IDTL.L vs. ^GSPC
Compare and contrast key facts about iShares Treasury Bond 20+ UCITS (IDTL.L) and S&P 500 (^GSPC).
IDTL.L is a passively managed fund by iShares that tracks the performance of the Bloomberg US Government TR USD. It was launched on Jan 20, 2015.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IDTL.L or ^GSPC.
Key characteristics
| IDTL.L | ^GSPC | |
|---|---|---|
| YTD Return | -5.39% | 25.48% |
| 1Y Return | 5.32% | 33.14% |
| 3Y Return (Ann) | -12.25% | 8.55% |
| 5Y Return (Ann) | -5.63% | 13.96% |
| Sharpe Ratio | 0.45 | 2.91 |
| Sortino Ratio | 0.75 | 3.88 |
| Omega Ratio | 1.09 | 1.55 |
| Calmar Ratio | 0.15 | 4.20 |
| Martin Ratio | 1.17 | 18.80 |
| Ulcer Index | 5.74% | 1.90% |
| Daily Std Dev | 14.95% | 12.27% |
| Max Drawdown | -48.31% | -56.78% |
| Current Drawdown | -41.25% | -0.27% |
Correlation
The correlation between IDTL.L and ^GSPC is -0.11. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
IDTL.L vs. ^GSPC - Performance Comparison
In the year-to-date period, IDTL.L achieves a -5.39% return, which is significantly lower than ^GSPC's 25.48% 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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Risk-Adjusted Performance
IDTL.L vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Treasury Bond 20+ UCITS (IDTL.L) and S&P 500 (^GSPC). 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.
Drawdowns
IDTL.L vs. ^GSPC - Drawdown Comparison
The maximum IDTL.L drawdown since its inception was -48.31%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for IDTL.L and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
IDTL.L vs. ^GSPC - Volatility Comparison
iShares Treasury Bond 20+ UCITS (IDTL.L) has a higher volatility of 4.83% compared to S&P 500 (^GSPC) at 3.75%. This indicates that IDTL.L's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.