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IJK vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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.


-0.50.00.51.00.9

Performance

IJK vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares S&P MidCap 400 Growth ETF (IJK) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

300.00%400.00%500.00%600.00%700.00%JulyAugustSeptemberOctoberNovemberDecember
594.98%
317.70%
IJK
^GSPC

Key characteristics

Sharpe Ratio

IJK:

1.11

^GSPC:

2.10

Sortino Ratio

IJK:

1.61

^GSPC:

2.80

Omega Ratio

IJK:

1.20

^GSPC:

1.39

Calmar Ratio

IJK:

1.75

^GSPC:

3.09

Martin Ratio

IJK:

5.61

^GSPC:

13.49

Ulcer Index

IJK:

3.26%

^GSPC:

1.94%

Daily Std Dev

IJK:

16.54%

^GSPC:

12.52%

Max Drawdown

IJK:

-54.48%

^GSPC:

-56.78%

Current Drawdown

IJK:

-7.70%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, IJK achieves a 16.53% return, which is significantly lower than ^GSPC's 24.34% return. Over the past 10 years, IJK has underperformed ^GSPC with an annualized return of 9.68%, while ^GSPC has yielded a comparatively higher 11.06% annualized return.


IJK

YTD

16.53%

1M

-3.08%

6M

4.17%

1Y

16.61%

5Y*

10.03%

10Y*

9.68%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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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.


Sharpe ratio
The chart of Sharpe ratio for IJK, currently valued at 1.11, compared to the broader market0.002.004.001.112.10
The chart of Sortino ratio for IJK, currently valued at 1.61, compared to the broader market-2.000.002.004.006.008.0010.001.612.80
The chart of Omega ratio for IJK, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.39
The chart of Calmar ratio for IJK, currently valued at 1.75, compared to the broader market0.005.0010.0015.001.753.09
The chart of Martin ratio for IJK, currently valued at 5.61, compared to the broader market0.0020.0040.0060.0080.00100.005.6113.49
IJK
^GSPC

The current IJK Sharpe Ratio is 1.11, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of IJK and ^GSPC, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.11
2.10
IJK
^GSPC

Drawdowns

IJK vs. ^GSPC - Drawdown Comparison

The maximum IJK drawdown since its inception was -54.48%, 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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.70%
-2.62%
IJK
^GSPC

Volatility

IJK vs. ^GSPC - Volatility Comparison

iShares S&P MidCap 400 Growth ETF (IJK) has a higher volatility of 5.43% compared to S&P 500 (^GSPC) at 3.79%. 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.43%
3.79%
IJK
^GSPC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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