PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BOKF vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between BOKF and SPY is 0.41, 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.


-0.50.00.51.00.4

Performance

BOKF vs. SPY - Performance Comparison

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

-10.00%0.00%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
24.08%
9.85%
BOKF
SPY

Key characteristics

Sharpe Ratio

BOKF:

1.17

SPY:

2.21

Sortino Ratio

BOKF:

1.82

SPY:

2.93

Omega Ratio

BOKF:

1.22

SPY:

1.41

Calmar Ratio

BOKF:

1.15

SPY:

3.26

Martin Ratio

BOKF:

6.93

SPY:

14.40

Ulcer Index

BOKF:

4.63%

SPY:

1.90%

Daily Std Dev

BOKF:

27.47%

SPY:

12.44%

Max Drawdown

BOKF:

-85.43%

SPY:

-55.19%

Current Drawdown

BOKF:

-9.01%

SPY:

-1.83%

Returns By Period

In the year-to-date period, BOKF achieves a 30.10% return, which is significantly higher than SPY's 26.72% return. Over the past 10 years, BOKF has underperformed SPY with an annualized return of 8.69%, while SPY has yielded a comparatively higher 13.04% annualized return.


BOKF

YTD

30.10%

1M

-7.35%

6M

22.23%

1Y

30.31%

5Y*

7.28%

10Y*

8.69%

SPY

YTD

26.72%

1M

0.20%

6M

10.28%

1Y

27.17%

5Y*

14.87%

10Y*

13.04%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

BOKF vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BOK Financial Corporation (BOKF) 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 BOKF, currently valued at 1.17, compared to the broader market-4.00-2.000.002.001.172.21
The chart of Sortino ratio for BOKF, currently valued at 1.82, compared to the broader market-4.00-2.000.002.004.001.822.93
The chart of Omega ratio for BOKF, currently valued at 1.22, compared to the broader market0.501.001.502.001.221.41
The chart of Calmar ratio for BOKF, currently valued at 1.15, compared to the broader market0.002.004.006.001.153.26
The chart of Martin ratio for BOKF, currently valued at 6.93, compared to the broader market-5.000.005.0010.0015.0020.0025.006.9314.40
BOKF
SPY

The current BOKF Sharpe Ratio is 1.17, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of BOKF 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
1.17
2.21
BOKF
SPY

Dividends

BOKF vs. SPY - Dividend Comparison

BOKF's dividend yield for the trailing twelve months is around 2.04%, more than SPY's 1.19% yield.


TTM20232022202120202019201820172016201520142013
BOKF
BOK Financial Corporation
2.04%2.53%2.05%1.98%2.99%2.30%2.59%1.92%2.08%2.83%2.70%2.32%
SPY
SPDR S&P 500 ETF
1.19%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

BOKF vs. SPY - Drawdown Comparison

The maximum BOKF drawdown since its inception was -85.43%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BOKF and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.01%
-1.83%
BOKF
SPY

Volatility

BOKF vs. SPY - Volatility Comparison

BOK Financial Corporation (BOKF) has a higher volatility of 7.04% compared to SPDR S&P 500 ETF (SPY) at 3.83%. This indicates that BOKF'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%14.00%JulyAugustSeptemberOctoberNovemberDecember
7.04%
3.83%
BOKF
SPY
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab