BAFWX vs. SPY
Compare and contrast key facts about Brown Advisory Sustainable Growth Fund Institutional Shares (BAFWX) and SPDR S&P 500 ETF (SPY).
BAFWX is managed by Brown Advisory Funds. It was launched on Jun 29, 2012. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BAFWX or SPY.
Key characteristics
| BAFWX | SPY | |
|---|---|---|
| YTD Return | 21.93% | 26.83% |
| 1Y Return | 30.72% | 34.88% |
| 3Y Return (Ann) | 4.59% | 10.16% |
| 5Y Return (Ann) | 16.50% | 15.71% |
| 10Y Return (Ann) | 14.77% | 13.33% |
| Sharpe Ratio | 1.89 | 3.08 |
| Sortino Ratio | 2.58 | 4.10 |
| Omega Ratio | 1.35 | 1.58 |
| Calmar Ratio | 2.12 | 4.46 |
| Martin Ratio | 12.17 | 20.22 |
| Ulcer Index | 2.53% | 1.85% |
| Daily Std Dev | 16.27% | 12.18% |
| Max Drawdown | -37.99% | -55.19% |
| Current Drawdown | -0.81% | -0.26% |
Correlation
The correlation between BAFWX and SPY is 0.89, 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.
Performance
BAFWX vs. SPY - Performance Comparison
In the year-to-date period, BAFWX achieves a 21.93% return, which is significantly lower than SPY's 26.83% return. Over the past 10 years, BAFWX has outperformed SPY with an annualized return of 14.77%, while SPY has yielded a comparatively lower 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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BAFWX vs. SPY - Expense Ratio Comparison
BAFWX has a 0.64% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
BAFWX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Brown Advisory Sustainable Growth Fund Institutional Shares (BAFWX) 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.
Dividends
BAFWX vs. SPY - Dividend Comparison
BAFWX's dividend yield for the trailing twelve months is around 0.01%, less than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BAFWX Brown Advisory Sustainable Growth Fund Institutional Shares | 0.01% | 0.01% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
BAFWX vs. SPY - Drawdown Comparison
The maximum BAFWX drawdown since its inception was -37.99%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BAFWX and SPY. For additional features, visit the drawdowns tool.
Volatility
BAFWX vs. SPY - Volatility Comparison
Brown Advisory Sustainable Growth Fund Institutional Shares (BAFWX) has a higher volatility of 5.08% compared to SPDR S&P 500 ETF (SPY) at 3.76%. This indicates that BAFWX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.