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BBCA vs. EFV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BBCAEFV
YTD Return14.29%10.41%
1Y Return26.59%20.37%
3Y Return (Ann)4.21%6.94%
5Y Return (Ann)10.05%6.42%
Sharpe Ratio1.931.62
Sortino Ratio2.692.25
Omega Ratio1.341.28
Calmar Ratio1.673.00
Martin Ratio14.089.74
Ulcer Index1.83%2.03%
Daily Std Dev13.30%12.16%
Max Drawdown-42.81%-63.94%
Current Drawdown-1.52%-3.50%

Correlation

-0.50.00.51.00.8

The correlation between BBCA and EFV is 0.82, 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

BBCA vs. EFV - Performance Comparison

In the year-to-date period, BBCA achieves a 14.29% return, which is significantly higher than EFV's 10.41% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
10.49%
4.72%
BBCA
EFV

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BBCA vs. EFV - Expense Ratio Comparison

BBCA has a 0.19% expense ratio, which is lower than EFV's 0.39% expense ratio.


EFV
iShares MSCI EAFE Value ETF
Expense ratio chart for EFV: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for BBCA: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%

Risk-Adjusted Performance

BBCA vs. EFV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan BetaBuilders Canada ETF (BBCA) and iShares MSCI EAFE Value ETF (EFV). 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.


BBCA
Sharpe ratio
The chart of Sharpe ratio for BBCA, currently valued at 1.93, compared to the broader market0.002.004.001.93
Sortino ratio
The chart of Sortino ratio for BBCA, currently valued at 2.69, compared to the broader market-2.000.002.004.006.008.0010.0012.002.69
Omega ratio
The chart of Omega ratio for BBCA, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for BBCA, currently valued at 1.67, compared to the broader market0.005.0010.0015.0020.001.67
Martin ratio
The chart of Martin ratio for BBCA, currently valued at 14.08, compared to the broader market0.0020.0040.0060.0080.00100.00120.0014.08
EFV
Sharpe ratio
The chart of Sharpe ratio for EFV, currently valued at 1.62, compared to the broader market0.002.004.001.62
Sortino ratio
The chart of Sortino ratio for EFV, currently valued at 2.25, compared to the broader market-2.000.002.004.006.008.0010.0012.002.25
Omega ratio
The chart of Omega ratio for EFV, currently valued at 1.28, compared to the broader market1.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for EFV, currently valued at 3.00, compared to the broader market0.005.0010.0015.0020.003.00
Martin ratio
The chart of Martin ratio for EFV, currently valued at 9.74, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.74

BBCA vs. EFV - Sharpe Ratio Comparison

The current BBCA Sharpe Ratio is 1.93, which is comparable to the EFV Sharpe Ratio of 1.62. The chart below compares the historical Sharpe Ratios of BBCA and EFV, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.93
1.62
BBCA
EFV

Dividends

BBCA vs. EFV - Dividend Comparison

BBCA's dividend yield for the trailing twelve months is around 2.30%, less than EFV's 4.46% yield.


TTM20232022202120202019201820172016201520142013
BBCA
JPMorgan BetaBuilders Canada ETF
2.30%2.51%2.65%2.17%2.41%2.32%1.21%0.00%0.00%0.00%0.00%0.00%
EFV
iShares MSCI EAFE Value ETF
4.46%4.36%4.17%4.07%2.42%4.62%4.56%3.56%3.27%3.59%4.87%3.19%

Drawdowns

BBCA vs. EFV - Drawdown Comparison

The maximum BBCA drawdown since its inception was -42.81%, smaller than the maximum EFV drawdown of -63.94%. Use the drawdown chart below to compare losses from any high point for BBCA and EFV. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.52%
-3.50%
BBCA
EFV

Volatility

BBCA vs. EFV - Volatility Comparison

JPMorgan BetaBuilders Canada ETF (BBCA) and iShares MSCI EAFE Value ETF (EFV) have volatilities of 2.71% and 2.77%, 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%2.50%3.00%3.50%4.00%4.50%5.00%5.50%JuneJulyAugustSeptemberOctoberNovember
2.71%
2.77%
BBCA
EFV