PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BKF vs. IOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BKFIOO
YTD Return-2.18%8.21%
1Y Return-2.93%23.74%
3Y Return (Ann)-12.51%9.56%
5Y Return (Ann)-3.63%14.24%
10Y Return (Ann)1.08%10.82%
Sharpe Ratio-0.101.98
Daily Std Dev17.39%11.99%
Max Drawdown-70.29%-55.85%
Current Drawdown-40.71%-2.88%

Correlation

-0.50.00.51.00.7

The correlation between BKF and IOO is 0.72, 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

BKF vs. IOO - Performance Comparison

In the year-to-date period, BKF achieves a -2.18% return, which is significantly lower than IOO's 8.21% return. Over the past 10 years, BKF has underperformed IOO with an annualized return of 1.08%, while IOO has yielded a comparatively higher 10.82% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
0.52%
17.12%
BKF
IOO

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


iShares MSCI BRIC ETF

iShares Global 100 ETF

BKF vs. IOO - Expense Ratio Comparison

BKF has a 0.69% expense ratio, which is higher than IOO's 0.40% expense ratio.

BKF
iShares MSCI BRIC ETF
0.50%1.00%1.50%2.00%0.69%
0.50%1.00%1.50%2.00%0.40%

Risk-Adjusted Performance

BKF vs. IOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI BRIC ETF (BKF) and iShares Global 100 ETF (IOO). 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.


BKF
Sharpe ratio
The chart of Sharpe ratio for BKF, currently valued at -0.10, compared to the broader market0.002.004.00-0.10
Sortino ratio
The chart of Sortino ratio for BKF, currently valued at -0.02, compared to the broader market-2.000.002.004.006.008.0010.00-0.02
Omega ratio
The chart of Omega ratio for BKF, currently valued at 1.00, compared to the broader market1.001.502.002.501.00
Calmar ratio
The chart of Calmar ratio for BKF, currently valued at -0.04, compared to the broader market0.002.004.006.008.0010.0012.00-0.04
Martin ratio
The chart of Martin ratio for BKF, currently valued at -0.23, compared to the broader market0.0020.0040.0060.0080.00-0.23
IOO
Sharpe ratio
The chart of Sharpe ratio for IOO, currently valued at 1.98, compared to the broader market0.002.004.001.98
Sortino ratio
The chart of Sortino ratio for IOO, currently valued at 2.90, compared to the broader market-2.000.002.004.006.008.0010.002.90
Omega ratio
The chart of Omega ratio for IOO, currently valued at 1.35, compared to the broader market1.001.502.002.501.35
Calmar ratio
The chart of Calmar ratio for IOO, currently valued at 2.62, compared to the broader market0.002.004.006.008.0010.0012.002.62
Martin ratio
The chart of Martin ratio for IOO, currently valued at 9.20, compared to the broader market0.0020.0040.0060.0080.009.20

BKF vs. IOO - Sharpe Ratio Comparison

The current BKF Sharpe Ratio is -0.10, which is lower than the IOO Sharpe Ratio of 1.98. The chart below compares the 12-month rolling Sharpe Ratio of BKF and IOO.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00NovemberDecember2024FebruaryMarchApril
-0.10
1.98
BKF
IOO

Dividends

BKF vs. IOO - Dividend Comparison

BKF's dividend yield for the trailing twelve months is around 1.72%, more than IOO's 1.38% yield.


TTM20232022202120202019201820172016201520142013
BKF
iShares MSCI BRIC ETF
1.72%1.68%2.03%2.92%1.01%1.65%2.32%1.51%1.81%3.14%3.00%2.39%
IOO
iShares Global 100 ETF
1.38%1.49%2.00%1.53%1.49%2.02%2.54%2.23%2.75%2.89%3.52%2.37%

Drawdowns

BKF vs. IOO - Drawdown Comparison

The maximum BKF drawdown since its inception was -70.29%, which is greater than IOO's maximum drawdown of -55.85%. Use the drawdown chart below to compare losses from any high point for BKF and IOO. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2024FebruaryMarchApril
-40.71%
-2.88%
BKF
IOO

Volatility

BKF vs. IOO - Volatility Comparison

iShares MSCI BRIC ETF (BKF) has a higher volatility of 3.42% compared to iShares Global 100 ETF (IOO) at 3.21%. This indicates that BKF's price experiences larger fluctuations and is considered to be riskier than IOO 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%NovemberDecember2024FebruaryMarchApril
3.42%
3.21%
BKF
IOO