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BNY vs. DFIC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BNYDFIC
YTD Return5.46%4.89%
1Y Return16.41%12.63%
Sharpe Ratio2.271.22
Sortino Ratio3.601.75
Omega Ratio1.431.21
Calmar Ratio0.582.10
Martin Ratio12.906.68
Ulcer Index1.49%2.34%
Daily Std Dev8.49%12.79%
Max Drawdown-49.56%-24.40%
Current Drawdown-22.30%-7.46%

Correlation

-0.50.00.51.00.3

The correlation between BNY and DFIC is 0.30, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

BNY vs. DFIC - Performance Comparison

In the year-to-date period, BNY achieves a 5.46% return, which is significantly higher than DFIC's 4.89% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
1.41%
-2.54%
BNY
DFIC

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Risk-Adjusted Performance

BNY vs. DFIC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock New York Municipal Income Trust (BNY) and DFA Dimensional International Core Equity 2 ETF (DFIC). 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.


BNY
Sharpe ratio
The chart of Sharpe ratio for BNY, currently valued at 2.27, compared to the broader market-4.00-2.000.002.004.002.27
Sortino ratio
The chart of Sortino ratio for BNY, currently valued at 3.60, compared to the broader market-4.00-2.000.002.004.006.003.60
Omega ratio
The chart of Omega ratio for BNY, currently valued at 1.43, compared to the broader market0.501.001.502.001.43
Calmar ratio
The chart of Calmar ratio for BNY, currently valued at 1.20, compared to the broader market0.002.004.006.001.20
Martin ratio
The chart of Martin ratio for BNY, currently valued at 12.90, compared to the broader market0.0010.0020.0030.0012.90
DFIC
Sharpe ratio
The chart of Sharpe ratio for DFIC, currently valued at 1.22, compared to the broader market-4.00-2.000.002.004.001.22
Sortino ratio
The chart of Sortino ratio for DFIC, currently valued at 1.75, compared to the broader market-4.00-2.000.002.004.006.001.75
Omega ratio
The chart of Omega ratio for DFIC, currently valued at 1.21, compared to the broader market0.501.001.502.001.21
Calmar ratio
The chart of Calmar ratio for DFIC, currently valued at 2.10, compared to the broader market0.002.004.006.002.10
Martin ratio
The chart of Martin ratio for DFIC, currently valued at 6.68, compared to the broader market0.0010.0020.0030.006.68

BNY vs. DFIC - Sharpe Ratio Comparison

The current BNY Sharpe Ratio is 2.27, which is higher than the DFIC Sharpe Ratio of 1.22. The chart below compares the historical Sharpe Ratios of BNY and DFIC, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.27
1.22
BNY
DFIC

Dividends

BNY vs. DFIC - Dividend Comparison

BNY's dividend yield for the trailing twelve months is around 4.51%, more than DFIC's 2.63% yield.


TTM20232022202120202019201820172016201520142013
BNY
BlackRock New York Municipal Income Trust
4.51%3.78%5.53%5.06%4.16%3.87%4.71%4.99%5.39%5.31%5.77%6.75%
DFIC
DFA Dimensional International Core Equity 2 ETF
2.63%2.54%1.48%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

BNY vs. DFIC - Drawdown Comparison

The maximum BNY drawdown since its inception was -49.56%, which is greater than DFIC's maximum drawdown of -24.40%. Use the drawdown chart below to compare losses from any high point for BNY and DFIC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.25%
-7.46%
BNY
DFIC

Volatility

BNY vs. DFIC - Volatility Comparison

The current volatility for BlackRock New York Municipal Income Trust (BNY) is 3.45%, while DFA Dimensional International Core Equity 2 ETF (DFIC) has a volatility of 3.75%. This indicates that BNY experiences smaller price fluctuations and is considered to be less risky than DFIC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.45%
3.75%
BNY
DFIC