BIVRX vs. SPY
Compare and contrast key facts about Invenomic Fund (BIVRX) and SPDR S&P 500 ETF (SPY).
BIVRX is managed by Invenomic. It was launched on Jun 18, 2017. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BIVRX or SPY.
Performance
BIVRX vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, BIVRX achieves a -12.63% return, which is significantly lower than SPY's 26.08% return.
BIVRX
-12.63%
0.60%
-4.09%
-24.68%
8.50%
N/A
SPY
26.08%
1.77%
13.59%
32.24%
15.62%
13.10%
Key characteristics
| BIVRX | SPY | |
|---|---|---|
| Sharpe Ratio | -1.32 | 2.70 |
| Sortino Ratio | -1.58 | 3.60 |
| Omega Ratio | 0.72 | 1.50 |
| Calmar Ratio | -0.71 | 3.90 |
| Martin Ratio | -1.11 | 17.52 |
| Ulcer Index | 22.00% | 1.87% |
| Daily Std Dev | 18.53% | 12.14% |
| Max Drawdown | -34.31% | -55.19% |
| Current Drawdown | -32.96% | -0.85% |
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BIVRX vs. SPY - Expense Ratio Comparison
BIVRX has a 2.48% expense ratio, which is higher than SPY's 0.09% expense ratio.
Correlation
The correlation between BIVRX and SPY is 0.07, 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.
Risk-Adjusted Performance
BIVRX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Invenomic Fund (BIVRX) 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.
Dividends
BIVRX vs. SPY - Dividend Comparison
BIVRX's dividend yield for the trailing twelve months is around 3.00%, more than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BIVRX Invenomic Fund | 3.00% | 2.62% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.18% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
BIVRX vs. SPY - Drawdown Comparison
The maximum BIVRX drawdown since its inception was -34.31%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BIVRX and SPY. For additional features, visit the drawdowns tool.
Volatility
BIVRX vs. SPY - Volatility Comparison
The current volatility for Invenomic Fund (BIVRX) is 2.98%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.98%. This indicates that BIVRX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.