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

Correlation

The correlation between BIGPX and ^GSPC is 0.90, 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.


-0.50.00.51.00.9

Performance

BIGPX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in BlackRock 60/40 Target Allocation Fund Class I (BIGPX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
2.96%
9.23%
BIGPX
^GSPC

Key characteristics

Sharpe Ratio

BIGPX:

1.22

^GSPC:

2.07

Sortino Ratio

BIGPX:

1.75

^GSPC:

2.76

Omega Ratio

BIGPX:

1.24

^GSPC:

1.39

Calmar Ratio

BIGPX:

1.11

^GSPC:

3.05

Martin Ratio

BIGPX:

6.83

^GSPC:

13.27

Ulcer Index

BIGPX:

1.67%

^GSPC:

1.95%

Daily Std Dev

BIGPX:

9.08%

^GSPC:

12.52%

Max Drawdown

BIGPX:

-49.06%

^GSPC:

-56.78%

Current Drawdown

BIGPX:

-3.14%

^GSPC:

-1.91%

Returns By Period

In the year-to-date period, BIGPX achieves a 11.60% return, which is significantly lower than ^GSPC's 25.25% return. Over the past 10 years, BIGPX has underperformed ^GSPC with an annualized return of 3.63%, while ^GSPC has yielded a comparatively higher 11.11% annualized return.


BIGPX

YTD

11.60%

1M

-0.91%

6M

3.35%

1Y

8.85%

5Y*

5.29%

10Y*

3.63%

^GSPC

YTD

25.25%

1M

0.08%

6M

9.66%

1Y

25.65%

5Y*

13.17%

10Y*

11.11%

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Risk-Adjusted Performance

BIGPX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock 60/40 Target Allocation Fund Class I (BIGPX) 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 BIGPX, currently valued at 1.22, compared to the broader market-1.000.001.002.003.004.001.222.07
The chart of Sortino ratio for BIGPX, currently valued at 1.75, compared to the broader market-2.000.002.004.006.008.0010.001.752.76
The chart of Omega ratio for BIGPX, currently valued at 1.24, compared to the broader market0.501.001.502.002.503.003.501.241.39
The chart of Calmar ratio for BIGPX, currently valued at 1.11, compared to the broader market0.002.004.006.008.0010.0012.0014.001.113.05
The chart of Martin ratio for BIGPX, currently valued at 6.83, compared to the broader market0.0020.0040.0060.006.8313.27
BIGPX
^GSPC

The current BIGPX Sharpe Ratio is 1.22, which is lower than the ^GSPC Sharpe Ratio of 2.07. The chart below compares the historical Sharpe Ratios of BIGPX 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
1.22
2.07
BIGPX
^GSPC

Drawdowns

BIGPX vs. ^GSPC - Drawdown Comparison

The maximum BIGPX drawdown since its inception was -49.06%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for BIGPX and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.14%
-1.91%
BIGPX
^GSPC

Volatility

BIGPX vs. ^GSPC - Volatility Comparison

The current volatility for BlackRock 60/40 Target Allocation Fund Class I (BIGPX) is 2.63%, while S&P 500 (^GSPC) has a volatility of 3.82%. This indicates that BIGPX 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.63%
3.82%
BIGPX
^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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