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IGM vs. ^XCI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between IGM and ^XCI is 0.95, 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

IGM vs. ^XCI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Expanded Tech Sector ETF (IGM) and ARCA Computer Technology Index (^XCI). The values are adjusted to include any dividend payments, if applicable.

1,000.00%1,100.00%1,200.00%1,300.00%1,400.00%1,500.00%JulyAugustSeptemberOctoberNovemberDecember
1,203.60%
1,507.38%
IGM
^XCI

Key characteristics

Sharpe Ratio

IGM:

1.93

^XCI:

2.04

Sortino Ratio

IGM:

2.54

^XCI:

2.65

Omega Ratio

IGM:

1.34

^XCI:

1.35

Calmar Ratio

IGM:

2.80

^XCI:

2.75

Martin Ratio

IGM:

10.03

^XCI:

9.24

Ulcer Index

IGM:

4.12%

^XCI:

4.91%

Daily Std Dev

IGM:

21.43%

^XCI:

22.21%

Max Drawdown

IGM:

-65.59%

^XCI:

-77.19%

Current Drawdown

IGM:

-3.20%

^XCI:

-1.94%

Returns By Period

In the year-to-date period, IGM achieves a 38.86% return, which is significantly lower than ^XCI's 43.71% return. Over the past 10 years, IGM has underperformed ^XCI with an annualized return of 20.28%, while ^XCI has yielded a comparatively higher 22.40% annualized return.


IGM

YTD

38.86%

1M

3.27%

6M

10.15%

1Y

39.33%

5Y*

21.32%

10Y*

20.28%

^XCI

YTD

43.71%

1M

3.34%

6M

8.00%

1Y

44.00%

5Y*

27.29%

10Y*

22.40%

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

IGM vs. ^XCI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Expanded Tech Sector ETF (IGM) and ARCA Computer Technology Index (^XCI). 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 IGM, currently valued at 1.93, compared to the broader market0.002.004.001.932.04
The chart of Sortino ratio for IGM, currently valued at 2.54, compared to the broader market-2.000.002.004.006.008.0010.002.542.65
The chart of Omega ratio for IGM, currently valued at 1.34, compared to the broader market0.501.001.502.002.503.001.341.35
The chart of Calmar ratio for IGM, currently valued at 2.80, compared to the broader market0.005.0010.0015.002.802.75
The chart of Martin ratio for IGM, currently valued at 10.03, compared to the broader market0.0020.0040.0060.0080.00100.0010.039.24
IGM
^XCI

The current IGM Sharpe Ratio is 1.93, which is comparable to the ^XCI Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of IGM and ^XCI, 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 Ratio1.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.93
2.04
IGM
^XCI

Drawdowns

IGM vs. ^XCI - Drawdown Comparison

The maximum IGM drawdown since its inception was -65.59%, smaller than the maximum ^XCI drawdown of -77.19%. Use the drawdown chart below to compare losses from any high point for IGM and ^XCI. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.20%
-1.94%
IGM
^XCI

Volatility

IGM vs. ^XCI - Volatility Comparison

iShares Expanded Tech Sector ETF (IGM) has a higher volatility of 5.81% compared to ARCA Computer Technology Index (^XCI) at 4.96%. This indicates that IGM's price experiences larger fluctuations and is considered to be riskier than ^XCI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.81%
4.96%
IGM
^XCI
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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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