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

Key characteristics


IDGTTRFK
YTD Return22.77%39.65%
1Y Return39.75%59.06%
Sharpe Ratio2.132.34
Sortino Ratio2.902.93
Omega Ratio1.381.39
Calmar Ratio1.193.42
Martin Ratio7.6311.12
Ulcer Index5.14%5.30%
Daily Std Dev18.41%25.21%
Max Drawdown-77.95%-21.86%
Current Drawdown-6.31%-0.29%

Correlation

-0.50.00.51.00.6

The correlation between IDGT and TRFK is 0.61, 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

IDGT vs. TRFK - Performance Comparison

In the year-to-date period, IDGT achieves a 22.77% return, which is significantly lower than TRFK's 39.65% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
12.34%
19.08%
IDGT
TRFK

Compare stocks, funds, or ETFs

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


IDGT vs. TRFK - Expense Ratio Comparison

IDGT has a 0.41% expense ratio, which is lower than TRFK's 0.60% expense ratio.


TRFK
Pacer Data and Digital Revolution ETF
Expense ratio chart for TRFK: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for IDGT: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%

Risk-Adjusted Performance

IDGT vs. TRFK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares U.S. Digital Infrastructure and Real Estate ETF (IDGT) and Pacer Data and Digital Revolution ETF (TRFK). 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.


IDGT
Sharpe ratio
The chart of Sharpe ratio for IDGT, currently valued at 2.13, compared to the broader market-2.000.002.004.006.002.13
Sortino ratio
The chart of Sortino ratio for IDGT, currently valued at 2.90, compared to the broader market-2.000.002.004.006.008.0010.0012.002.90
Omega ratio
The chart of Omega ratio for IDGT, currently valued at 1.38, compared to the broader market1.001.502.002.503.001.38
Calmar ratio
The chart of Calmar ratio for IDGT, currently valued at 1.62, compared to the broader market0.005.0010.0015.001.62
Martin ratio
The chart of Martin ratio for IDGT, currently valued at 7.63, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.63
TRFK
Sharpe ratio
The chart of Sharpe ratio for TRFK, currently valued at 2.34, compared to the broader market-2.000.002.004.006.002.34
Sortino ratio
The chart of Sortino ratio for TRFK, currently valued at 2.93, compared to the broader market-2.000.002.004.006.008.0010.0012.002.93
Omega ratio
The chart of Omega ratio for TRFK, currently valued at 1.39, compared to the broader market1.001.502.002.503.001.39
Calmar ratio
The chart of Calmar ratio for TRFK, currently valued at 3.42, compared to the broader market0.005.0010.0015.003.42
Martin ratio
The chart of Martin ratio for TRFK, currently valued at 11.12, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.12

IDGT vs. TRFK - Sharpe Ratio Comparison

The current IDGT Sharpe Ratio is 2.13, which is comparable to the TRFK Sharpe Ratio of 2.34. The chart below compares the historical Sharpe Ratios of IDGT and TRFK, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.13
2.34
IDGT
TRFK

Dividends

IDGT vs. TRFK - Dividend Comparison

IDGT's dividend yield for the trailing twelve months is around 1.38%, more than TRFK's 0.45% yield.


TTM20232022202120202019201820172016201520142013
IDGT
iShares U.S. Digital Infrastructure and Real Estate ETF
1.38%0.37%0.30%0.22%0.60%0.42%0.65%0.57%0.76%0.72%0.50%0.38%
TRFK
Pacer Data and Digital Revolution ETF
0.45%0.20%0.56%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

IDGT vs. TRFK - Drawdown Comparison

The maximum IDGT drawdown since its inception was -77.95%, which is greater than TRFK's maximum drawdown of -21.86%. Use the drawdown chart below to compare losses from any high point for IDGT and TRFK. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.69%
-0.29%
IDGT
TRFK

Volatility

IDGT vs. TRFK - Volatility Comparison

The current volatility for iShares U.S. Digital Infrastructure and Real Estate ETF (IDGT) is 4.47%, while Pacer Data and Digital Revolution ETF (TRFK) has a volatility of 6.86%. This indicates that IDGT experiences smaller price fluctuations and is considered to be less risky than TRFK 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%JuneJulyAugustSeptemberOctoberNovember
4.47%
6.86%
IDGT
TRFK