BRFI.L vs. SPY
Compare and contrast key facts about BlackRock Frontiers Investment Trust plc (BRFI.L) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BRFI.L or SPY.
Key characteristics
| BRFI.L | SPY | |
|---|---|---|
| YTD Return | 10.90% | 26.49% |
| 1Y Return | 16.19% | 38.06% |
| 3Y Return (Ann) | 9.69% | 9.93% |
| 5Y Return (Ann) | 8.41% | 15.84% |
| 10Y Return (Ann) | 6.65% | 13.32% |
| Sharpe Ratio | 0.88 | 3.11 |
| Sortino Ratio | 1.32 | 4.14 |
| Omega Ratio | 1.16 | 1.58 |
| Calmar Ratio | 1.86 | 4.54 |
| Martin Ratio | 4.38 | 20.57 |
| Ulcer Index | 3.70% | 1.86% |
| Daily Std Dev | 18.40% | 12.29% |
| Max Drawdown | -47.69% | -55.19% |
| Current Drawdown | -1.82% | 0.00% |
Correlation
The correlation between BRFI.L and SPY is 0.24, 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
BRFI.L vs. SPY - Performance Comparison
In the year-to-date period, BRFI.L achieves a 10.90% return, which is significantly lower than SPY's 26.49% return. Over the past 10 years, BRFI.L has underperformed SPY with an annualized return of 6.65%, while SPY has yielded a comparatively higher 13.32% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
BRFI.L vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for BlackRock Frontiers Investment Trust plc (BRFI.L) 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.
Dividends
BRFI.L vs. SPY - Dividend Comparison
BRFI.L's dividend yield for the trailing twelve months is around 5.62%, more than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BRFI.L BlackRock Frontiers Investment Trust plc | 5.62% | 5.14% | 5.43% | 2.09% | 9.92% | 6.22% | 5.27% | 4.15% | 0.04% | 0.04% | 0.01% | 3.33% |
SPY SPDR S&P 500 ETF | 1.18% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
BRFI.L vs. SPY - Drawdown Comparison
The maximum BRFI.L drawdown since its inception was -47.69%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BRFI.L and SPY. For additional features, visit the drawdowns tool.
Volatility
BRFI.L vs. SPY - Volatility Comparison
BlackRock Frontiers Investment Trust plc (BRFI.L) has a higher volatility of 4.15% compared to SPDR S&P 500 ETF (SPY) at 3.95%. This indicates that BRFI.L'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.