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

Correlation

The correlation between BCAT and SPY is 0.58, 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

BCAT vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in BlackRock Capital Allocation Trust (BCAT) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.28%
11.21%
BCAT
SPY

Key characteristics

Sharpe Ratio

BCAT:

1.58

SPY:

2.25

Sortino Ratio

BCAT:

2.33

SPY:

2.99

Omega Ratio

BCAT:

1.29

SPY:

1.42

Calmar Ratio

BCAT:

1.09

SPY:

3.34

Martin Ratio

BCAT:

9.01

SPY:

14.72

Ulcer Index

BCAT:

2.50%

SPY:

1.90%

Daily Std Dev

BCAT:

14.30%

SPY:

12.45%

Max Drawdown

BCAT:

-36.13%

SPY:

-55.19%

Current Drawdown

BCAT:

-3.36%

SPY:

-0.73%

Returns By Period

In the year-to-date period, BCAT achieves a 22.49% return, which is significantly lower than SPY's 28.14% return.


BCAT

YTD

22.49%

1M

-2.04%

6M

4.90%

1Y

22.41%

5Y*

N/A

10Y*

N/A

SPY

YTD

28.14%

1M

0.45%

6M

10.77%

1Y

27.82%

5Y*

15.01%

10Y*

13.14%

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Risk-Adjusted Performance

BCAT vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock Capital Allocation Trust (BCAT) 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.


The chart of Sharpe ratio for BCAT, currently valued at 1.58, compared to the broader market-4.00-2.000.002.001.582.25
The chart of Sortino ratio for BCAT, currently valued at 2.33, compared to the broader market-4.00-2.000.002.004.002.332.99
The chart of Omega ratio for BCAT, currently valued at 1.29, compared to the broader market0.501.001.502.001.291.42
The chart of Calmar ratio for BCAT, currently valued at 1.09, compared to the broader market0.002.004.006.001.093.34
The chart of Martin ratio for BCAT, currently valued at 9.01, compared to the broader market0.0010.0020.009.0114.72
BCAT
SPY

The current BCAT Sharpe Ratio is 1.58, which is comparable to the SPY Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of BCAT and SPY, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.58
2.25
BCAT
SPY

Dividends

BCAT vs. SPY - Dividend Comparison

BCAT's dividend yield for the trailing twelve months is around 17.06%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
BCAT
BlackRock Capital Allocation Trust
17.06%10.11%9.00%6.42%0.48%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

BCAT vs. SPY - Drawdown Comparison

The maximum BCAT drawdown since its inception was -36.13%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BCAT and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.36%
-0.73%
BCAT
SPY

Volatility

BCAT vs. SPY - Volatility Comparison

BlackRock Capital Allocation Trust (BCAT) has a higher volatility of 4.54% compared to SPDR S&P 500 ETF (SPY) at 3.96%. This indicates that BCAT'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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.54%
3.96%
BCAT
SPY