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

Correlation

The correlation between BDN and SPY is 0.40, 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.


-0.50.00.51.00.4

Performance

BDN vs. SPY - Performance Comparison

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

2,000.00%2,500.00%3,000.00%JulyAugustSeptemberOctoberNovemberDecember
2,744.33%
2,301.81%
BDN
SPY

Key characteristics

Sharpe Ratio

BDN:

0.45

SPY:

2.21

Sortino Ratio

BDN:

0.83

SPY:

2.93

Omega Ratio

BDN:

1.11

SPY:

1.41

Calmar Ratio

BDN:

0.25

SPY:

3.26

Martin Ratio

BDN:

1.17

SPY:

14.43

Ulcer Index

BDN:

14.53%

SPY:

1.90%

Daily Std Dev

BDN:

37.71%

SPY:

12.41%

Max Drawdown

BDN:

-97.00%

SPY:

-55.19%

Current Drawdown

BDN:

-51.12%

SPY:

-2.74%

Returns By Period

In the year-to-date period, BDN achieves a 12.74% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, BDN has underperformed SPY with an annualized return of -3.93%, while SPY has yielded a comparatively higher 12.97% annualized return.


BDN

YTD

12.74%

1M

0.00%

6M

26.16%

1Y

15.08%

5Y*

-11.28%

10Y*

-3.93%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

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Risk-Adjusted Performance

BDN vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Brandywine Realty Trust (BDN) 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 BDN, currently valued at 0.45, compared to the broader market-4.00-2.000.002.000.452.21
The chart of Sortino ratio for BDN, currently valued at 0.83, compared to the broader market-4.00-2.000.002.004.000.832.93
The chart of Omega ratio for BDN, currently valued at 1.11, compared to the broader market0.501.001.502.001.111.41
The chart of Calmar ratio for BDN, currently valued at 0.25, compared to the broader market0.002.004.006.000.253.26
The chart of Martin ratio for BDN, currently valued at 1.17, compared to the broader market-5.000.005.0010.0015.0020.0025.001.1714.43
BDN
SPY

The current BDN Sharpe Ratio is 0.45, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of BDN 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
0.45
2.21
BDN
SPY

Dividends

BDN vs. SPY - Dividend Comparison

BDN's dividend yield for the trailing twelve months is around 11.13%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
BDN
Brandywine Realty Trust
11.13%13.33%12.36%5.66%6.38%4.83%5.59%3.52%3.76%4.39%3.75%4.26%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

BDN vs. SPY - Drawdown Comparison

The maximum BDN drawdown since its inception was -97.00%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BDN and SPY. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-51.12%
-2.74%
BDN
SPY

Volatility

BDN vs. SPY - Volatility Comparison

Brandywine Realty Trust (BDN) has a higher volatility of 11.28% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that BDN'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.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
11.28%
3.72%
BDN
SPY
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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.

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