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IYM vs. MXI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


IYMMXI
YTD Return4.64%-2.00%
1Y Return13.18%7.05%
3Y Return (Ann)2.38%1.27%
5Y Return (Ann)10.22%8.30%
10Y Return (Ann)7.22%6.69%
Sharpe Ratio0.970.50
Sortino Ratio1.400.78
Omega Ratio1.171.09
Calmar Ratio1.000.74
Martin Ratio3.871.68
Ulcer Index3.60%4.38%
Daily Std Dev14.40%14.81%
Max Drawdown-67.78%-68.44%
Current Drawdown-6.68%-9.93%

Correlation

-0.50.00.51.00.9

The correlation between IYM and MXI is 0.90, 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

IYM vs. MXI - Performance Comparison

In the year-to-date period, IYM achieves a 4.64% return, which is significantly higher than MXI's -2.00% return. Over the past 10 years, IYM has outperformed MXI with an annualized return of 7.22%, while MXI has yielded a comparatively lower 6.69% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-0.94%
-5.51%
IYM
MXI

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IYM vs. MXI - Expense Ratio Comparison

IYM has a 0.42% expense ratio, which is lower than MXI's 0.46% expense ratio.


MXI
iShares Global Materials ETF
Expense ratio chart for MXI: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
Expense ratio chart for IYM: 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%

Risk-Adjusted Performance

IYM vs. MXI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares U.S. Basic Materials ETF (IYM) and iShares Global Materials ETF (MXI). 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.


IYM
Sharpe ratio
The chart of Sharpe ratio for IYM, currently valued at 0.97, compared to the broader market0.002.004.000.97
Sortino ratio
The chart of Sortino ratio for IYM, currently valued at 1.40, compared to the broader market-2.000.002.004.006.008.0010.0012.001.40
Omega ratio
The chart of Omega ratio for IYM, currently valued at 1.17, compared to the broader market1.001.502.002.503.001.17
Calmar ratio
The chart of Calmar ratio for IYM, currently valued at 1.00, compared to the broader market0.005.0010.0015.001.00
Martin ratio
The chart of Martin ratio for IYM, currently valued at 3.87, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.87
MXI
Sharpe ratio
The chart of Sharpe ratio for MXI, currently valued at 0.50, compared to the broader market0.002.004.000.50
Sortino ratio
The chart of Sortino ratio for MXI, currently valued at 0.78, compared to the broader market-2.000.002.004.006.008.0010.0012.000.78
Omega ratio
The chart of Omega ratio for MXI, currently valued at 1.09, compared to the broader market1.001.502.002.503.001.09
Calmar ratio
The chart of Calmar ratio for MXI, currently valued at 0.74, compared to the broader market0.005.0010.0015.000.74
Martin ratio
The chart of Martin ratio for MXI, currently valued at 1.68, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.68

IYM vs. MXI - Sharpe Ratio Comparison

The current IYM Sharpe Ratio is 0.97, which is higher than the MXI Sharpe Ratio of 0.50. The chart below compares the historical Sharpe Ratios of IYM and MXI, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.97
0.50
IYM
MXI

Dividends

IYM vs. MXI - Dividend Comparison

IYM's dividend yield for the trailing twelve months is around 1.61%, less than MXI's 2.76% yield.


TTM20232022202120202019201820172016201520142013
IYM
iShares U.S. Basic Materials ETF
1.61%1.77%2.14%1.48%1.39%2.09%1.68%1.43%1.47%2.03%1.77%1.79%
MXI
iShares Global Materials ETF
2.76%2.92%4.84%3.51%1.21%3.64%2.77%1.76%1.31%3.64%2.33%2.14%

Drawdowns

IYM vs. MXI - Drawdown Comparison

The maximum IYM drawdown since its inception was -67.78%, roughly equal to the maximum MXI drawdown of -68.44%. Use the drawdown chart below to compare losses from any high point for IYM and MXI. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.68%
-9.93%
IYM
MXI

Volatility

IYM vs. MXI - Volatility Comparison

The current volatility for iShares U.S. Basic Materials ETF (IYM) is 3.89%, while iShares Global Materials ETF (MXI) has a volatility of 4.29%. This indicates that IYM experiences smaller price fluctuations and is considered to be less risky than MXI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.89%
4.29%
IYM
MXI