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URTH vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between URTH and SPY is 0.85, 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

URTH vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI World ETF (URTH) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

250.00%300.00%350.00%400.00%450.00%500.00%JulyAugustSeptemberOctoberNovemberDecember
300.05%
475.69%
URTH
SPY

Key characteristics

Sharpe Ratio

URTH:

1.80

SPY:

2.21

Sortino Ratio

URTH:

2.44

SPY:

2.93

Omega Ratio

URTH:

1.33

SPY:

1.41

Calmar Ratio

URTH:

2.61

SPY:

3.26

Martin Ratio

URTH:

11.27

SPY:

14.43

Ulcer Index

URTH:

1.91%

SPY:

1.90%

Daily Std Dev

URTH:

11.93%

SPY:

12.41%

Max Drawdown

URTH:

-34.01%

SPY:

-55.19%

Current Drawdown

URTH:

-3.39%

SPY:

-2.74%

Returns By Period

In the year-to-date period, URTH achieves a 19.32% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, URTH has underperformed SPY with an annualized return of 10.03%, while SPY has yielded a comparatively higher 12.97% annualized return.


URTH

YTD

19.32%

1M

-0.72%

6M

6.93%

1Y

19.85%

5Y*

11.52%

10Y*

10.03%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

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


URTH vs. SPY - Expense Ratio Comparison

URTH has a 0.24% expense ratio, which is higher than SPY's 0.09% 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%.


URTH
iShares MSCI World ETF
Expense ratio chart for URTH: current value at 0.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.24%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

URTH vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI World ETF (URTH) and SPDR S&P 500 ETF (SPY). 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 URTH, currently valued at 1.80, compared to the broader market0.002.004.001.802.21
The chart of Sortino ratio for URTH, currently valued at 2.44, compared to the broader market-2.000.002.004.006.008.0010.002.442.93
The chart of Omega ratio for URTH, currently valued at 1.33, compared to the broader market0.501.001.502.002.503.001.331.41
The chart of Calmar ratio for URTH, currently valued at 2.61, compared to the broader market0.005.0010.0015.002.613.26
The chart of Martin ratio for URTH, currently valued at 11.27, compared to the broader market0.0020.0040.0060.0080.00100.0011.2714.43
URTH
SPY

The current URTH Sharpe Ratio is 1.80, which is comparable to the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of URTH and SPY, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.80
2.21
URTH
SPY

Dividends

URTH vs. SPY - Dividend Comparison

URTH's dividend yield for the trailing twelve months is around 1.47%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
URTH
iShares MSCI World ETF
1.47%1.70%1.68%1.50%1.52%2.16%2.30%1.88%2.14%2.35%2.32%1.04%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

URTH vs. SPY - Drawdown Comparison

The maximum URTH drawdown since its inception was -34.01%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for URTH and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.39%
-2.74%
URTH
SPY

Volatility

URTH vs. SPY - Volatility Comparison

iShares MSCI World ETF (URTH) and SPDR S&P 500 ETF (SPY) have volatilities of 3.64% and 3.72%, 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%JulyAugustSeptemberOctoberNovemberDecember
3.64%
3.72%
URTH
SPY
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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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