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

Correlation

The correlation between BKF and SPY is 0.69, 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

BKF vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI BRIC ETF (BKF) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
10.03%
13.60%
BKF
SPY

Key characteristics

Sharpe Ratio

BKF:

1.05

SPY:

2.78

Sortino Ratio

BKF:

1.58

SPY:

3.69

Omega Ratio

BKF:

1.20

SPY:

1.52

Calmar Ratio

BKF:

0.45

SPY:

4.01

Martin Ratio

BKF:

3.53

SPY:

18.07

Ulcer Index

BKF:

5.56%

SPY:

1.87%

Daily Std Dev

BKF:

18.78%

SPY:

12.15%

Max Drawdown

BKF:

-70.29%

SPY:

-55.19%

Current Drawdown

BKF:

-29.35%

SPY:

-0.51%

Returns By Period

In the year-to-date period, BKF achieves a 16.57% return, which is significantly lower than SPY's 28.42% return. Over the past 10 years, BKF has underperformed SPY with an annualized return of 3.44%, while SPY has yielded a comparatively higher 13.68% annualized return.


BKF

YTD

16.57%

1M

2.35%

6M

10.02%

1Y

20.54%

5Y (annualized)

-0.07%

10Y (annualized)

3.44%

SPY

YTD

28.42%

1M

1.08%

6M

13.60%

1Y

33.17%

5Y (annualized)

15.80%

10Y (annualized)

13.68%

Compare stocks, funds, or ETFs

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


BKF vs. SPY - Expense Ratio Comparison

BKF has a 0.69% expense ratio, which is higher than SPY's 0.09% 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

BKF vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI BRIC ETF (BKF) 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 BKF, currently valued at 1.05, compared to the broader market0.002.004.001.052.78
The chart of Sortino ratio for BKF, currently valued at 1.58, compared to the broader market-2.000.002.004.006.008.0010.0012.001.583.69
The chart of Omega ratio for BKF, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.52
The chart of Calmar ratio for BKF, currently valued at 0.45, compared to the broader market0.005.0010.0015.000.454.01
The chart of Martin ratio for BKF, currently valued at 3.53, compared to the broader market0.0020.0040.0060.0080.00100.003.5318.07
BKF
SPY

The current BKF Sharpe Ratio is 1.05, which is lower than the SPY Sharpe Ratio of 2.78. The chart below compares the historical Sharpe Ratios of BKF 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.05
2.78
BKF
SPY

Dividends

BKF vs. SPY - Dividend Comparison

BKF's dividend yield for the trailing twelve months is around 1.22%, more than SPY's 1.16% yield.


TTM20232022202120202019201820172016201520142013
BKF
iShares MSCI BRIC ETF
1.22%1.68%2.04%2.93%1.02%1.66%2.33%1.51%1.81%3.15%3.01%2.40%
SPY
SPDR S&P 500 ETF
1.16%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

BKF vs. SPY - Drawdown Comparison

The maximum BKF drawdown since its inception was -70.29%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BKF and SPY. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-29.35%
-0.51%
BKF
SPY

Volatility

BKF vs. SPY - Volatility Comparison

iShares MSCI BRIC ETF (BKF) has a higher volatility of 6.39% compared to SPDR S&P 500 ETF (SPY) at 2.19%. This indicates that BKF'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%4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
6.39%
2.19%
BKF
SPY
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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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