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MASKX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between MASKX and ^GSPC is 0.83, 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.


-0.50.00.51.00.8

Performance

MASKX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Russell 2000 Small-Cap Index Fund (MASKX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
6.84%
8.53%
MASKX
^GSPC

Key characteristics

Sharpe Ratio

MASKX:

0.45

^GSPC:

2.10

Sortino Ratio

MASKX:

0.76

^GSPC:

2.80

Omega Ratio

MASKX:

1.09

^GSPC:

1.39

Calmar Ratio

MASKX:

0.38

^GSPC:

3.09

Martin Ratio

MASKX:

2.30

^GSPC:

13.49

Ulcer Index

MASKX:

4.19%

^GSPC:

1.94%

Daily Std Dev

MASKX:

21.46%

^GSPC:

12.52%

Max Drawdown

MASKX:

-67.66%

^GSPC:

-56.78%

Current Drawdown

MASKX:

-14.93%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, MASKX achieves a 7.21% return, which is significantly lower than ^GSPC's 24.34% return. Over the past 10 years, MASKX has underperformed ^GSPC with an annualized return of 5.14%, while ^GSPC has yielded a comparatively higher 11.06% annualized return.


MASKX

YTD

7.21%

1M

-7.37%

6M

6.84%

1Y

7.83%

5Y*

4.75%

10Y*

5.14%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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Risk-Adjusted Performance

MASKX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Russell 2000 Small-Cap Index Fund (MASKX) and S&P 500 (^GSPC). 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 MASKX, currently valued at 0.45, compared to the broader market-1.000.001.002.003.004.000.452.10
The chart of Sortino ratio for MASKX, currently valued at 0.76, compared to the broader market-2.000.002.004.006.008.0010.000.762.80
The chart of Omega ratio for MASKX, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.003.501.091.39
The chart of Calmar ratio for MASKX, currently valued at 0.38, compared to the broader market0.002.004.006.008.0010.0012.0014.000.383.09
The chart of Martin ratio for MASKX, currently valued at 2.30, compared to the broader market0.0020.0040.0060.002.3013.49
MASKX
^GSPC

The current MASKX Sharpe Ratio is 0.45, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of MASKX and ^GSPC, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.45
2.10
MASKX
^GSPC

Drawdowns

MASKX vs. ^GSPC - Drawdown Comparison

The maximum MASKX drawdown since its inception was -67.66%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for MASKX and ^GSPC. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-14.93%
-2.62%
MASKX
^GSPC

Volatility

MASKX vs. ^GSPC - Volatility Comparison

iShares Russell 2000 Small-Cap Index Fund (MASKX) has a higher volatility of 8.16% compared to S&P 500 (^GSPC) at 3.79%. This indicates that MASKX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
8.16%
3.79%
MASKX
^GSPC
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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.

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