PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BRK-A vs. ^AW01
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between BRK-A and ^AW01 is 0.45, 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

BRK-A vs. ^AW01 - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Berkshire Hathaway Inc (BRK-A) and FTSE All World (^AW01). The values are adjusted to include any dividend payments, if applicable.

0.00%1,000.00%2,000.00%3,000.00%4,000.00%JulyAugustSeptemberOctoberNovemberDecember
4,080.70%
492.51%
BRK-A
^AW01

Key characteristics

Sharpe Ratio

BRK-A:

1.71

^AW01:

1.75

Sortino Ratio

BRK-A:

2.45

^AW01:

2.34

Omega Ratio

BRK-A:

1.31

^AW01:

1.33

Calmar Ratio

BRK-A:

3.34

^AW01:

2.16

Martin Ratio

BRK-A:

8.36

^AW01:

10.02

Ulcer Index

BRK-A:

3.05%

^AW01:

1.77%

Daily Std Dev

BRK-A:

14.92%

^AW01:

10.06%

Max Drawdown

BRK-A:

-51.47%

^AW01:

-59.48%

Current Drawdown

BRK-A:

-5.74%

^AW01:

-3.38%

Returns By Period

In the year-to-date period, BRK-A achieves a 25.78% return, which is significantly higher than ^AW01's 15.76% return. Over the past 10 years, BRK-A has outperformed ^AW01 with an annualized return of 11.63%, while ^AW01 has yielded a comparatively lower 6.96% annualized return.


BRK-A

YTD

25.78%

1M

-2.96%

6M

10.98%

1Y

26.16%

5Y*

14.99%

10Y*

11.63%

^AW01

YTD

15.76%

1M

-0.41%

6M

5.31%

1Y

16.93%

5Y*

8.05%

10Y*

6.96%

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

BRK-A vs. ^AW01 - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Berkshire Hathaway Inc (BRK-A) and FTSE All World (^AW01). 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 BRK-A, currently valued at 1.53, compared to the broader market-4.00-2.000.002.001.541.75
The chart of Sortino ratio for BRK-A, currently valued at 2.22, compared to the broader market-4.00-2.000.002.004.002.222.34
The chart of Omega ratio for BRK-A, currently valued at 1.28, compared to the broader market0.501.001.502.001.281.33
The chart of Calmar ratio for BRK-A, currently valued at 2.98, compared to the broader market0.002.004.006.002.982.16
The chart of Martin ratio for BRK-A, currently valued at 7.40, compared to the broader market-5.000.005.0010.0015.0020.0025.007.4010.02
BRK-A
^AW01

The current BRK-A Sharpe Ratio is 1.71, which is comparable to the ^AW01 Sharpe Ratio of 1.75. The chart below compares the historical Sharpe Ratios of BRK-A and ^AW01, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.54
1.75
BRK-A
^AW01

Drawdowns

BRK-A vs. ^AW01 - Drawdown Comparison

The maximum BRK-A drawdown since its inception was -51.47%, smaller than the maximum ^AW01 drawdown of -59.48%. Use the drawdown chart below to compare losses from any high point for BRK-A and ^AW01. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.74%
-3.38%
BRK-A
^AW01

Volatility

BRK-A vs. ^AW01 - Volatility Comparison

Berkshire Hathaway Inc (BRK-A) has a higher volatility of 3.73% compared to FTSE All World (^AW01) at 2.77%. This indicates that BRK-A's price experiences larger fluctuations and is considered to be riskier than ^AW01 based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.73%
2.77%
BRK-A
^AW01
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