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

Correlation

The correlation between BCSVX and SPY is 0.51, 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.


-0.50.00.51.00.5

Performance

BCSVX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Brown Capital Management International Small Company Fund (BCSVX) 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
7.33%
7.86%
BCSVX
SPY

Key characteristics

Sharpe Ratio

BCSVX:

0.60

SPY:

2.03

Sortino Ratio

BCSVX:

0.95

SPY:

2.71

Omega Ratio

BCSVX:

1.12

SPY:

1.38

Calmar Ratio

BCSVX:

0.32

SPY:

3.02

Martin Ratio

BCSVX:

2.83

SPY:

13.49

Ulcer Index

BCSVX:

3.30%

SPY:

1.88%

Daily Std Dev

BCSVX:

15.63%

SPY:

12.48%

Max Drawdown

BCSVX:

-46.71%

SPY:

-55.19%

Current Drawdown

BCSVX:

-20.09%

SPY:

-3.54%

Returns By Period

In the year-to-date period, BCSVX achieves a 6.66% return, which is significantly lower than SPY's 24.51% return.


BCSVX

YTD

6.66%

1M

-0.58%

6M

7.33%

1Y

9.58%

5Y*

6.20%

10Y*

N/A

SPY

YTD

24.51%

1M

-0.32%

6M

7.56%

1Y

24.63%

5Y*

14.51%

10Y*

12.94%

Compare stocks, funds, or ETFs

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


BCSVX vs. SPY - Expense Ratio Comparison

BCSVX has a 1.31% expense ratio, which is higher than SPY's 0.09% expense ratio.


BCSVX
Brown Capital Management International Small Company Fund
Expense ratio chart for BCSVX: current value at 1.31% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.31%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

BCSVX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Brown Capital Management International Small Company Fund (BCSVX) 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.


Sharpe ratio
The chart of Sharpe ratio for BCSVX, currently valued at 0.60, compared to the broader market-1.000.001.002.003.004.000.601.97
The chart of Sortino ratio for BCSVX, currently valued at 0.95, compared to the broader market-2.000.002.004.006.008.0010.000.952.64
The chart of Omega ratio for BCSVX, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.003.501.121.37
The chart of Calmar ratio for BCSVX, currently valued at 0.32, compared to the broader market0.005.0010.000.322.93
The chart of Martin ratio for BCSVX, currently valued at 2.83, compared to the broader market0.0020.0040.0060.002.8313.01
BCSVX
SPY

The current BCSVX Sharpe Ratio is 0.60, which is lower than the SPY Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of BCSVX 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.60
1.97
BCSVX
SPY

Dividends

BCSVX vs. SPY - Dividend Comparison

BCSVX has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 0.87%.


TTM20232022202120202019201820172016201520142013
BCSVX
Brown Capital Management International Small Company Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.87%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

BCSVX vs. SPY - Drawdown Comparison

The maximum BCSVX drawdown since its inception was -46.71%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BCSVX and SPY. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-20.09%
-3.54%
BCSVX
SPY

Volatility

BCSVX vs. SPY - Volatility Comparison

Brown Capital Management International Small Company Fund (BCSVX) and SPDR S&P 500 ETF (SPY) have volatilities of 3.77% and 3.61%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.77%
3.61%
BCSVX
SPY
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