IJK vs. ^GSPC
Compare and contrast key facts about iShares S&P MidCap 400 Growth ETF (IJK) and S&P 500 (^GSPC).
IJK is a passively managed fund by iShares that tracks the performance of the S&P MidCap 400/Citigroup Growth Index. It was launched on Jul 24, 2000.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IJK or ^GSPC.
Performance
IJK vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, IJK achieves a 22.18% return, which is significantly lower than ^GSPC's 24.72% return. Over the past 10 years, IJK has underperformed ^GSPC with an annualized return of 10.21%, while ^GSPC has yielded a comparatively higher 11.16% annualized return.
IJK
22.18%
4.48%
8.66%
31.87%
11.94%
10.21%
^GSPC
24.72%
1.67%
12.93%
30.55%
13.88%
11.16%
Key characteristics
| IJK | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 1.99 | 2.54 |
| Sortino Ratio | 2.77 | 3.40 |
| Omega Ratio | 1.33 | 1.47 |
| Calmar Ratio | 2.19 | 3.66 |
| Martin Ratio | 10.49 | 16.26 |
| Ulcer Index | 3.11% | 1.91% |
| Daily Std Dev | 16.37% | 12.23% |
| Max Drawdown | -54.47% | -56.78% |
| Current Drawdown | -1.23% | -0.88% |
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Correlation
The correlation between IJK and ^GSPC is 0.88, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
IJK vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares S&P MidCap 400 Growth ETF (IJK) 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
IJK vs. ^GSPC - Drawdown Comparison
The maximum IJK drawdown since its inception was -54.47%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for IJK and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
IJK vs. ^GSPC - Volatility Comparison
iShares S&P MidCap 400 Growth ETF (IJK) has a higher volatility of 5.20% compared to S&P 500 (^GSPC) at 3.96%. This indicates that IJK'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.