BRNY vs. ^GSPC
Compare and contrast key facts about Burney U.S. Factor Rotation ETF (BRNY) and S&P 500 (^GSPC).
BRNY is an actively managed fund by Alpha Architect. It was launched on Oct 13, 2022.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BRNY or ^GSPC.
Performance
BRNY vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, BRNY achieves a 33.42% return, which is significantly higher than ^GSPC's 25.15% return.
BRNY
33.42%
7.37%
17.20%
43.45%
N/A
N/A
^GSPC
25.15%
2.97%
12.53%
31.00%
13.95%
11.21%
Key characteristics
| BRNY | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 3.06 | 2.53 |
| Sortino Ratio | 3.98 | 3.39 |
| Omega Ratio | 1.54 | 1.47 |
| Calmar Ratio | 4.70 | 3.65 |
| Martin Ratio | 20.86 | 16.21 |
| Ulcer Index | 2.08% | 1.91% |
| Daily Std Dev | 14.19% | 12.23% |
| Max Drawdown | -10.96% | -56.78% |
| Current Drawdown | -0.31% | -0.53% |
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Correlation
The correlation between BRNY and ^GSPC is 0.90, 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
BRNY vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Burney U.S. Factor Rotation ETF (BRNY) 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.
Drawdowns
BRNY vs. ^GSPC - Drawdown Comparison
The maximum BRNY drawdown since its inception was -10.96%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for BRNY and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
BRNY vs. ^GSPC - Volatility Comparison
Burney U.S. Factor Rotation ETF (BRNY) has a higher volatility of 4.90% compared to S&P 500 (^GSPC) at 3.97%. This indicates that BRNY'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.