IVOL vs. SPY
Compare and contrast key facts about Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL) and SPDR S&P 500 ETF (SPY).
IVOL and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. IVOL is an actively managed fund by CICC. It was launched on May 13, 2019. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: IVOL or SPY.
Key characteristics
| IVOL | SPY | |
|---|---|---|
| YTD Return | -10.26% | 27.04% |
| 1Y Return | -8.56% | 39.75% |
| 3Y Return (Ann) | -10.06% | 10.21% |
| 5Y Return (Ann) | -3.07% | 15.93% |
| Sharpe Ratio | -0.93 | 3.15 |
| Sortino Ratio | -1.23 | 4.19 |
| Omega Ratio | 0.85 | 1.59 |
| Calmar Ratio | -0.31 | 4.60 |
| Martin Ratio | -1.26 | 20.85 |
| Ulcer Index | 7.16% | 1.85% |
| Daily Std Dev | 9.68% | 12.29% |
| Max Drawdown | -29.38% | -55.19% |
| Current Drawdown | -29.12% | 0.00% |
Correlation
The correlation between IVOL and SPY is 0.08, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
IVOL vs. SPY - Performance Comparison
In the year-to-date period, IVOL achieves a -10.26% return, which is significantly lower than SPY's 27.04% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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IVOL vs. SPY - Expense Ratio Comparison
IVOL has a 0.99% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
IVOL vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL) 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.
Dividends
IVOL vs. SPY - Dividend Comparison
IVOL's dividend yield for the trailing twelve months is around 3.86%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IVOL Quadratic Interest Rate Volatility & Inflation Hedge ETF | 3.86% | 3.73% | 3.91% | 3.93% | 3.44% | 2.02% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
IVOL vs. SPY - Drawdown Comparison
The maximum IVOL drawdown since its inception was -29.38%, 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. For additional features, visit the drawdowns tool.
Volatility
IVOL vs. SPY - Volatility Comparison
The current volatility for Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL) is 2.30%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.95%. 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.