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BGHSX vs. BCAAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BGHSXBCAAX
YTD Return7.85%7.13%
1Y Return16.75%15.20%
3Y Return (Ann)4.41%3.80%
5Y Return (Ann)3.75%3.00%
Sharpe Ratio4.594.76
Sortino Ratio9.319.68
Omega Ratio2.352.45
Calmar Ratio3.143.11
Martin Ratio37.3538.70
Ulcer Index0.45%0.39%
Daily Std Dev3.63%3.20%
Max Drawdown-18.15%-36.67%
Current Drawdown-0.19%-0.19%

Correlation

-0.50.00.51.00.9

The correlation between BGHSX and BCAAX is 0.91, 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

BGHSX vs. BCAAX - Performance Comparison

In the year-to-date period, BGHSX achieves a 7.85% return, which is significantly higher than BCAAX's 7.13% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%2.00%4.00%6.00%MayJuneJulyAugustSeptemberOctober
6.76%
5.99%
BGHSX
BCAAX

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BGHSX vs. BCAAX - Expense Ratio Comparison

BGHSX has a 0.54% expense ratio, which is lower than BCAAX's 0.86% expense ratio.


BCAAX
BrandywineGLOBAL - Corporate Credit Fund
Expense ratio chart for BCAAX: current value at 0.86% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.86%
Expense ratio chart for BGHSX: current value at 0.54% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.54%

Risk-Adjusted Performance

BGHSX vs. BCAAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BrandywineGLOBAL - High Yield Fund (BGHSX) and BrandywineGLOBAL - Corporate Credit Fund (BCAAX). 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.


BGHSX
Sharpe ratio
The chart of Sharpe ratio for BGHSX, currently valued at 4.59, compared to the broader market0.002.004.004.59
Sortino ratio
The chart of Sortino ratio for BGHSX, currently valued at 9.31, compared to the broader market0.005.0010.009.31
Omega ratio
The chart of Omega ratio for BGHSX, currently valued at 2.35, compared to the broader market1.002.003.004.002.35
Calmar ratio
The chart of Calmar ratio for BGHSX, currently valued at 3.14, compared to the broader market0.005.0010.0015.0020.0025.003.14
Martin ratio
The chart of Martin ratio for BGHSX, currently valued at 37.35, compared to the broader market0.0020.0040.0060.0080.00100.0037.35
BCAAX
Sharpe ratio
The chart of Sharpe ratio for BCAAX, currently valued at 4.76, compared to the broader market0.002.004.004.76
Sortino ratio
The chart of Sortino ratio for BCAAX, currently valued at 9.68, compared to the broader market0.005.0010.009.68
Omega ratio
The chart of Omega ratio for BCAAX, currently valued at 2.45, compared to the broader market1.002.003.004.002.45
Calmar ratio
The chart of Calmar ratio for BCAAX, currently valued at 3.21, compared to the broader market0.005.0010.0015.0020.0025.003.21
Martin ratio
The chart of Martin ratio for BCAAX, currently valued at 38.70, compared to the broader market0.0020.0040.0060.0080.00100.0038.70

BGHSX vs. BCAAX - Sharpe Ratio Comparison

The current BGHSX Sharpe Ratio is 4.59, which is comparable to the BCAAX Sharpe Ratio of 4.76. The chart below compares the historical Sharpe Ratios of BGHSX and BCAAX, 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 Ratio3.003.504.004.50MayJuneJulyAugustSeptemberOctober
4.59
4.76
BGHSX
BCAAX

Dividends

BGHSX vs. BCAAX - Dividend Comparison

BGHSX's dividend yield for the trailing twelve months is around 7.23%, more than BCAAX's 6.61% yield.


TTM202320222021
BGHSX
BrandywineGLOBAL - High Yield Fund
7.23%6.97%6.34%5.71%
BCAAX
BrandywineGLOBAL - Corporate Credit Fund
6.61%6.25%5.84%4.68%

Drawdowns

BGHSX vs. BCAAX - Drawdown Comparison

The maximum BGHSX drawdown since its inception was -18.15%, smaller than the maximum BCAAX drawdown of -36.67%. Use the drawdown chart below to compare losses from any high point for BGHSX and BCAAX. For additional features, visit the drawdowns tool.


-1.50%-1.00%-0.50%0.00%MayJuneJulyAugustSeptemberOctober
-0.19%
-0.19%
BGHSX
BCAAX

Volatility

BGHSX vs. BCAAX - Volatility Comparison

BrandywineGLOBAL - High Yield Fund (BGHSX) has a higher volatility of 0.69% compared to BrandywineGLOBAL - Corporate Credit Fund (BCAAX) at 0.54%. This indicates that BGHSX's price experiences larger fluctuations and is considered to be riskier than BCAAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.40%0.60%0.80%1.00%1.20%MayJuneJulyAugustSeptemberOctober
0.69%
0.54%
BGHSX
BCAAX