SDG vs. ITOT
Compare and contrast key facts about iShares MSCI Global Impact ETF (SDG) and iShares Core S&P Total U.S. Stock Market ETF (ITOT).
SDG and ITOT are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SDG is a passively managed fund by iShares that tracks the performance of the MSCI ACWI Sustainable Impact Index. It was launched on Apr 20, 2016. ITOT is a passively managed fund by iShares that tracks the performance of the S&P Composite 1500 Index. It was launched on Jan 20, 2004. Both SDG and ITOT are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SDG or ITOT.
Performance
SDG vs. ITOT - Performance Comparison
Returns By Period
In the year-to-date period, SDG achieves a -6.26% return, which is significantly lower than ITOT's 25.69% return.
SDG
-6.26%
-6.72%
-3.88%
0.09%
5.62%
N/A
ITOT
25.69%
2.66%
14.35%
33.07%
15.09%
12.76%
Key characteristics
| SDG | ITOT | |
|---|---|---|
| Sharpe Ratio | 0.04 | 2.68 |
| Sortino Ratio | 0.16 | 3.57 |
| Omega Ratio | 1.02 | 1.49 |
| Calmar Ratio | 0.03 | 3.96 |
| Martin Ratio | 0.13 | 17.14 |
| Ulcer Index | 4.92% | 1.96% |
| Daily Std Dev | 15.19% | 12.56% |
| Max Drawdown | -29.20% | -55.21% |
| Current Drawdown | -20.87% | -0.83% |
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SDG vs. ITOT - Expense Ratio Comparison
SDG has a 0.49% expense ratio, which is higher than ITOT's 0.03% expense ratio.
Correlation
The correlation between SDG and ITOT is 0.70, 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.
Risk-Adjusted Performance
SDG vs. ITOT - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Global Impact ETF (SDG) 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.
Dividends
SDG vs. ITOT - Dividend Comparison
SDG's dividend yield for the trailing twelve months is around 2.07%, more than ITOT's 1.21% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SDG iShares MSCI Global Impact ETF | 2.07% | 1.77% | 1.82% | 1.66% | 0.97% | 1.39% | 2.47% | 2.54% | 1.34% | 0.00% | 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
SDG vs. ITOT - Drawdown Comparison
The maximum SDG drawdown since its inception was -29.20%, smaller than the maximum ITOT drawdown of -55.21%. Use the drawdown chart below to compare losses from any high point for SDG and ITOT. For additional features, visit the drawdowns tool.
Volatility
SDG vs. ITOT - Volatility Comparison
iShares MSCI Global Impact ETF (SDG) has a higher volatility of 5.90% compared to iShares Core S&P Total U.S. Stock Market ETF (ITOT) at 4.17%. This indicates that SDG's price experiences larger fluctuations and is considered to be riskier than ITOT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.