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

Correlation

The correlation between ITOT and SPY is 0.98, 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.


-0.50.00.51.01.0

Performance

ITOT vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Core S&P Total U.S. Stock Market ETF (ITOT) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
11.44%
10.76%
ITOT
SPY

Key characteristics

Sharpe Ratio

ITOT:

2.12

SPY:

2.29

Sortino Ratio

ITOT:

2.82

SPY:

3.04

Omega Ratio

ITOT:

1.39

SPY:

1.43

Calmar Ratio

ITOT:

3.21

SPY:

3.40

Martin Ratio

ITOT:

13.52

SPY:

15.01

Ulcer Index

ITOT:

2.02%

SPY:

1.90%

Daily Std Dev

ITOT:

12.87%

SPY:

12.46%

Max Drawdown

ITOT:

-55.20%

SPY:

-55.19%

Current Drawdown

ITOT:

-1.49%

SPY:

-0.74%

Returns By Period

The year-to-date returns for both investments are quite close, with ITOT having a 26.92% return and SPY slightly higher at 28.13%. Both investments have delivered pretty close results over the past 10 years, with ITOT having a 12.68% annualized return and SPY not far ahead at 13.16%.


ITOT

YTD

26.92%

1M

0.51%

6M

11.76%

1Y

27.27%

5Y*

14.31%

10Y*

12.68%

SPY

YTD

28.13%

1M

1.31%

6M

11.08%

1Y

28.58%

5Y*

15.00%

10Y*

13.16%

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ITOT vs. SPY - Expense Ratio Comparison

ITOT has a 0.03% expense ratio, which is lower than SPY's 0.09% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


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%
Expense ratio chart for ITOT: 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

ITOT vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Core S&P Total U.S. Stock Market ETF (ITOT) 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.


The chart of Sharpe ratio for ITOT, currently valued at 2.12, compared to the broader market0.002.004.002.122.29
The chart of Sortino ratio for ITOT, currently valued at 2.82, compared to the broader market-2.000.002.004.006.008.0010.002.823.04
The chart of Omega ratio for ITOT, currently valued at 1.39, compared to the broader market0.501.001.502.002.503.001.391.43
The chart of Calmar ratio for ITOT, currently valued at 3.21, compared to the broader market0.005.0010.0015.003.213.40
The chart of Martin ratio for ITOT, currently valued at 13.52, compared to the broader market0.0020.0040.0060.0080.00100.0013.5215.01
ITOT
SPY

The current ITOT Sharpe Ratio is 2.12, which is comparable to the SPY Sharpe Ratio of 2.29. The chart below compares the historical Sharpe Ratios of ITOT 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.12
2.29
ITOT
SPY

Dividends

ITOT vs. SPY - Dividend Comparison

ITOT's dividend yield for the trailing twelve months is around 1.20%, more than SPY's 1.18% yield.


TTM20232022202120202019201820172016201520142013
ITOT
iShares Core S&P Total U.S. Stock Market ETF
1.20%1.47%1.66%1.18%1.41%1.88%2.14%1.69%1.83%2.01%2.20%2.06%
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

ITOT vs. SPY - Drawdown Comparison

The maximum ITOT drawdown since its inception was -55.20%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ITOT and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.49%
-0.74%
ITOT
SPY

Volatility

ITOT vs. SPY - Volatility Comparison

iShares Core S&P Total U.S. Stock Market ETF (ITOT) and SPDR S&P 500 ETF (SPY) have volatilities of 4.16% and 3.97%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.16%
3.97%
ITOT
SPY