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BBVA vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BBVASPY
YTD Return19.83%21.73%
1Y Return38.71%34.38%
3Y Return (Ann)22.75%11.06%
5Y Return (Ann)22.44%16.18%
10Y Return (Ann)4.48%13.66%
Sharpe Ratio1.352.84
Sortino Ratio1.753.79
Omega Ratio1.241.52
Calmar Ratio1.453.02
Martin Ratio4.6817.54
Ulcer Index8.27%2.01%
Daily Std Dev28.72%12.41%
Max Drawdown-80.20%-55.19%
Current Drawdown-10.38%-0.10%

Correlation

-0.50.00.51.00.5

The correlation between BBVA and SPY is 0.53, 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.

Performance

BBVA vs. SPY - Performance Comparison

In the year-to-date period, BBVA achieves a 19.83% return, which is significantly lower than SPY's 21.73% return. Over the past 10 years, BBVA has underperformed SPY with an annualized return of 4.48%, while SPY has yielded a comparatively higher 13.66% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


1,900.00%2,000.00%2,100.00%2,200.00%2,300.00%MayJuneJulyAugustSeptemberOctober
2,071.58%
2,228.76%
BBVA
SPY

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Risk-Adjusted Performance

BBVA vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Banco Bilbao Vizcaya Argentaria, S.A. (BBVA) 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.


BBVA
Sharpe ratio
The chart of Sharpe ratio for BBVA, currently valued at 1.35, compared to the broader market-4.00-2.000.002.001.35
Sortino ratio
The chart of Sortino ratio for BBVA, currently valued at 1.75, compared to the broader market-4.00-2.000.002.004.001.75
Omega ratio
The chart of Omega ratio for BBVA, currently valued at 1.24, compared to the broader market0.501.001.502.001.24
Calmar ratio
The chart of Calmar ratio for BBVA, currently valued at 1.45, compared to the broader market0.002.004.006.001.45
Martin ratio
The chart of Martin ratio for BBVA, currently valued at 4.68, compared to the broader market-10.000.0010.0020.004.68
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.77, compared to the broader market-4.00-2.000.002.002.77
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.71, compared to the broader market-4.00-2.000.002.004.003.71
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.51, compared to the broader market0.501.001.502.001.51
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 2.95, compared to the broader market0.002.004.006.002.95
Martin ratio
The chart of Martin ratio for SPY, currently valued at 17.11, compared to the broader market-10.000.0010.0020.0017.11

BBVA vs. SPY - Sharpe Ratio Comparison

The current BBVA Sharpe Ratio is 1.35, which is lower than the SPY Sharpe Ratio of 2.84. The chart below compares the historical Sharpe Ratios of BBVA and SPY, offering insights into how both instruments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
1.35
2.77
BBVA
SPY

Dividends

BBVA vs. SPY - Dividend Comparison

BBVA's dividend yield for the trailing twelve months is around 7.05%, more than SPY's 1.22% yield.


TTM20232022202120202019201820172016201520142013
BBVA
Banco Bilbao Vizcaya Argentaria, S.A.
7.05%5.58%6.28%2.79%3.53%5.20%5.67%3.92%6.02%4.29%5.71%4.43%
SPY
SPDR S&P 500 ETF
1.22%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

BBVA vs. SPY - Drawdown Comparison

The maximum BBVA drawdown since its inception was -80.20%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BBVA and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-10.38%
-0.10%
BBVA
SPY

Volatility

BBVA vs. SPY - Volatility Comparison

Banco Bilbao Vizcaya Argentaria, S.A. (BBVA) has a higher volatility of 8.87% compared to SPDR S&P 500 ETF (SPY) at 2.88%. This indicates that BBVA'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.


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
8.87%
2.88%
BBVA
SPY