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RTH vs. IYK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


RTHIYK
YTD Return20.40%8.95%
1Y Return31.79%12.77%
3Y Return (Ann)6.60%5.35%
5Y Return (Ann)14.67%12.46%
10Y Return (Ann)14.26%9.47%
Sharpe Ratio2.631.29
Sortino Ratio3.611.90
Omega Ratio1.461.22
Calmar Ratio2.901.45
Martin Ratio10.766.43
Ulcer Index2.93%2.06%
Daily Std Dev12.01%10.27%
Max Drawdown-41.80%-42.64%
Current Drawdown-0.21%-4.46%

Correlation

-0.50.00.51.00.7

The correlation between RTH and IYK is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

RTH vs. IYK - Performance Comparison

In the year-to-date period, RTH achieves a 20.40% return, which is significantly higher than IYK's 8.95% return. Over the past 10 years, RTH has outperformed IYK with an annualized return of 14.26%, while IYK has yielded a comparatively lower 9.47% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.05%
2.26%
RTH
IYK

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RTH vs. IYK - Expense Ratio Comparison

RTH has a 0.35% expense ratio, which is lower than IYK's 0.42% expense ratio.


IYK
iShares U.S. Consumer Goods ETF
Expense ratio chart for IYK: 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%
Expense ratio chart for RTH: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

RTH vs. IYK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for VanEck Vectors Retail ETF (RTH) and iShares U.S. Consumer Goods ETF (IYK). 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.


RTH
Sharpe ratio
The chart of Sharpe ratio for RTH, currently valued at 2.63, compared to the broader market-2.000.002.004.002.63
Sortino ratio
The chart of Sortino ratio for RTH, currently valued at 3.61, compared to the broader market0.005.0010.003.61
Omega ratio
The chart of Omega ratio for RTH, currently valued at 1.46, compared to the broader market1.001.502.002.503.001.46
Calmar ratio
The chart of Calmar ratio for RTH, currently valued at 2.90, compared to the broader market0.005.0010.0015.002.90
Martin ratio
The chart of Martin ratio for RTH, currently valued at 10.76, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.76
IYK
Sharpe ratio
The chart of Sharpe ratio for IYK, currently valued at 1.29, compared to the broader market-2.000.002.004.001.29
Sortino ratio
The chart of Sortino ratio for IYK, currently valued at 1.90, compared to the broader market0.005.0010.001.90
Omega ratio
The chart of Omega ratio for IYK, currently valued at 1.22, compared to the broader market1.001.502.002.503.001.22
Calmar ratio
The chart of Calmar ratio for IYK, currently valued at 1.45, compared to the broader market0.005.0010.0015.001.45
Martin ratio
The chart of Martin ratio for IYK, currently valued at 6.43, compared to the broader market0.0020.0040.0060.0080.00100.00120.006.43

RTH vs. IYK - Sharpe Ratio Comparison

The current RTH Sharpe Ratio is 2.63, which is higher than the IYK Sharpe Ratio of 1.29. The chart below compares the historical Sharpe Ratios of RTH and IYK, 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 Ratio0.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.63
1.29
RTH
IYK

Dividends

RTH vs. IYK - Dividend Comparison

RTH's dividend yield for the trailing twelve months is around 0.89%, less than IYK's 2.54% yield.


TTM20232022202120202019201820172016201520142013
RTH
VanEck Vectors Retail ETF
0.89%1.07%1.16%0.78%0.64%0.91%1.05%1.56%1.84%2.25%0.41%1.00%
IYK
iShares U.S. Consumer Goods ETF
2.54%2.74%2.16%1.49%1.42%2.21%2.81%1.74%2.63%2.11%1.82%1.84%

Drawdowns

RTH vs. IYK - Drawdown Comparison

The maximum RTH drawdown since its inception was -41.80%, roughly equal to the maximum IYK drawdown of -42.64%. Use the drawdown chart below to compare losses from any high point for RTH and IYK. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.21%
-4.46%
RTH
IYK

Volatility

RTH vs. IYK - Volatility Comparison

VanEck Vectors Retail ETF (RTH) has a higher volatility of 3.58% compared to iShares U.S. Consumer Goods ETF (IYK) at 2.56%. This indicates that RTH's price experiences larger fluctuations and is considered to be riskier than IYK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.58%
2.56%
RTH
IYK