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BOSOX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between BOSOX and ^GSPC is 0.85, 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

BOSOX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Boston Trust Small Cap Fund (BOSOX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

BOSOX:

0.17

^GSPC:

0.52

Sortino Ratio

BOSOX:

0.28

^GSPC:

0.78

Omega Ratio

BOSOX:

1.03

^GSPC:

1.11

Calmar Ratio

BOSOX:

0.07

^GSPC:

0.48

Martin Ratio

BOSOX:

0.20

^GSPC:

1.81

Ulcer Index

BOSOX:

8.13%

^GSPC:

4.99%

Daily Std Dev

BOSOX:

20.33%

^GSPC:

19.70%

Max Drawdown

BOSOX:

-53.78%

^GSPC:

-56.78%

Current Drawdown

BOSOX:

-14.01%

^GSPC:

-5.56%

Returns By Period

In the year-to-date period, BOSOX achieves a -5.72% return, which is significantly lower than ^GSPC's -1.34% return. Over the past 10 years, BOSOX has underperformed ^GSPC with an annualized return of 9.00%, while ^GSPC has yielded a comparatively higher 10.68% annualized return.


BOSOX

YTD

-5.72%

1M

2.29%

6M

-12.93%

1Y

3.11%

3Y*

6.89%

5Y*

12.57%

10Y*

9.00%

^GSPC

YTD

-1.34%

1M

5.02%

6M

-2.79%

1Y

9.39%

3Y*

13.76%

5Y*

14.45%

10Y*

10.68%

*Annualized

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Boston Trust Small Cap Fund

S&P 500

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

BOSOX vs. ^GSPC — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

BOSOX
The Risk-Adjusted Performance Rank of BOSOX is 2121
Overall Rank
The Sharpe Ratio Rank of BOSOX is 2121
Sharpe Ratio Rank
The Sortino Ratio Rank of BOSOX is 2222
Sortino Ratio Rank
The Omega Ratio Rank of BOSOX is 2020
Omega Ratio Rank
The Calmar Ratio Rank of BOSOX is 2121
Calmar Ratio Rank
The Martin Ratio Rank of BOSOX is 1919
Martin Ratio Rank

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 6161
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 6565
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 5555
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 5858
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 5858
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 6767
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

BOSOX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Boston Trust Small Cap Fund (BOSOX) and S&P 500 (^GSPC). 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.


The current BOSOX Sharpe Ratio is 0.17, which is lower than the ^GSPC Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of BOSOX and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Drawdowns

BOSOX vs. ^GSPC - Drawdown Comparison

The maximum BOSOX drawdown since its inception was -53.78%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for BOSOX and ^GSPC.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

BOSOX vs. ^GSPC - Volatility Comparison

Boston Trust Small Cap Fund (BOSOX) has a higher volatility of 5.15% compared to S&P 500 (^GSPC) at 4.37%. This indicates that BOSOX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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