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BRGNX vs. VTMNX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

BRGNX vs. VTMNX - Performance Comparison

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

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.66%
-2.06%
BRGNX
VTMNX

Returns By Period

In the year-to-date period, BRGNX achieves a 24.62% return, which is significantly higher than VTMNX's 4.77% return. Over the past 10 years, BRGNX has outperformed VTMNX with an annualized return of 11.66%, while VTMNX has yielded a comparatively lower 5.29% annualized return.


BRGNX

YTD

24.62%

1M

0.93%

6M

11.89%

1Y

32.62%

5Y (annualized)

14.74%

10Y (annualized)

11.66%

VTMNX

YTD

4.77%

1M

-4.74%

6M

-2.35%

1Y

11.93%

5Y (annualized)

5.92%

10Y (annualized)

5.29%

Key characteristics


BRGNXVTMNX
Sharpe Ratio2.661.05
Sortino Ratio3.561.50
Omega Ratio1.491.18
Calmar Ratio3.881.51
Martin Ratio17.285.07
Ulcer Index1.90%2.63%
Daily Std Dev12.38%12.66%
Max Drawdown-34.59%-60.58%
Current Drawdown-1.84%-7.51%

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BRGNX vs. VTMNX - Expense Ratio Comparison

BRGNX has a 0.12% expense ratio, which is higher than VTMNX's 0.05% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


BRGNX
iShares Russell 1000 Large-Cap Index Fund
Expense ratio chart for BRGNX: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VTMNX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Correlation

-0.50.00.51.00.8

The correlation between BRGNX and VTMNX is 0.81, 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.

Risk-Adjusted Performance

BRGNX vs. VTMNX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Russell 1000 Large-Cap Index Fund (BRGNX) and Vanguard Developed Markets Index Fund Institutional Shares (VTMNX). 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 2.66, compared to the broader market0.002.004.002.661.05
The chart of Sortino ratio for BRGNX, currently valued at 3.56, compared to the broader market0.005.0010.003.561.50
The chart of Omega ratio for BRGNX, currently valued at 1.49, compared to the broader market1.002.003.004.001.491.18
The chart of Calmar ratio for BRGNX, currently valued at 3.88, compared to the broader market0.005.0010.0015.0020.0025.003.881.51
The chart of Martin ratio for BRGNX, currently valued at 17.28, compared to the broader market0.0020.0040.0060.0080.00100.0017.285.07
BRGNX
VTMNX

The current BRGNX Sharpe Ratio is 2.66, which is higher than the VTMNX Sharpe Ratio of 1.05. The chart below compares the historical Sharpe Ratios of BRGNX and VTMNX, 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
2.66
1.05
BRGNX
VTMNX

Dividends

BRGNX vs. VTMNX - Dividend Comparison

BRGNX's dividend yield for the trailing twelve months is around 1.12%, less than VTMNX's 3.04% yield.


TTM20232022202120202019201820172016201520142013
BRGNX
iShares Russell 1000 Large-Cap Index Fund
1.12%1.43%1.45%1.19%1.35%1.84%2.01%1.95%2.16%2.05%1.71%1.68%
VTMNX
Vanguard Developed Markets Index Fund Institutional Shares
3.04%3.15%2.91%3.15%2.04%3.05%3.34%2.77%3.06%2.92%3.71%2.62%

Drawdowns

BRGNX vs. VTMNX - Drawdown Comparison

The maximum BRGNX drawdown since its inception was -34.59%, smaller than the maximum VTMNX drawdown of -60.58%. Use the drawdown chart below to compare losses from any high point for BRGNX and VTMNX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.84%
-7.51%
BRGNX
VTMNX

Volatility

BRGNX vs. VTMNX - Volatility Comparison

iShares Russell 1000 Large-Cap Index Fund (BRGNX) has a higher volatility of 4.14% compared to Vanguard Developed Markets Index Fund Institutional Shares (VTMNX) at 3.70%. This indicates that BRGNX's price experiences larger fluctuations and is considered to be riskier than VTMNX 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%JuneJulyAugustSeptemberOctoberNovember
4.14%
3.70%
BRGNX
VTMNX