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BCSIX vs. SCHD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BCSIXSCHD
YTD Return2.66%13.75%
1Y Return24.94%29.24%
3Y Return (Ann)-10.43%6.56%
5Y Return (Ann)2.32%12.61%
10Y Return (Ann)6.76%11.48%
Sharpe Ratio0.862.71
Sortino Ratio1.403.91
Omega Ratio1.211.48
Calmar Ratio0.512.52
Martin Ratio3.9215.22
Ulcer Index6.25%2.02%
Daily Std Dev28.30%11.34%
Max Drawdown-53.85%-33.37%
Current Drawdown-34.27%-2.50%

Correlation

-0.50.00.51.00.6

The correlation between BCSIX and SCHD is 0.62, 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

BCSIX vs. SCHD - Performance Comparison

In the year-to-date period, BCSIX achieves a 2.66% return, which is significantly lower than SCHD's 13.75% return. Over the past 10 years, BCSIX has underperformed SCHD with an annualized return of 6.76%, while SCHD has yielded a comparatively higher 11.48% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
7.82%
11.61%
BCSIX
SCHD

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BCSIX vs. SCHD - Expense Ratio Comparison

BCSIX has a 1.25% expense ratio, which is higher than SCHD's 0.06% expense ratio.


BCSIX
Brown Capital Management Small Company Fund
Expense ratio chart for BCSIX: current value at 1.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.25%
Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

BCSIX vs. SCHD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Brown Capital Management Small Company Fund (BCSIX) and Schwab US Dividend Equity ETF (SCHD). 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.


BCSIX
Sharpe ratio
The chart of Sharpe ratio for BCSIX, currently valued at 0.86, compared to the broader market-2.000.002.004.000.86
Sortino ratio
The chart of Sortino ratio for BCSIX, currently valued at 1.40, compared to the broader market0.005.0010.001.40
Omega ratio
The chart of Omega ratio for BCSIX, currently valued at 1.21, compared to the broader market1.002.003.004.001.21
Calmar ratio
The chart of Calmar ratio for BCSIX, currently valued at 0.51, compared to the broader market0.005.0010.0015.0020.000.51
Martin ratio
The chart of Martin ratio for BCSIX, currently valued at 3.92, compared to the broader market0.0020.0040.0060.0080.00100.003.92
SCHD
Sharpe ratio
The chart of Sharpe ratio for SCHD, currently valued at 2.71, compared to the broader market-2.000.002.004.002.71
Sortino ratio
The chart of Sortino ratio for SCHD, currently valued at 3.91, compared to the broader market0.005.0010.003.91
Omega ratio
The chart of Omega ratio for SCHD, currently valued at 1.48, compared to the broader market1.002.003.004.001.48
Calmar ratio
The chart of Calmar ratio for SCHD, currently valued at 2.52, compared to the broader market0.005.0010.0015.0020.002.52
Martin ratio
The chart of Martin ratio for SCHD, currently valued at 15.22, compared to the broader market0.0020.0040.0060.0080.00100.0015.22

BCSIX vs. SCHD - Sharpe Ratio Comparison

The current BCSIX Sharpe Ratio is 0.86, which is lower than the SCHD Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of BCSIX and SCHD, 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-0.500.000.501.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
0.86
2.71
BCSIX
SCHD

Dividends

BCSIX vs. SCHD - Dividend Comparison

BCSIX's dividend yield for the trailing twelve months is around 9.11%, more than SCHD's 3.48% yield.


TTM20232022202120202019201820172016201520142013
BCSIX
Brown Capital Management Small Company Fund
9.11%9.36%12.04%9.32%7.46%8.62%6.85%5.94%5.54%0.00%5.45%1.62%
SCHD
Schwab US Dividend Equity ETF
3.48%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

Drawdowns

BCSIX vs. SCHD - Drawdown Comparison

The maximum BCSIX drawdown since its inception was -53.85%, which is greater than SCHD's maximum drawdown of -33.37%. Use the drawdown chart below to compare losses from any high point for BCSIX and SCHD. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%MayJuneJulyAugustSeptemberOctober
-34.27%
-2.50%
BCSIX
SCHD

Volatility

BCSIX vs. SCHD - Volatility Comparison

Brown Capital Management Small Company Fund (BCSIX) has a higher volatility of 4.36% compared to Schwab US Dividend Equity ETF (SCHD) at 2.72%. This indicates that BCSIX's price experiences larger fluctuations and is considered to be riskier than SCHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
4.36%
2.72%
BCSIX
SCHD