PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BBCA vs. EFV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

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.


-0.50.00.51.00.8

Performance

BBCA vs. EFV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan BetaBuilders Canada ETF (BBCA) and iShares MSCI EAFE Value ETF (EFV). The values are adjusted to include any dividend payments, if applicable.

30.00%40.00%50.00%60.00%70.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
67.19%
28.05%
BBCA
EFV

Key characteristics

Sharpe Ratio

BBCA:

1.16

EFV:

0.56

Sortino Ratio

BBCA:

1.62

EFV:

0.83

Omega Ratio

BBCA:

1.21

EFV:

1.10

Calmar Ratio

BBCA:

1.86

EFV:

0.76

Martin Ratio

BBCA:

7.64

EFV:

2.26

Ulcer Index

BBCA:

2.00%

EFV:

3.07%

Daily Std Dev

BBCA:

13.19%

EFV:

12.26%

Max Drawdown

BBCA:

-42.81%

EFV:

-63.94%

Current Drawdown

BBCA:

-6.36%

EFV:

-9.08%

Returns By Period

In the year-to-date period, BBCA achieves a 12.03% return, which is significantly higher than EFV's 4.03% return.


BBCA

YTD

12.03%

1M

-4.10%

6M

11.31%

1Y

13.68%

5Y*

9.12%

10Y*

N/A

EFV

YTD

4.03%

1M

-2.12%

6M

0.32%

1Y

5.28%

5Y*

4.82%

10Y*

3.97%

Compare stocks, funds, or ETFs

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


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.


Sharpe ratio
The chart of Sharpe ratio for BBCA, currently valued at 1.16, compared to the broader market0.002.004.001.160.56
The chart of Sortino ratio for BBCA, currently valued at 1.62, compared to the broader market-2.000.002.004.006.008.0010.001.620.83
The chart of Omega ratio for BBCA, currently valued at 1.21, compared to the broader market0.501.001.502.002.503.001.211.10
The chart of Calmar ratio for BBCA, currently valued at 1.86, compared to the broader market0.005.0010.0015.001.860.76
The chart of Martin ratio for BBCA, currently valued at 7.64, compared to the broader market0.0020.0040.0060.0080.00100.007.642.26
BBCA
EFV

The current BBCA Sharpe Ratio is 1.16, which is higher than the EFV Sharpe Ratio of 0.56. 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 Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.16
0.56
BBCA
EFV

Dividends

BBCA vs. EFV - Dividend Comparison

BBCA's dividend yield for the trailing twelve months is around 1.56%, less than EFV's 4.72% yield.


TTM20232022202120202019201820172016201520142013
BBCA
JPMorgan BetaBuilders Canada ETF
1.56%2.51%2.65%2.17%2.40%2.32%1.21%0.00%0.00%0.00%0.00%0.00%
EFV
iShares MSCI EAFE Value ETF
4.72%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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.36%
-9.08%
BBCA
EFV

Volatility

BBCA vs. EFV - Volatility Comparison

JPMorgan BetaBuilders Canada ETF (BBCA) has a higher volatility of 4.31% compared to iShares MSCI EAFE Value ETF (EFV) at 3.39%. This indicates that BBCA's price experiences larger fluctuations and is considered to be riskier than EFV based on this measure. 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%JulyAugustSeptemberOctoberNovemberDecember
4.31%
3.39%
BBCA
EFV
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab