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BKF vs. SCHE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BKFSCHE
Sharpe Ratio0.701.09
Sortino Ratio1.101.62
Omega Ratio1.141.20
Calmar Ratio0.290.64
Martin Ratio2.454.90
Ulcer Index5.23%3.33%
Daily Std Dev18.37%14.96%
Max Drawdown-70.29%-36.16%
Current Drawdown-32.86%-12.02%

Correlation

The correlation between BKF and SCHE is 0.95, 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.


-0.50.00.51.01.0

Performance

BKF vs. SCHE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI BRIC ETF (BKF) and Schwab Emerging Markets Equity ETF (SCHE). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%80.00%JuneJulyAugustSeptemberOctoberNovember
8.54%
56.47%
BKF
SCHE

Returns By Period

In the year-to-date period, BKF achieves a 10.79% return, which is significantly lower than SCHE's 11.80% return. Over the past 10 years, BKF has underperformed SCHE with an annualized return of 2.23%, while SCHE has yielded a comparatively higher 3.78% annualized return.


BKF

YTD

10.79%

1M

-2.83%

6M

5.42%

1Y

12.20%

5Y (annualized)

-0.54%

10Y (annualized)

2.23%

SCHE

YTD

11.80%

1M

-2.19%

6M

6.35%

1Y

15.50%

5Y (annualized)

4.02%

10Y (annualized)

3.78%

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BKF vs. SCHE - Expense Ratio Comparison

BKF has a 0.69% expense ratio, which is higher than SCHE's 0.11% expense ratio.


BKF
iShares MSCI BRIC ETF
Expense ratio chart for BKF: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
Expense ratio chart for SCHE: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%

Risk-Adjusted Performance

BKF vs. SCHE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI BRIC ETF (BKF) and Schwab Emerging Markets Equity ETF (SCHE). 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 BKF, currently valued at 0.70, compared to the broader market-2.000.002.004.000.701.09
The chart of Sortino ratio for BKF, currently valued at 1.10, compared to the broader market-2.000.002.004.006.008.0010.0012.001.101.62
The chart of Omega ratio for BKF, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.20
The chart of Calmar ratio for BKF, currently valued at 0.29, compared to the broader market0.005.0010.0015.000.290.64
The chart of Martin ratio for BKF, currently valued at 2.44, compared to the broader market0.0020.0040.0060.0080.00100.002.454.90
BKF
SCHE

The current BKF Sharpe Ratio is 0.70, which is lower than the SCHE Sharpe Ratio of 1.09. The chart below compares the historical Sharpe Ratios of BKF and SCHE, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.70
1.09
BKF
SCHE

Dividends

BKF vs. SCHE - Dividend Comparison

BKF's dividend yield for the trailing twelve months is around 1.28%, less than SCHE's 3.09% yield.


TTM20232022202120202019201820172016201520142013
BKF
iShares MSCI BRIC ETF
1.28%1.68%2.04%2.93%1.02%1.66%2.33%1.51%1.81%3.15%3.01%2.40%
SCHE
Schwab Emerging Markets Equity ETF
3.09%3.83%2.87%2.86%2.09%3.27%2.69%2.31%2.26%2.50%2.86%2.56%

Drawdowns

BKF vs. SCHE - Drawdown Comparison

The maximum BKF drawdown since its inception was -70.29%, which is greater than SCHE's maximum drawdown of -36.16%. Use the drawdown chart below to compare losses from any high point for BKF and SCHE. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-32.86%
-12.02%
BKF
SCHE

Volatility

BKF vs. SCHE - Volatility Comparison

iShares MSCI BRIC ETF (BKF) has a higher volatility of 5.78% compared to Schwab Emerging Markets Equity ETF (SCHE) at 4.63%. This indicates that BKF's price experiences larger fluctuations and is considered to be riskier than SCHE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
5.78%
4.63%
BKF
SCHE
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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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