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

Correlation

The correlation between BRGNX and JNJ is 0.47, 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.


-0.50.00.51.00.5

Performance

BRGNX vs. JNJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Russell 1000 Large-Cap Index Fund (BRGNX) and Johnson & Johnson (JNJ). The values are adjusted to include any dividend payments, if applicable.

250.00%300.00%350.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
381.77%
262.43%
BRGNX
JNJ

Key characteristics

Sharpe Ratio

BRGNX:

2.11

JNJ:

-0.18

Sortino Ratio

BRGNX:

2.81

JNJ:

-0.16

Omega Ratio

BRGNX:

1.39

JNJ:

0.98

Calmar Ratio

BRGNX:

3.17

JNJ:

-0.16

Martin Ratio

BRGNX:

13.67

JNJ:

-0.46

Ulcer Index

BRGNX:

1.96%

JNJ:

6.02%

Daily Std Dev

BRGNX:

12.70%

JNJ:

15.08%

Max Drawdown

BRGNX:

-34.59%

JNJ:

-52.60%

Current Drawdown

BRGNX:

-3.41%

JNJ:

-15.81%

Returns By Period

In the year-to-date period, BRGNX achieves a 24.85% return, which is significantly higher than JNJ's -4.91% return. Over the past 10 years, BRGNX has outperformed JNJ with an annualized return of 11.57%, while JNJ has yielded a comparatively lower 6.22% annualized return.


BRGNX

YTD

24.85%

1M

-0.31%

6M

9.36%

1Y

25.47%

5Y*

14.07%

10Y*

11.57%

JNJ

YTD

-4.91%

1M

-4.89%

6M

-1.35%

1Y

-3.74%

5Y*

2.59%

10Y*

6.22%

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

BRGNX vs. JNJ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Russell 1000 Large-Cap Index Fund (BRGNX) and Johnson & Johnson (JNJ). 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 BRGNX, currently valued at 2.11, compared to the broader market-1.000.001.002.003.004.002.11-0.18
The chart of Sortino ratio for BRGNX, currently valued at 2.81, compared to the broader market-2.000.002.004.006.008.0010.002.81-0.16
The chart of Omega ratio for BRGNX, currently valued at 1.39, compared to the broader market0.501.001.502.002.503.003.501.390.98
The chart of Calmar ratio for BRGNX, currently valued at 3.17, compared to the broader market0.002.004.006.008.0010.0012.0014.003.17-0.16
The chart of Martin ratio for BRGNX, currently valued at 13.67, compared to the broader market0.0020.0040.0060.0013.67-0.46
BRGNX
JNJ

The current BRGNX Sharpe Ratio is 2.11, which is higher than the JNJ Sharpe Ratio of -0.18. The chart below compares the historical Sharpe Ratios of BRGNX and JNJ, 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 Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
2.11
-0.18
BRGNX
JNJ

Dividends

BRGNX vs. JNJ - Dividend Comparison

BRGNX's dividend yield for the trailing twelve months is around 0.82%, less than JNJ's 3.40% yield.


TTM20232022202120202019201820172016201520142013
BRGNX
iShares Russell 1000 Large-Cap Index Fund
0.82%1.43%1.45%1.19%1.35%1.84%2.01%1.95%2.16%2.05%1.71%1.68%
JNJ
Johnson & Johnson
3.40%3.00%2.52%2.45%2.53%2.57%2.74%2.38%2.73%2.87%2.64%2.83%

Drawdowns

BRGNX vs. JNJ - Drawdown Comparison

The maximum BRGNX drawdown since its inception was -34.59%, smaller than the maximum JNJ drawdown of -52.60%. Use the drawdown chart below to compare losses from any high point for BRGNX and JNJ. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.41%
-15.81%
BRGNX
JNJ

Volatility

BRGNX vs. JNJ - Volatility Comparison

The current volatility for iShares Russell 1000 Large-Cap Index Fund (BRGNX) is 4.09%, while Johnson & Johnson (JNJ) has a volatility of 4.43%. This indicates that BRGNX experiences smaller price fluctuations and is considered to be less risky than JNJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
4.09%
4.43%
BRGNX
JNJ
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