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

Key characteristics


ICLSPY
YTD Return-8.61%21.01%
1Y Return-7.29%32.86%
3Y Return (Ann)-13.67%8.37%
5Y Return (Ann)6.31%14.97%
10Y Return (Ann)1.04%12.86%
Sharpe Ratio-0.182.83
Sortino Ratio-0.023.76
Omega Ratio1.001.53
Calmar Ratio-0.104.05
Martin Ratio-0.4018.38
Ulcer Index15.42%1.85%
Daily Std Dev34.74%12.02%
Max Drawdown-63.35%-55.19%
Current Drawdown-56.69%-2.53%

Correlation

-0.50.00.51.00.4

The correlation between ICL and SPY is 0.41, 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.

Performance

ICL vs. SPY - Performance Comparison

In the year-to-date period, ICL achieves a -8.61% return, which is significantly lower than SPY's 21.01% return. Over the past 10 years, ICL has underperformed SPY with an annualized return of 1.04%, while SPY has yielded a comparatively higher 12.86% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-10.00%0.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-7.45%
10.88%
ICL
SPY

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Risk-Adjusted Performance

ICL vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ICL Group Ltd (ICL) 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.


ICL
Sharpe ratio
The chart of Sharpe ratio for ICL, currently valued at -0.18, compared to the broader market-4.00-2.000.002.00-0.18
Sortino ratio
The chart of Sortino ratio for ICL, currently valued at -0.02, compared to the broader market-4.00-2.000.002.004.00-0.02
Omega ratio
The chart of Omega ratio for ICL, currently valued at 1.00, compared to the broader market0.501.001.502.001.00
Calmar ratio
The chart of Calmar ratio for ICL, currently valued at -0.10, compared to the broader market0.002.004.006.00-0.10
Martin ratio
The chart of Martin ratio for ICL, currently valued at -0.40, compared to the broader market-10.000.0010.0020.0030.00-0.40
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.83, compared to the broader market-4.00-2.000.002.002.83
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.76, compared to the broader market-4.00-2.000.002.004.003.76
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.53, compared to the broader market0.501.001.502.001.53
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.05, compared to the broader market0.002.004.006.004.05
Martin ratio
The chart of Martin ratio for SPY, currently valued at 18.38, compared to the broader market-10.000.0010.0020.0030.0018.38

ICL vs. SPY - Sharpe Ratio Comparison

The current ICL Sharpe Ratio is -0.18, which is lower than the SPY Sharpe Ratio of 2.83. The chart below compares the historical Sharpe Ratios of ICL 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 Ratio-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-0.18
2.83
ICL
SPY

Dividends

ICL vs. SPY - Dividend Comparison

ICL's dividend yield for the trailing twelve months is around 4.39%, more than SPY's 1.23% yield.


TTM20232022202120202019201820172016201520142013
ICL
ICL Group Ltd
4.39%12.15%12.37%6.86%1.83%4.45%3.32%3.44%4.23%6.74%1.37%0.00%
SPY
SPDR S&P 500 ETF
1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

ICL vs. SPY - Drawdown Comparison

The maximum ICL drawdown since its inception was -63.35%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ICL and SPY. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-56.69%
-2.53%
ICL
SPY

Volatility

ICL vs. SPY - Volatility Comparison

ICL Group Ltd (ICL) has a higher volatility of 10.16% compared to SPDR S&P 500 ETF (SPY) at 3.15%. This indicates that ICL'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%JuneJulyAugustSeptemberOctoberNovember
10.16%
3.15%
ICL
SPY