chart of Omega ratio for IAT, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.39
The chart of Calmar ratio for IAT, currently valued at 0.65, compared to the broader market0.005.0010.0015.000.653.08
The chart of Martin ratio for IAT, currently valued at 5.61, compared to the broader market0.0020.0040.0060.0080.00100.005.6113.27
IAT
SWPPX

The current IAT Sharpe Ratio is 1.03, which is lower than the SWPPX Sharpe Ratio of 2.07. The chart below compares the historical Sharpe Ratios of IAT and SWPPX, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.03
2.07
IAT
SWPPX

Dividends

IAT vs. SWPPX - Dividend Comparison

IAT's dividend yield for the trailing twelve months is around 2.95%, while SWPPX has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
IAT
iShares U.S. Regional Banks ETF
2.95%3.56%3.12%1.88%2.87%2.49%2.48%1.56%1.52%1.78%1.68%1.56%
SWPPX
Schwab S&P 500 Index Fund
0.00%1.43%1.67%1.17%1.81%1.77%2.20%1.75%1.99%2.15%1.80%1.67%

Drawdowns

IAT vs. SWPPX - Drawdown Comparison

The maximum IAT drawdown since its inception was -77.22%, which is greater than SWPPX's maximum drawdown of -55.06%. Use the drawdown chart below to compare losses from any high point for IAT and SWPPX. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-19.34%
-3.02%
IAT
SWPPX

Volatility

IAT vs. SWPPX - Volatility Comparison

iShares U.S. Regional Banks ETF (IAT) has a higher volatility of 6.43% compared to Schwab S&P 500 Index Fund (SWPPX) at 4.00%. This indicates that IAT's price experiences larger fluctuations and is considered to be riskier than SWPPX 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
6.43%
4.00%
IAT
SWPPX
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