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

Correlation

The correlation between BRMKX and ^GSPC is 0.91, 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.


-0.50.00.51.00.9

Performance

BRMKX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Russell Mid-Cap Index Fund (BRMKX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

120.00%140.00%160.00%180.00%JulyAugustSeptemberOctoberNovemberDecember
129.85%
179.40%
BRMKX
^GSPC

Key characteristics

Sharpe Ratio

BRMKX:

0.91

^GSPC:

2.10

Sortino Ratio

BRMKX:

1.26

^GSPC:

2.80

Omega Ratio

BRMKX:

1.17

^GSPC:

1.39

Calmar Ratio

BRMKX:

1.08

^GSPC:

3.09

Martin Ratio

BRMKX:

4.63

^GSPC:

13.49

Ulcer Index

BRMKX:

2.82%

^GSPC:

1.94%

Daily Std Dev

BRMKX:

14.35%

^GSPC:

12.52%

Max Drawdown

BRMKX:

-40.20%

^GSPC:

-56.78%

Current Drawdown

BRMKX:

-10.77%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, BRMKX achieves a 10.76% return, which is significantly lower than ^GSPC's 24.34% return.


BRMKX

YTD

10.76%

1M

-7.64%

6M

5.35%

1Y

11.58%

5Y*

9.11%

10Y*

N/A

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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Risk-Adjusted Performance

BRMKX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Russell Mid-Cap Index Fund (BRMKX) 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.


Sharpe ratio
The chart of Sharpe ratio for BRMKX, currently valued at 0.91, compared to the broader market-1.000.001.002.003.004.000.912.10
The chart of Sortino ratio for BRMKX, currently valued at 1.26, compared to the broader market-2.000.002.004.006.008.0010.001.262.80
The chart of Omega ratio for BRMKX, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.003.501.171.39
The chart of Calmar ratio for BRMKX, currently valued at 1.08, compared to the broader market0.002.004.006.008.0010.0012.0014.001.083.09
The chart of Martin ratio for BRMKX, currently valued at 4.63, compared to the broader market0.0020.0040.0060.004.6313.49
BRMKX
^GSPC

The current BRMKX Sharpe Ratio is 0.91, which is lower than the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of BRMKX 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.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.91
2.10
BRMKX
^GSPC

Drawdowns

BRMKX vs. ^GSPC - Drawdown Comparison

The maximum BRMKX drawdown since its inception was -40.20%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for BRMKX and ^GSPC. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.77%
-2.62%
BRMKX
^GSPC

Volatility

BRMKX vs. ^GSPC - Volatility Comparison

iShares Russell Mid-Cap Index Fund (BRMKX) has a higher volatility of 7.08% compared to S&P 500 (^GSPC) at 3.79%. This indicates that BRMKX'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.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
7.08%
3.79%
BRMKX
^GSPC
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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.

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