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

Performance

ICVT vs. SPY - Performance Comparison

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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.10%
12.98%
ICVT
SPY

Returns By Period

In the year-to-date period, ICVT achieves a 13.52% return, which is significantly lower than SPY's 25.41% return.


ICVT

YTD

13.52%

1M

3.87%

6M

12.01%

1Y

22.28%

5Y (annualized)

11.63%

10Y (annualized)

N/A

SPY

YTD

25.41%

1M

1.18%

6M

12.15%

1Y

32.04%

5Y (annualized)

15.51%

10Y (annualized)

13.07%

Key characteristics


ICVTSPY
Sharpe Ratio2.612.62
Sortino Ratio3.713.50
Omega Ratio1.481.49
Calmar Ratio0.843.78
Martin Ratio14.0517.00
Ulcer Index1.55%1.87%
Daily Std Dev8.35%12.14%
Max Drawdown-33.25%-55.19%
Current Drawdown-9.54%-1.38%

Compare stocks, funds, or ETFs

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


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%.


ICVT
iShares Convertible Bond ETF
Expense ratio chart for ICVT: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
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

-0.50.00.51.00.7

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.

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.


Sharpe ratio
The chart of Sharpe ratio for ICVT, currently valued at 2.61, compared to the broader market0.002.004.002.612.62
The chart of Sortino ratio for ICVT, currently valued at 3.71, compared to the broader market-2.000.002.004.006.008.0010.0012.003.713.50
The chart of Omega ratio for ICVT, currently valued at 1.48, compared to the broader market0.501.001.502.002.503.001.481.49
The chart of Calmar ratio for ICVT, currently valued at 0.84, compared to the broader market0.005.0010.0015.000.843.78
The chart of Martin ratio for ICVT, currently valued at 14.05, compared to the broader market0.0020.0040.0060.0080.00100.0014.0517.00
ICVT
SPY

The current ICVT Sharpe Ratio is 2.61, which is comparable to the SPY Sharpe Ratio of 2.62. The chart below compares the historical Sharpe Ratios of ICVT 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.61
2.62
ICVT
SPY

Dividends

ICVT vs. SPY - Dividend Comparison

ICVT's dividend yield for the trailing twelve months is around 2.23%, more than SPY's 1.19% yield.


TTM20232022202120202019201820172016201520142013
ICVT
iShares Convertible Bond ETF
2.23%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
1.19%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.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.54%
-1.38%
ICVT
SPY

Volatility

ICVT vs. SPY - Volatility Comparison

The current volatility for iShares Convertible Bond ETF (ICVT) is 2.70%, while SPDR S&P 500 ETF (SPY) has a volatility of 4.09%. 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.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.70%
4.09%
ICVT
SPY