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

Key characteristics


INTFSPY
YTD Return8.84%26.49%
1Y Return20.68%38.06%
3Y Return (Ann)3.70%9.93%
5Y Return (Ann)5.94%15.84%
Sharpe Ratio1.613.11
Sortino Ratio2.264.14
Omega Ratio1.281.58
Calmar Ratio2.034.54
Martin Ratio9.0120.57
Ulcer Index2.33%1.86%
Daily Std Dev13.07%12.29%
Max Drawdown-40.39%-55.19%
Current Drawdown-5.88%0.00%

Correlation

-0.50.00.51.00.7

The correlation between INTF and SPY is 0.75, 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.

Performance

INTF vs. SPY - Performance Comparison

In the year-to-date period, INTF achieves a 8.84% return, which is significantly lower than SPY's 26.49% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
1.48%
15.08%
INTF
SPY

Compare stocks, funds, or ETFs

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


INTF vs. SPY - Expense Ratio Comparison

INTF has a 0.30% expense ratio, which is higher than SPY's 0.09% expense ratio.


INTF
iShares MSCI Intl Multifactor ETF
Expense ratio chart for INTF: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

INTF vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Intl Multifactor ETF (INTF) 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.


INTF
Sharpe ratio
The chart of Sharpe ratio for INTF, currently valued at 1.61, compared to the broader market-2.000.002.004.001.61
Sortino ratio
The chart of Sortino ratio for INTF, currently valued at 2.26, compared to the broader market0.005.0010.002.26
Omega ratio
The chart of Omega ratio for INTF, currently valued at 1.28, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for INTF, currently valued at 2.03, compared to the broader market0.005.0010.0015.002.03
Martin ratio
The chart of Martin ratio for INTF, currently valued at 9.01, compared to the broader market0.0020.0040.0060.0080.00100.009.01
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.10, compared to the broader market-2.000.002.004.003.10
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.13, compared to the broader market0.005.0010.004.13
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.53, compared to the broader market0.005.0010.0015.004.53
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.52, compared to the broader market0.0020.0040.0060.0080.00100.0020.52

INTF vs. SPY - Sharpe Ratio Comparison

The current INTF Sharpe Ratio is 1.61, which is lower than the SPY Sharpe Ratio of 3.11. The chart below compares the historical Sharpe Ratios of INTF and SPY, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
1.61
3.10
INTF
SPY

Dividends

INTF vs. SPY - Dividend Comparison

INTF's dividend yield for the trailing twelve months is around 3.49%, more than SPY's 1.18% yield.


TTM20232022202120202019201820172016201520142013
INTF
iShares MSCI Intl Multifactor ETF
3.49%3.59%2.81%5.38%2.06%3.65%2.62%3.25%1.66%0.85%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.18%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

INTF vs. SPY - Drawdown Comparison

The maximum INTF drawdown since its inception was -40.39%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for INTF and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.88%
0
INTF
SPY

Volatility

INTF vs. SPY - Volatility Comparison

iShares MSCI Intl Multifactor ETF (INTF) has a higher volatility of 4.19% compared to SPDR S&P 500 ETF (SPY) at 3.94%. This indicates that INTF'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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.19%
3.94%
INTF
SPY