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^BSE200 vs. SMIN
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^BSE200 and SMIN is 0.56, 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.


-0.50.00.51.00.6

Performance

^BSE200 vs. SMIN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P BSE-200 (^BSE200) and iShares MSCI India Small-Cap ETF (SMIN). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-1.99%
6.88%
^BSE200
SMIN

Key characteristics

Sharpe Ratio

^BSE200:

0.95

SMIN:

1.57

Sortino Ratio

^BSE200:

1.29

SMIN:

1.98

Omega Ratio

^BSE200:

1.20

SMIN:

1.29

Calmar Ratio

^BSE200:

1.25

SMIN:

2.71

Martin Ratio

^BSE200:

3.92

SMIN:

8.25

Ulcer Index

^BSE200:

3.57%

SMIN:

3.47%

Daily Std Dev

^BSE200:

14.64%

SMIN:

18.29%

Max Drawdown

^BSE200:

-38.11%

SMIN:

-60.50%

Current Drawdown

^BSE200:

-9.54%

SMIN:

-1.79%

Returns By Period

In the year-to-date period, ^BSE200 achieves a 13.30% return, which is significantly lower than SMIN's 23.50% return. Over the past 10 years, ^BSE200 has outperformed SMIN with an annualized return of 12.58%, while SMIN has yielded a comparatively lower 11.36% annualized return.


^BSE200

YTD

13.30%

1M

0.98%

6M

-0.03%

1Y

16.12%

5Y*

16.57%

10Y*

12.58%

SMIN

YTD

23.50%

1M

8.33%

6M

6.88%

1Y

24.66%

5Y*

20.38%

10Y*

11.36%

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Risk-Adjusted Performance

^BSE200 vs. SMIN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P BSE-200 (^BSE200) and iShares MSCI India Small-Cap ETF (SMIN). 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 ^BSE200, currently valued at 0.53, compared to the broader market0.001.002.000.531.04
The chart of Sortino ratio for ^BSE200, currently valued at 0.78, compared to the broader market-1.000.001.002.003.000.781.39
The chart of Omega ratio for ^BSE200, currently valued at 1.12, compared to the broader market0.901.001.101.201.301.401.121.21
The chart of Calmar ratio for ^BSE200, currently valued at 0.64, compared to the broader market0.001.002.003.000.641.78
The chart of Martin ratio for ^BSE200, currently valued at 1.93, compared to the broader market0.005.0010.0015.0020.001.935.37
^BSE200
SMIN

The current ^BSE200 Sharpe Ratio is 0.95, which is lower than the SMIN Sharpe Ratio of 1.57. The chart below compares the historical Sharpe Ratios of ^BSE200 and SMIN, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.53
1.04
^BSE200
SMIN

Drawdowns

^BSE200 vs. SMIN - Drawdown Comparison

The maximum ^BSE200 drawdown since its inception was -38.11%, smaller than the maximum SMIN drawdown of -60.50%. Use the drawdown chart below to compare losses from any high point for ^BSE200 and SMIN. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.04%
-1.79%
^BSE200
SMIN

Volatility

^BSE200 vs. SMIN - Volatility Comparison

The current volatility for S&P BSE-200 (^BSE200) is 4.68%, while iShares MSCI India Small-Cap ETF (SMIN) has a volatility of 5.51%. This indicates that ^BSE200 experiences smaller price fluctuations and is considered to be less risky than SMIN 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
4.68%
5.51%
^BSE200
SMIN
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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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