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

Key characteristics


BESIYSPY
YTD Return-23.11%23.35%
1Y Return13.29%43.34%
3Y Return (Ann)12.07%9.80%
5Y Return (Ann)33.65%15.64%
10Y Return (Ann)49.25%13.17%
Sharpe Ratio0.233.54
Sortino Ratio0.614.68
Omega Ratio1.091.66
Calmar Ratio0.263.66
Martin Ratio0.5023.31
Ulcer Index22.29%1.83%
Daily Std Dev49.51%12.07%
Max Drawdown-64.23%-55.19%
Current Drawdown-40.42%-0.64%

Correlation

-0.50.00.51.00.3

The correlation between BESIY and SPY is 0.29, 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.

Performance

BESIY vs. SPY - Performance Comparison

In the year-to-date period, BESIY achieves a -23.11% return, which is significantly lower than SPY's 23.35% return. Over the past 10 years, BESIY has outperformed SPY with an annualized return of 49.25%, while SPY has yielded a comparatively lower 13.17% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-10.00%0.00%10.00%20.00%30.00%40.00%MayJuneJulyAugustSeptemberOctober
-15.78%
16.44%
BESIY
SPY

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Risk-Adjusted Performance

BESIY vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BE Semiconductor Industries NV ADR (BESIY) 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.


BESIY
Sharpe ratio
The chart of Sharpe ratio for BESIY, currently valued at 0.23, compared to the broader market-4.00-2.000.002.004.000.23
Sortino ratio
The chart of Sortino ratio for BESIY, currently valued at 0.61, compared to the broader market-4.00-2.000.002.004.006.000.61
Omega ratio
The chart of Omega ratio for BESIY, currently valued at 1.09, compared to the broader market0.501.001.502.001.09
Calmar ratio
The chart of Calmar ratio for BESIY, currently valued at 0.26, compared to the broader market0.002.004.006.000.26
Martin ratio
The chart of Martin ratio for BESIY, currently valued at 0.50, compared to the broader market-10.000.0010.0020.0030.000.50
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.60, compared to the broader market-4.00-2.000.002.004.003.60
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.75, compared to the broader market-4.00-2.000.002.004.006.004.75
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.68, compared to the broader market0.501.001.502.001.68
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.08, compared to the broader market0.002.004.006.004.08
Martin ratio
The chart of Martin ratio for SPY, currently valued at 23.66, compared to the broader market-10.000.0010.0020.0030.0023.66

BESIY vs. SPY - Sharpe Ratio Comparison

The current BESIY Sharpe Ratio is 0.23, which is lower than the SPY Sharpe Ratio of 3.54. The chart below compares the historical Sharpe Ratios of BESIY 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 Ratio0.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
0.23
3.60
BESIY
SPY

Dividends

BESIY vs. SPY - Dividend Comparison

BESIY's dividend yield for the trailing twelve months is around 2.01%, more than SPY's 1.21% yield.


TTM20232022202120202019201820172016201520142013
BESIY
BE Semiconductor Industries NV ADR
2.01%2.07%5.81%2.41%1.84%4.83%13.38%2.26%0.69%8.25%2.03%3.39%
SPY
SPDR S&P 500 ETF
1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

BESIY vs. SPY - Drawdown Comparison

The maximum BESIY drawdown since its inception was -64.23%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BESIY and SPY. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%MayJuneJulyAugustSeptemberOctober
-40.42%
-0.64%
BESIY
SPY

Volatility

BESIY vs. SPY - Volatility Comparison

BE Semiconductor Industries NV ADR (BESIY) has a higher volatility of 14.99% compared to SPDR S&P 500 ETF (SPY) at 2.67%. This indicates that BESIY'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%25.00%MayJuneJulyAugustSeptemberOctober
14.99%
2.67%
BESIY
SPY