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

Correlation

The correlation between ITA and VOO is 0.73, 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

ITA vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares U.S. Aerospace & Defense ETF (ITA) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

500.00%520.00%540.00%560.00%580.00%600.00%620.00%JulyAugustSeptemberOctoberNovemberDecember
571.73%
602.93%
ITA
VOO

Key characteristics

Sharpe Ratio

ITA:

1.21

VOO:

2.25

Sortino Ratio

ITA:

1.68

VOO:

2.98

Omega Ratio

ITA:

1.23

VOO:

1.42

Calmar Ratio

ITA:

2.16

VOO:

3.31

Martin Ratio

ITA:

7.11

VOO:

14.77

Ulcer Index

ITA:

2.68%

VOO:

1.90%

Daily Std Dev

ITA:

15.69%

VOO:

12.46%

Max Drawdown

ITA:

-59.72%

VOO:

-33.99%

Current Drawdown

ITA:

-6.71%

VOO:

-2.47%

Returns By Period

In the year-to-date period, ITA achieves a 16.59% return, which is significantly lower than VOO's 26.02% return. Over the past 10 years, ITA has underperformed VOO with an annualized return of 10.93%, while VOO has yielded a comparatively higher 13.08% annualized return.


ITA

YTD

16.59%

1M

-3.24%

6M

9.37%

1Y

17.89%

5Y*

6.62%

10Y*

10.93%

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

Compare stocks, funds, or ETFs

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


ITA vs. VOO - Expense Ratio Comparison

ITA has a 0.42% expense ratio, which is higher than VOO's 0.03% expense ratio.


ITA
iShares U.S. Aerospace & Defense ETF
Expense ratio chart for ITA: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

ITA vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares U.S. Aerospace & Defense ETF (ITA) and Vanguard S&P 500 ETF (VOO). 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 ITA, currently valued at 1.21, compared to the broader market0.002.004.001.212.25
The chart of Sortino ratio for ITA, currently valued at 1.68, compared to the broader market-2.000.002.004.006.008.0010.001.682.98
The chart of Omega ratio for ITA, currently valued at 1.23, compared to the broader market0.501.001.502.002.503.001.231.42
The chart of Calmar ratio for ITA, currently valued at 2.16, compared to the broader market0.005.0010.0015.002.163.31
The chart of Martin ratio for ITA, currently valued at 7.11, compared to the broader market0.0020.0040.0060.0080.00100.007.1114.77
ITA
VOO

The current ITA Sharpe Ratio is 1.21, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of ITA and VOO, 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
1.21
2.25
ITA
VOO

Dividends

ITA vs. VOO - Dividend Comparison

ITA's dividend yield for the trailing twelve months is around 0.84%, less than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
ITA
iShares U.S. Aerospace & Defense ETF
0.84%0.93%0.95%0.82%1.07%1.54%1.13%0.91%1.07%1.04%1.21%1.13%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

ITA vs. VOO - Drawdown Comparison

The maximum ITA drawdown since its inception was -59.72%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ITA and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.71%
-2.47%
ITA
VOO

Volatility

ITA vs. VOO - Volatility Comparison

iShares U.S. Aerospace & Defense ETF (ITA) has a higher volatility of 5.80% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that ITA's price experiences larger fluctuations and is considered to be riskier than VOO 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
5.80%
3.75%
ITA
VOO
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