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

Performance

BK vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in The Bank of New York Mellon Corporation (BK) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
35.34%
12.98%
BK
SPY

Returns By Period

In the year-to-date period, BK achieves a 53.96% return, which is significantly higher than SPY's 25.41% return. Over the past 10 years, BK has underperformed SPY with an annualized return of 9.60%, while SPY has yielded a comparatively higher 13.07% annualized return.


BK

YTD

53.96%

1M

2.62%

6M

33.87%

1Y

70.75%

5Y (annualized)

13.29%

10Y (annualized)

9.60%

SPY

YTD

25.41%

1M

1.18%

6M

12.15%

1Y

32.04%

5Y (annualized)

15.51%

10Y (annualized)

13.07%

Key characteristics


BKSPY
Sharpe Ratio4.022.62
Sortino Ratio5.233.50
Omega Ratio1.701.49
Calmar Ratio3.243.78
Martin Ratio40.7317.00
Ulcer Index1.72%1.87%
Daily Std Dev17.43%12.14%
Max Drawdown-72.42%-55.19%
Current Drawdown-1.03%-1.38%

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Correlation

-0.50.00.51.00.6

The correlation between BK and SPY is 0.64, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

BK vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Bank of New York Mellon Corporation (BK) 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.


Sharpe ratio
The chart of Sharpe ratio for BK, currently valued at 4.02, compared to the broader market-4.00-2.000.002.004.004.022.62
The chart of Sortino ratio for BK, currently valued at 5.23, compared to the broader market-4.00-2.000.002.004.005.233.50
The chart of Omega ratio for BK, currently valued at 1.70, compared to the broader market0.501.001.502.001.701.49
The chart of Calmar ratio for BK, currently valued at 3.24, compared to the broader market0.002.004.006.003.243.78
The chart of Martin ratio for BK, currently valued at 40.73, compared to the broader market-10.000.0010.0020.0030.0040.7317.00
BK
SPY

The current BK Sharpe Ratio is 4.02, which is higher than the SPY Sharpe Ratio of 2.62. The chart below compares the historical Sharpe Ratios of BK 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
4.02
2.62
BK
SPY

Dividends

BK vs. SPY - Dividend Comparison

BK's dividend yield for the trailing twelve months is around 2.29%, more than SPY's 1.19% yield.


TTM20232022202120202019201820172016201520142013
BK
The Bank of New York Mellon Corporation
2.29%3.04%3.12%2.24%2.92%2.34%2.21%1.60%1.52%1.65%1.63%1.66%
SPY
SPDR S&P 500 ETF
1.19%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

BK vs. SPY - Drawdown Comparison

The maximum BK drawdown since its inception was -72.42%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BK and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.03%
-1.38%
BK
SPY

Volatility

BK vs. SPY - Volatility Comparison

The Bank of New York Mellon Corporation (BK) has a higher volatility of 5.30% compared to SPDR S&P 500 ETF (SPY) at 4.09%. This indicates that BK'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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.30%
4.09%
BK
SPY