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

Key characteristics


BCSIXVOO
YTD Return2.66%23.64%
1Y Return24.94%42.02%
3Y Return (Ann)-10.43%9.92%
5Y Return (Ann)2.32%15.81%
10Y Return (Ann)6.76%13.26%
Sharpe Ratio0.863.62
Sortino Ratio1.404.77
Omega Ratio1.211.68
Calmar Ratio0.514.14
Martin Ratio3.9223.93
Ulcer Index6.25%1.83%
Daily Std Dev28.30%12.09%
Max Drawdown-53.85%-33.99%
Current Drawdown-34.27%-0.48%

Correlation

-0.50.00.51.00.8

The correlation between BCSIX and VOO is 0.78, 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.

Performance

BCSIX vs. VOO - Performance Comparison

In the year-to-date period, BCSIX achieves a 2.66% return, which is significantly lower than VOO's 23.64% return. Over the past 10 years, BCSIX has underperformed VOO with an annualized return of 6.76%, while VOO has yielded a comparatively higher 13.26% 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%
16.67%
BCSIX
VOO

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BCSIX vs. VOO - Expense Ratio Comparison

BCSIX has a 1.25% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

BCSIX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Brown Capital Management Small Company Fund (BCSIX) and Vanguard S&P 500 ETF (VOO). 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
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.62, compared to the broader market-2.000.002.004.003.62
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.77, compared to the broader market0.005.0010.004.77
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.68, compared to the broader market1.002.003.004.001.68
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.14, compared to the broader market0.005.0010.0015.0020.004.14
Martin ratio
The chart of Martin ratio for VOO, currently valued at 23.93, compared to the broader market0.0020.0040.0060.0080.00100.0023.93

BCSIX vs. VOO - Sharpe Ratio Comparison

The current BCSIX Sharpe Ratio is 0.86, which is lower than the VOO Sharpe Ratio of 3.62. The chart below compares the historical Sharpe Ratios of BCSIX and VOO, 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 Ratio0.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
0.86
3.62
BCSIX
VOO

Dividends

BCSIX vs. VOO - Dividend Comparison

BCSIX's dividend yield for the trailing twelve months is around 9.11%, more than VOO's 1.27% 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%
VOO
Vanguard S&P 500 ETF
1.27%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

BCSIX vs. VOO - Drawdown Comparison

The maximum BCSIX drawdown since its inception was -53.85%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for BCSIX and VOO. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%MayJuneJulyAugustSeptemberOctober
-34.27%
-0.48%
BCSIX
VOO

Volatility

BCSIX vs. VOO - Volatility Comparison

Brown Capital Management Small Company Fund (BCSIX) has a higher volatility of 4.36% compared to Vanguard S&P 500 ETF (VOO) at 2.68%. This indicates that BCSIX's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
4.36%
2.68%
BCSIX
VOO