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

Key characteristics


ITOTSPY
YTD Return9.86%10.39%
1Y Return31.89%32.22%
3Y Return (Ann)9.80%11.39%
5Y Return (Ann)14.22%14.97%
10Y Return (Ann)12.43%12.86%
Sharpe Ratio2.822.96
Daily Std Dev12.02%11.54%
Max Drawdown-55.21%-55.19%
Current Drawdown0.00%-0.02%

Correlation

0.98
-1.001.00

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.

Performance

ITOT vs. SPY - Performance Comparison

In the year-to-date period, ITOT achieves a 9.86% return, which is significantly lower than SPY's 10.39% return. Both investments have delivered pretty close results over the past 10 years, with ITOT having a 12.43% annualized return and SPY not far ahead at 12.86%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


400.00%450.00%500.00%550.00%OctoberNovemberDecember2024FebruaryMarch
568.45%
572.26%
ITOT
SPY

Compare stocks, funds, or ETFs


iShares Core S&P Total U.S. Stock Market ETF

SPDR S&P 500 ETF

ITOT vs. SPY - Expense Ratio Comparison

ITOT has a 0.03% expense ratio, which is lower than SPY's 0.09% expense ratio.

SPY
SPDR S&P 500 ETF
0.50%1.00%1.50%2.00%0.09%

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
ITOT
iShares Core S&P Total U.S. Stock Market ETF
2.82
SPY
SPDR S&P 500 ETF
2.96

ITOT vs. SPY - Sharpe Ratio Comparison

The current ITOT Sharpe Ratio is 2.82, which roughly equals the SPY Sharpe Ratio of 2.96. The chart below compares the 12-month rolling Sharpe Ratio of ITOT and SPY.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
2.82
2.96
ITOT
SPY

Dividends

ITOT vs. SPY - Dividend Comparison

ITOT's dividend yield for the trailing twelve months is around 1.31%, more than SPY's 1.29% yield.


TTM20232022202120202019201820172016201520142013
ITOT
iShares Core S&P Total U.S. Stock Market ETF
1.31%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
1.29%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 -55.21%, roughly equal to the maximum SPY drawdown of -55.19%. The drawdown chart below compares losses from any high point along the way for ITOT and SPY


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch0
-0.02%
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 2.81% and 2.74%, 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%OctoberNovemberDecember2024FebruaryMarch
2.81%
2.74%
ITOT
SPY