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

Correlation

The correlation between BCI and FAAR is 0.38, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

BCI vs. FAAR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in abrdn Bloomberg All Commodity Strategy K-1 Free ETF (BCI) and First Trust Alternative Absolute Return Strategy ETF (FAAR). The values are adjusted to include any dividend payments, if applicable.

20.00%25.00%30.00%35.00%JulyAugustSeptemberOctoberNovemberDecember
26.54%
25.20%
BCI
FAAR

Key characteristics

Sharpe Ratio

BCI:

0.02

FAAR:

0.56

Sortino Ratio

BCI:

0.11

FAAR:

0.87

Omega Ratio

BCI:

1.01

FAAR:

1.10

Calmar Ratio

BCI:

0.01

FAAR:

0.28

Martin Ratio

BCI:

0.05

FAAR:

1.96

Ulcer Index

BCI:

5.40%

FAAR:

2.37%

Daily Std Dev

BCI:

11.90%

FAAR:

8.26%

Max Drawdown

BCI:

-32.69%

FAAR:

-16.65%

Current Drawdown

BCI:

-23.46%

FAAR:

-11.26%

Returns By Period

In the year-to-date period, BCI achieves a 0.41% return, which is significantly lower than FAAR's 5.74% return.


BCI

YTD

0.41%

1M

-3.91%

6M

-4.94%

1Y

-0.05%

5Y*

5.47%

10Y*

N/A

FAAR

YTD

5.74%

1M

1.78%

6M

0.65%

1Y

5.24%

5Y*

6.18%

10Y*

N/A

Compare stocks, funds, or ETFs

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


BCI vs. FAAR - Expense Ratio Comparison

BCI has a 0.25% expense ratio, which is lower than FAAR's 0.95% expense ratio.


FAAR
First Trust Alternative Absolute Return Strategy ETF
Expense ratio chart for FAAR: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for BCI: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

BCI vs. FAAR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for abrdn Bloomberg All Commodity Strategy K-1 Free ETF (BCI) and First Trust Alternative Absolute Return Strategy ETF (FAAR). 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 BCI, currently valued at 0.02, compared to the broader market0.002.004.000.020.56
The chart of Sortino ratio for BCI, currently valued at 0.11, compared to the broader market-2.000.002.004.006.008.0010.000.110.87
The chart of Omega ratio for BCI, currently valued at 1.01, compared to the broader market0.501.001.502.002.503.001.011.10
The chart of Calmar ratio for BCI, currently valued at 0.01, compared to the broader market0.005.0010.0015.000.010.28
The chart of Martin ratio for BCI, currently valued at 0.05, compared to the broader market0.0020.0040.0060.0080.00100.000.051.96
BCI
FAAR

The current BCI Sharpe Ratio is 0.02, which is lower than the FAAR Sharpe Ratio of 0.56. The chart below compares the historical Sharpe Ratios of BCI and FAAR, 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 Ratio-0.500.000.50JulyAugustSeptemberOctoberNovemberDecember
0.02
0.56
BCI
FAAR

Dividends

BCI vs. FAAR - Dividend Comparison

BCI has not paid dividends to shareholders, while FAAR's dividend yield for the trailing twelve months is around 3.45%.


TTM2023202220212020201920182017
BCI
abrdn Bloomberg All Commodity Strategy K-1 Free ETF
0.00%3.93%19.98%19.43%0.68%1.47%1.13%5.02%
FAAR
First Trust Alternative Absolute Return Strategy ETF
3.45%3.20%5.82%6.49%3.04%1.02%0.58%2.83%

Drawdowns

BCI vs. FAAR - Drawdown Comparison

The maximum BCI drawdown since its inception was -32.69%, which is greater than FAAR's maximum drawdown of -16.65%. Use the drawdown chart below to compare losses from any high point for BCI and FAAR. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-23.46%
-11.26%
BCI
FAAR

Volatility

BCI vs. FAAR - Volatility Comparison

abrdn Bloomberg All Commodity Strategy K-1 Free ETF (BCI) has a higher volatility of 4.70% compared to First Trust Alternative Absolute Return Strategy ETF (FAAR) at 2.24%. This indicates that BCI's price experiences larger fluctuations and is considered to be riskier than FAAR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
4.70%
2.24%
BCI
FAAR
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