IVOL vs. SPY
IVOL (Quadratic Interest Rate Volatility & Inflation Hedge ETF) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - IVOL is a Inflation-Protected Bonds fund actively managed by CICC, while SPY is a S&P 500 fund tracking the S&P 500 Index. IVOL is actively managed, while SPY is passively managed. Over the past 5 years, IVOL returned -5.77%/yr vs 12.94%/yr for SPY. At a 0.03 correlation, their price movements are largely independent. IVOL charges 0.99%/yr vs 0.09%/yr for SPY.
Performance
IVOL vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, IVOL achieves a -8.36% return, which is significantly lower than SPY's 10.45% return.
IVOL
- 1D
- -0.29%
- 1M
- -1.83%
- 6M
- -7.05%
- YTD
- -8.36%
- 1Y
- -7.46%
- 3Y*
- -2.50%
- 5Y*
- -5.77%
- 10Y*
- —
SPY
- 1D
- -0.77%
- 1M
- 1.26%
- 6M
- 8.34%
- YTD
- 10.45%
- 1Y
- 21.46%
- 3Y*
- 20.07%
- 5Y*
- 12.94%
- 10Y*
- 15.08%
IVOL vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
IVOL Quadratic Interest Rate Volatility & Inflation Hedge ETF | -8.36% | 11.97% | -11.07% | -5.18% | -12.69% | -0.31% | 14.56% | 3.35% |
SPY State Street SPDR S&P 500 ETF | 10.45% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 16.26% |
Correlation
The correlation between IVOL and SPY is -0.03, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.03 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.00 |
Correlation (All Time) Calculated using the full available price history since May 14, 2019 | 0.03 |
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Return for Risk
IVOL vs. SPY — Risk / Return Rank
IVOL
SPY
IVOL vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL) and State Street 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| IVOL | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.83 | ||
| Sortino ratioReturn per unit of downside risk | -3.89 | ||
| Omega ratioGain probability vs. loss probability | 0.83 | 1.31 | -0.48 |
| Calmar ratioReturn relative to maximum drawdown | -0.62 | 2.43 | -3.05 |
| Martin ratioReturn relative to average drawdown | -1.33 | 10.57 | -11.91 |
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Drawdowns
IVOL vs. SPY - Drawdown Comparison
The maximum IVOL drawdown since its inception was -31.16%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for IVOL and SPY.
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Drawdown Indicators
| IVOL | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -31.16% | -55.19% | +24.03% |
Max Drawdown (1Y)Largest decline over 1 year | -12.08% | -8.88% | -3.20% |
Max Drawdown (3Y)Largest decline over 3 years | -14.48% | -18.76% | +4.28% |
Max Drawdown (5Y)Largest decline over 5 years | -30.28% | -24.50% | -5.78% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.72% | — |
Current DrawdownCurrent decline from peak | -27.93% | -1.12% | -26.81% |
Average DrawdownAverage peak-to-trough decline | -13.49% | -9.02% | -4.47% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.60% | 2.03% | +3.57% |
Volatility
IVOL vs. SPY - Volatility Comparison
The current volatility for Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL) is 2.63%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.26%. This indicates that IVOL experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| IVOL | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.63% | 4.26% | -1.63% |
Volatility (6M)Calculated over the trailing 6-month period | 4.97% | 10.01% | -5.04% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.73% | 12.60% | -5.87% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.85% | 17.17% | -4.32% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.94% | 17.93% | -5.99% |
IVOL vs. SPY - Expense Ratio Comparison
IVOL has a 0.99% expense ratio, which is higher than SPY's 0.09% expense ratio.
Dividends
IVOL vs. SPY - Dividend Comparison
IVOL's dividend yield for the trailing twelve months is around 3.95%, more than SPY's 1.00% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IVOL Quadratic Interest Rate Volatility & Inflation Hedge ETF | 3.95% | 3.61% | 3.83% | 3.73% | 3.92% | 3.93% | 3.44% | 2.02% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY State Street SPDR S&P 500 ETF | 1.00% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Frequently Asked Questions
IVOL and SPY have a correlation of -0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPY has higher volatility (4.26%) compared to IVOL (2.63%). In terms of maximum drawdown, IVOL dropped -31.16% vs SPY's -55.19%.
On 5-year performance, SPY leads with 12.94% vs -5.77% for IVOL. On fees, SPY is cheaper at 0.09% per year. On volatility, IVOL has been the lower-risk option at 2.63%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, SPY has performed better with a 12.94% return vs -5.77%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPY is cheaper with a 0.09% expense ratio, compared with 0.99% for IVOL.
IVOL has the higher dividend yield at 3.95%, compared with 1.00% for SPY.
IVOL is categorized as Inflation-Protected Bonds, while SPY is S&P 500. They also come from different issuers: CICC and State Street. Their fees differ too: 0.99% for IVOL and 0.09% for SPY.
SPY currently has the higher Sharpe Ratio (1.71 vs -1.11), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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