PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
LRGF vs. ITOT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between LRGF and ITOT is 0.93, 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.


-0.50.00.51.00.9

Performance

LRGF vs. ITOT - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
10.73%
10.58%
LRGF
ITOT

Key characteristics

Sharpe Ratio

LRGF:

2.22

ITOT:

2.05

Sortino Ratio

LRGF:

2.98

ITOT:

2.73

Omega Ratio

LRGF:

1.41

ITOT:

1.38

Calmar Ratio

LRGF:

3.37

ITOT:

3.09

Martin Ratio

LRGF:

14.38

ITOT:

13.03

Ulcer Index

LRGF:

2.01%

ITOT:

2.02%

Daily Std Dev

LRGF:

13.04%

ITOT:

12.86%

Max Drawdown

LRGF:

-36.03%

ITOT:

-55.20%

Current Drawdown

LRGF:

-2.89%

ITOT:

-2.53%

Returns By Period

In the year-to-date period, LRGF achieves a 28.44% return, which is significantly higher than ITOT's 25.58% return.


LRGF

YTD

28.44%

1M

-0.85%

6M

11.09%

1Y

28.74%

5Y*

13.93%

10Y*

N/A

ITOT

YTD

25.58%

1M

-0.55%

6M

10.91%

1Y

25.93%

5Y*

14.19%

10Y*

12.57%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


LRGF vs. ITOT - Expense Ratio Comparison

LRGF has a 0.20% expense ratio, which is higher than ITOT's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


LRGF
iShares MSCI USA Multifactor ETF
Expense ratio chart for LRGF: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
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

LRGF vs. ITOT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Multifactor ETF (LRGF) and iShares Core S&P Total U.S. Stock Market ETF (ITOT). 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 ratio
The chart of Sharpe ratio for LRGF, currently valued at 2.22, compared to the broader market0.002.004.002.222.05
The chart of Sortino ratio for LRGF, currently valued at 2.98, compared to the broader market-2.000.002.004.006.008.0010.002.982.73
The chart of Omega ratio for LRGF, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.001.411.38
The chart of Calmar ratio for LRGF, currently valued at 3.37, compared to the broader market0.005.0010.0015.003.373.09
The chart of Martin ratio for LRGF, currently valued at 14.38, compared to the broader market0.0020.0040.0060.0080.00100.0014.3813.03
LRGF
ITOT

The current LRGF Sharpe Ratio is 2.22, which is comparable to the ITOT Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of LRGF and ITOT, 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
2.22
2.05
LRGF
ITOT

Dividends

LRGF vs. ITOT - Dividend Comparison

LRGF's dividend yield for the trailing twelve months is around 1.21%, which matches ITOT's 1.21% yield.


TTM20232022202120202019201820172016201520142013
LRGF
iShares MSCI USA Multifactor ETF
1.21%1.50%1.78%1.06%1.35%1.76%3.27%1.68%1.56%0.84%0.00%0.00%
ITOT
iShares Core S&P Total U.S. Stock Market ETF
1.21%1.47%1.66%1.18%1.41%1.88%2.14%1.69%1.83%2.01%2.20%2.06%

Drawdowns

LRGF vs. ITOT - Drawdown Comparison

The maximum LRGF drawdown since its inception was -36.03%, smaller than the maximum ITOT drawdown of -55.20%. Use the drawdown chart below to compare losses from any high point for LRGF and ITOT. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.89%
-2.53%
LRGF
ITOT

Volatility

LRGF vs. ITOT - Volatility Comparison

iShares MSCI USA Multifactor ETF (LRGF) and iShares Core S&P Total U.S. Stock Market ETF (ITOT) have volatilities of 4.05% and 4.05%, 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%7.00%JulyAugustSeptemberOctoberNovemberDecember
4.05%
4.05%
LRGF
ITOT
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab