IMO vs. SPY
Compare and contrast key facts about Imperial Oil Limited (IMO) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IMO or SPY.
Performance
IMO vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, IMO achieves a 35.31% return, which is significantly higher than SPY's 25.36% return. Over the past 10 years, IMO has underperformed SPY with an annualized return of 6.80%, while SPY has yielded a comparatively higher 13.07% annualized return.
IMO
35.31%
-1.42%
10.43%
34.86%
28.38%
6.80%
SPY
25.36%
0.98%
11.79%
31.70%
15.55%
13.07%
Key characteristics
| IMO | SPY | |
|---|---|---|
| Sharpe Ratio | 1.35 | 2.69 |
| Sortino Ratio | 1.89 | 3.59 |
| Omega Ratio | 1.23 | 1.50 |
| Calmar Ratio | 2.44 | 3.89 |
| Martin Ratio | 6.06 | 17.53 |
| Ulcer Index | 5.79% | 1.87% |
| Daily Std Dev | 26.03% | 12.15% |
| Max Drawdown | -84.96% | -55.19% |
| Current Drawdown | -4.19% | -1.41% |
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Correlation
The correlation between IMO and SPY is 0.36, 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.
Risk-Adjusted Performance
IMO vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Imperial Oil Limited (IMO) and SPDR S&P 500 ETF (SPY). 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.
Dividends
IMO vs. SPY - Dividend Comparison
IMO's dividend yield for the trailing twelve months is around 2.23%, more than SPY's 1.19% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IMO Imperial Oil Limited | 2.23% | 2.50% | 2.30% | 2.28% | 3.50% | 2.41% | 2.39% | 1.55% | 1.39% | 1.29% | 1.70% | 1.06% |
SPY SPDR S&P 500 ETF | 1.19% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
IMO vs. SPY - Drawdown Comparison
The maximum IMO drawdown since its inception was -84.96%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for IMO and SPY. For additional features, visit the drawdowns tool.
Volatility
IMO vs. SPY - Volatility Comparison
Imperial Oil Limited (IMO) has a higher volatility of 8.08% compared to SPDR S&P 500 ETF (SPY) at 4.09%. This indicates that IMO's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.