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IQM vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between IQM and SPY is 0.84, 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.


-0.50.00.51.00.8

Performance

IQM vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Franklin Intelligent Machines ETF (IQM) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

80.00%100.00%120.00%140.00%160.00%180.00%JulyAugustSeptemberOctoberNovemberDecember
178.49%
113.60%
IQM
SPY

Key characteristics

Sharpe Ratio

IQM:

1.43

SPY:

2.21

Sortino Ratio

IQM:

1.94

SPY:

2.93

Omega Ratio

IQM:

1.25

SPY:

1.41

Calmar Ratio

IQM:

1.93

SPY:

3.26

Martin Ratio

IQM:

6.22

SPY:

14.43

Ulcer Index

IQM:

5.76%

SPY:

1.90%

Daily Std Dev

IQM:

25.04%

SPY:

12.41%

Max Drawdown

IQM:

-44.91%

SPY:

-55.19%

Current Drawdown

IQM:

-3.80%

SPY:

-2.74%

Returns By Period

In the year-to-date period, IQM achieves a 32.59% return, which is significantly higher than SPY's 25.54% return.


IQM

YTD

32.59%

1M

1.76%

6M

6.60%

1Y

33.17%

5Y*

N/A

10Y*

N/A

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

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


IQM vs. SPY - Expense Ratio Comparison

IQM has a 0.50% expense ratio, which is higher than SPY's 0.09% expense ratio.


IQM
Franklin Intelligent Machines ETF
Expense ratio chart for IQM: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
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

IQM vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin Intelligent Machines ETF (IQM) 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.


Sharpe ratio
The chart of Sharpe ratio for IQM, currently valued at 1.43, compared to the broader market0.002.004.001.432.21
The chart of Sortino ratio for IQM, currently valued at 1.94, compared to the broader market-2.000.002.004.006.008.0010.001.942.93
The chart of Omega ratio for IQM, currently valued at 1.25, compared to the broader market0.501.001.502.002.503.001.251.41
The chart of Calmar ratio for IQM, currently valued at 1.93, compared to the broader market0.005.0010.0015.001.933.26
The chart of Martin ratio for IQM, currently valued at 6.22, compared to the broader market0.0020.0040.0060.0080.00100.006.2214.43
IQM
SPY

The current IQM Sharpe Ratio is 1.43, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of IQM 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 Ratio0.501.001.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
1.43
2.21
IQM
SPY

Dividends

IQM vs. SPY - Dividend Comparison

IQM has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 0.86%.


TTM20232022202120202019201820172016201520142013
IQM
Franklin Intelligent Machines ETF
0.00%0.00%0.00%0.17%0.01%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

IQM vs. SPY - Drawdown Comparison

The maximum IQM drawdown since its inception was -44.91%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for IQM and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.80%
-2.74%
IQM
SPY

Volatility

IQM vs. SPY - Volatility Comparison

Franklin Intelligent Machines ETF (IQM) has a higher volatility of 6.24% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that IQM'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%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
6.24%
3.72%
IQM
SPY
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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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