PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ISMD vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ISMD and ^GSPC is 0.74, 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.


-0.50.00.51.00.7

Performance

ISMD vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Inspire Small/Mid Cap Impact ETF (ISMD) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
10.23%
8.53%
ISMD
^GSPC

Key characteristics

Sharpe Ratio

ISMD:

0.62

^GSPC:

2.10

Sortino Ratio

ISMD:

1.01

^GSPC:

2.80

Omega Ratio

ISMD:

1.12

^GSPC:

1.39

Calmar Ratio

ISMD:

1.33

^GSPC:

3.09

Martin Ratio

ISMD:

3.28

^GSPC:

13.49

Ulcer Index

ISMD:

3.69%

^GSPC:

1.94%

Daily Std Dev

ISMD:

19.50%

^GSPC:

12.52%

Max Drawdown

ISMD:

-43.58%

^GSPC:

-56.78%

Current Drawdown

ISMD:

-7.61%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, ISMD achieves a 9.70% return, which is significantly lower than ^GSPC's 24.34% return.


ISMD

YTD

9.70%

1M

-2.69%

6M

10.23%

1Y

10.38%

5Y*

8.95%

10Y*

N/A

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

ISMD vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Inspire Small/Mid Cap Impact ETF (ISMD) 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 ISMD, currently valued at 0.62, compared to the broader market0.002.004.000.622.10
The chart of Sortino ratio for ISMD, currently valued at 1.01, compared to the broader market-2.000.002.004.006.008.0010.001.012.80
The chart of Omega ratio for ISMD, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.001.121.39
The chart of Calmar ratio for ISMD, currently valued at 1.33, compared to the broader market0.005.0010.0015.001.333.09
The chart of Martin ratio for ISMD, currently valued at 3.28, compared to the broader market0.0020.0040.0060.0080.00100.003.2813.49
ISMD
^GSPC

The current ISMD Sharpe Ratio is 0.62, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of ISMD 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.62
2.10
ISMD
^GSPC

Drawdowns

ISMD vs. ^GSPC - Drawdown Comparison

The maximum ISMD drawdown since its inception was -43.58%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ISMD and ^GSPC. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.61%
-2.62%
ISMD
^GSPC

Volatility

ISMD vs. ^GSPC - Volatility Comparison

Inspire Small/Mid Cap Impact ETF (ISMD) has a higher volatility of 5.61% compared to S&P 500 (^GSPC) at 3.79%. This indicates that ISMD'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%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.61%
3.79%
ISMD
^GSPC
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab