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

Correlation

The correlation between BK and VTSAX is 0.67, 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.


-0.50.00.51.00.7

Performance

BK vs. VTSAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in The Bank of New York Mellon Corporation (BK) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
31.70%
8.75%
BK
VTSAX

Key characteristics

Sharpe Ratio

BK:

2.95

VTSAX:

1.82

Sortino Ratio

BK:

3.94

VTSAX:

2.45

Omega Ratio

BK:

1.52

VTSAX:

1.34

Calmar Ratio

BK:

3.47

VTSAX:

2.75

Martin Ratio

BK:

27.45

VTSAX:

11.75

Ulcer Index

BK:

1.90%

VTSAX:

2.00%

Daily Std Dev

BK:

17.68%

VTSAX:

12.91%

Max Drawdown

BK:

-72.42%

VTSAX:

-55.34%

Current Drawdown

BK:

-6.67%

VTSAX:

-4.17%

Returns By Period

In the year-to-date period, BK achieves a 51.07% return, which is significantly higher than VTSAX's 23.43% return. Over the past 10 years, BK has underperformed VTSAX with an annualized return of 9.16%, while VTSAX has yielded a comparatively higher 12.40% annualized return.


BK

YTD

51.07%

1M

-1.55%

6M

31.65%

1Y

54.48%

5Y*

12.02%

10Y*

9.16%

VTSAX

YTD

23.43%

1M

-1.00%

6M

8.64%

1Y

25.44%

5Y*

13.84%

10Y*

12.40%

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Risk-Adjusted Performance

BK vs. VTSAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Bank of New York Mellon Corporation (BK) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). 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 2.95, compared to the broader market-4.00-2.000.002.002.951.82
The chart of Sortino ratio for BK, currently valued at 3.94, compared to the broader market-4.00-2.000.002.004.003.942.45
The chart of Omega ratio for BK, currently valued at 1.52, compared to the broader market0.501.001.502.001.521.34
The chart of Calmar ratio for BK, currently valued at 3.47, compared to the broader market0.002.004.006.003.472.75
The chart of Martin ratio for BK, currently valued at 27.45, compared to the broader market0.0010.0020.0027.4511.75
BK
VTSAX

The current BK Sharpe Ratio is 2.95, which is higher than the VTSAX Sharpe Ratio of 1.82. The chart below compares the historical Sharpe Ratios of BK and VTSAX, 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 Ratio1.002.003.004.005.00JulyAugustSeptemberOctoberNovemberDecember
2.95
1.82
BK
VTSAX

Dividends

BK vs. VTSAX - Dividend Comparison

BK's dividend yield for the trailing twelve months is around 2.33%, more than VTSAX's 0.94% yield.


TTM20232022202120202019201820172016201520142013
BK
The Bank of New York Mellon Corporation
2.33%3.04%3.12%2.24%2.92%2.34%2.21%1.60%1.52%1.65%1.63%1.66%
VTSAX
Vanguard Total Stock Market Index Fund Admiral Shares
0.94%1.43%1.65%1.20%1.41%1.77%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

BK vs. VTSAX - Drawdown Comparison

The maximum BK drawdown since its inception was -72.42%, which is greater than VTSAX's maximum drawdown of -55.34%. Use the drawdown chart below to compare losses from any high point for BK and VTSAX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.67%
-4.17%
BK
VTSAX

Volatility

BK vs. VTSAX - Volatility Comparison

The Bank of New York Mellon Corporation (BK) has a higher volatility of 5.35% compared to Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) at 3.89%. This indicates that BK's price experiences larger fluctuations and is considered to be riskier than VTSAX 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%JulyAugustSeptemberOctoberNovemberDecember
5.35%
3.89%
BK
VTSAX
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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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