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BEMB vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between BEMB and ^GSPC is 0.39, 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

BEMB vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Ishares J.P. Morgan Broad USD Emerging Markets Bond ETF (BEMB) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
15.37%
49.39%
BEMB
^GSPC

Key characteristics

Sharpe Ratio

BEMB:

1.11

^GSPC:

2.10

Sortino Ratio

BEMB:

1.58

^GSPC:

2.80

Omega Ratio

BEMB:

1.19

^GSPC:

1.39

Calmar Ratio

BEMB:

2.10

^GSPC:

3.09

Martin Ratio

BEMB:

5.41

^GSPC:

13.49

Ulcer Index

BEMB:

1.15%

^GSPC:

1.94%

Daily Std Dev

BEMB:

5.62%

^GSPC:

12.52%

Max Drawdown

BEMB:

-6.17%

^GSPC:

-56.78%

Current Drawdown

BEMB:

-2.42%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, BEMB achieves a 5.97% return, which is significantly lower than ^GSPC's 24.34% return.


BEMB

YTD

5.97%

1M

-0.44%

6M

3.19%

1Y

6.03%

5Y*

N/A

10Y*

N/A

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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Risk-Adjusted Performance

BEMB vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Ishares J.P. Morgan Broad USD Emerging Markets Bond ETF (BEMB) and S&P 500 (^GSPC). 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 BEMB, currently valued at 1.11, compared to the broader market0.002.004.001.112.10
The chart of Sortino ratio for BEMB, currently valued at 1.57, compared to the broader market-2.000.002.004.006.008.0010.001.582.80
The chart of Omega ratio for BEMB, currently valued at 1.19, compared to the broader market0.501.001.502.002.503.001.191.39
The chart of Calmar ratio for BEMB, currently valued at 2.10, compared to the broader market0.005.0010.0015.002.103.09
The chart of Martin ratio for BEMB, currently valued at 5.41, compared to the broader market0.0020.0040.0060.0080.00100.005.4113.49
BEMB
^GSPC

The current BEMB Sharpe Ratio is 1.11, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of BEMB and ^GSPC, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.11
2.10
BEMB
^GSPC

Drawdowns

BEMB vs. ^GSPC - Drawdown Comparison

The maximum BEMB drawdown since its inception was -6.17%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for BEMB and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.42%
-2.62%
BEMB
^GSPC

Volatility

BEMB vs. ^GSPC - Volatility Comparison

The current volatility for Ishares J.P. Morgan Broad USD Emerging Markets Bond ETF (BEMB) is 1.78%, while S&P 500 (^GSPC) has a volatility of 3.79%. This indicates that BEMB experiences smaller price fluctuations and is considered to be less risky than ^GSPC 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%6.00%JulyAugustSeptemberOctoberNovemberDecember
1.78%
3.79%
BEMB
^GSPC
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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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