ICVT vs. SPY
Compare and contrast key facts about iShares Convertible Bond ETF (ICVT) and SPDR S&P 500 ETF (SPY).
ICVT and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. ICVT is a passively managed fund by iShares that tracks the performance of the Barclays U.S. Convertible Cash Pay Bond > $250MM Index. It was launched on Jun 2, 2015. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both ICVT and SPY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ICVT or SPY.
Key characteristics
| ICVT | SPY | |
|---|---|---|
| YTD Return | 13.03% | 27.16% |
| 1Y Return | 24.39% | 37.73% |
| 3Y Return (Ann) | -1.63% | 10.28% |
| 5Y Return (Ann) | 11.67% | 15.97% |
| Sharpe Ratio | 2.96 | 3.25 |
| Sortino Ratio | 4.20 | 4.32 |
| Omega Ratio | 1.55 | 1.61 |
| Calmar Ratio | 0.90 | 4.74 |
| Martin Ratio | 16.09 | 21.51 |
| Ulcer Index | 1.55% | 1.85% |
| Daily Std Dev | 8.42% | 12.20% |
| Max Drawdown | -33.25% | -55.19% |
| Current Drawdown | -9.93% | 0.00% |
Correlation
The correlation between ICVT and SPY is 0.68, 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
ICVT vs. SPY - Performance Comparison
In the year-to-date period, ICVT achieves a 13.03% return, which is significantly lower than SPY's 27.16% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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ICVT vs. SPY - Expense Ratio Comparison
ICVT has a 0.20% 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%.
Risk-Adjusted Performance
ICVT vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Convertible Bond ETF (ICVT) 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.
Dividends
ICVT vs. SPY - Dividend Comparison
ICVT's dividend yield for the trailing twelve months is around 2.24%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ICVT iShares Convertible Bond ETF | 2.24% | 1.84% | 1.93% | 7.70% | 3.98% | 1.86% | 4.82% | 2.56% | 3.06% | 1.57% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
ICVT vs. SPY - Drawdown Comparison
The maximum ICVT drawdown since its inception was -33.25%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ICVT and SPY. For additional features, visit the drawdowns tool.
Volatility
ICVT vs. SPY - Volatility Comparison
The current volatility for iShares Convertible Bond ETF (ICVT) is 2.44%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.92%. This indicates that ICVT experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.