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IBTL vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between IBTL and ^GSPC is 0.10, 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.


-0.50.00.51.00.1

Performance

IBTL vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares iBonds Dec 2031 Term Treasury ETF (IBTL) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
1.02%
8.81%
IBTL
^GSPC

Key characteristics

Sharpe Ratio

IBTL:

0.12

^GSPC:

2.12

Sortino Ratio

IBTL:

0.21

^GSPC:

2.83

Omega Ratio

IBTL:

1.02

^GSPC:

1.39

Calmar Ratio

IBTL:

0.04

^GSPC:

3.13

Martin Ratio

IBTL:

0.29

^GSPC:

13.67

Ulcer Index

IBTL:

2.54%

^GSPC:

1.94%

Daily Std Dev

IBTL:

6.05%

^GSPC:

12.54%

Max Drawdown

IBTL:

-20.92%

^GSPC:

-56.78%

Current Drawdown

IBTL:

-13.61%

^GSPC:

-2.37%

Returns By Period

In the year-to-date period, IBTL achieves a 0.32% return, which is significantly lower than ^GSPC's 24.66% return.


IBTL

YTD

0.32%

1M

-0.32%

6M

1.04%

1Y

0.25%

5Y*

N/A

10Y*

N/A

^GSPC

YTD

24.66%

1M

0.49%

6M

8.64%

1Y

26.56%

5Y*

13.06%

10Y*

11.10%

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

IBTL vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares iBonds Dec 2031 Term Treasury ETF (IBTL) and S&P 500 (^GSPC). 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 IBTL, currently valued at 0.04, compared to the broader market0.002.004.000.042.12
The chart of Sortino ratio for IBTL, currently valued at 0.10, compared to the broader market-2.000.002.004.006.008.0010.000.102.83
The chart of Omega ratio for IBTL, currently valued at 1.01, compared to the broader market0.501.001.502.002.503.001.011.39
The chart of Calmar ratio for IBTL, currently valued at 0.01, compared to the broader market0.005.0010.0015.000.013.13
The chart of Martin ratio for IBTL, currently valued at 0.10, compared to the broader market0.0020.0040.0060.0080.00100.000.1013.67
IBTL
^GSPC

The current IBTL Sharpe Ratio is 0.12, which is lower than the ^GSPC Sharpe Ratio of 2.12. The chart below compares the historical Sharpe Ratios of IBTL and ^GSPC, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.04
2.12
IBTL
^GSPC

Drawdowns

IBTL vs. ^GSPC - Drawdown Comparison

The maximum IBTL drawdown since its inception was -20.92%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for IBTL and ^GSPC. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-13.61%
-2.37%
IBTL
^GSPC

Volatility

IBTL vs. ^GSPC - Volatility Comparison

The current volatility for iShares iBonds Dec 2031 Term Treasury ETF (IBTL) is 1.36%, while S&P 500 (^GSPC) has a volatility of 3.87%. This indicates that IBTL experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
1.36%
3.87%
IBTL
^GSPC
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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.

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