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

Key characteristics


IDRVMCD
YTD Return-15.27%0.56%
1Y Return-8.64%11.98%
3Y Return (Ann)-17.12%7.20%
5Y Return (Ann)4.16%11.15%
Sharpe Ratio-0.240.70
Sortino Ratio-0.161.06
Omega Ratio0.981.14
Calmar Ratio-0.130.72
Martin Ratio-0.441.62
Ulcer Index14.55%7.67%
Daily Std Dev27.01%17.65%
Max Drawdown-50.37%-73.62%
Current Drawdown-43.85%-7.49%

Correlation

-0.50.00.51.00.3

The correlation between IDRV and MCD is 0.35, 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.

Performance

IDRV vs. MCD - Performance Comparison

In the year-to-date period, IDRV achieves a -15.27% return, which is significantly lower than MCD's 0.56% 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%20.00%JuneJulyAugustSeptemberOctoberNovember
-4.62%
10.10%
IDRV
MCD

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

IDRV vs. MCD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Self-driving EV & Tech ETF (IDRV) and McDonald's Corporation (MCD). 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.


IDRV
Sharpe ratio
The chart of Sharpe ratio for IDRV, currently valued at -0.24, compared to the broader market0.002.004.00-0.24
Sortino ratio
The chart of Sortino ratio for IDRV, currently valued at -0.16, compared to the broader market0.005.0010.00-0.16
Omega ratio
The chart of Omega ratio for IDRV, currently valued at 0.98, compared to the broader market1.001.502.002.503.003.500.98
Calmar ratio
The chart of Calmar ratio for IDRV, currently valued at -0.13, compared to the broader market0.005.0010.0015.0020.00-0.13
Martin ratio
The chart of Martin ratio for IDRV, currently valued at -0.44, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.44
MCD
Sharpe ratio
The chart of Sharpe ratio for MCD, currently valued at 0.70, compared to the broader market0.002.004.000.70
Sortino ratio
The chart of Sortino ratio for MCD, currently valued at 1.06, compared to the broader market0.005.0010.001.06
Omega ratio
The chart of Omega ratio for MCD, currently valued at 1.14, compared to the broader market1.001.502.002.503.003.501.14
Calmar ratio
The chart of Calmar ratio for MCD, currently valued at 0.72, compared to the broader market0.005.0010.0015.0020.000.72
Martin ratio
The chart of Martin ratio for MCD, currently valued at 1.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.62

IDRV vs. MCD - Sharpe Ratio Comparison

The current IDRV Sharpe Ratio is -0.24, which is lower than the MCD Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of IDRV and MCD, 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-1.50-1.00-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
-0.24
0.70
IDRV
MCD

Dividends

IDRV vs. MCD - Dividend Comparison

IDRV's dividend yield for the trailing twelve months is around 2.49%, more than MCD's 2.28% yield.


TTM20232022202120202019201820172016201520142013
IDRV
iShares Self-driving EV & Tech ETF
2.49%2.17%2.29%1.11%0.69%1.29%0.00%0.00%0.00%0.00%0.00%0.00%
MCD
McDonald's Corporation
2.28%2.10%2.15%1.96%2.35%2.39%2.36%2.23%2.97%2.91%3.50%3.22%

Drawdowns

IDRV vs. MCD - Drawdown Comparison

The maximum IDRV drawdown since its inception was -50.37%, smaller than the maximum MCD drawdown of -73.62%. Use the drawdown chart below to compare losses from any high point for IDRV and MCD. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-43.85%
-7.49%
IDRV
MCD

Volatility

IDRV vs. MCD - Volatility Comparison

iShares Self-driving EV & Tech ETF (IDRV) has a higher volatility of 7.72% compared to McDonald's Corporation (MCD) at 7.17%. This indicates that IDRV's price experiences larger fluctuations and is considered to be riskier than MCD 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%JuneJulyAugustSeptemberOctoberNovember
7.72%
7.17%
IDRV
MCD