BSCMX vs. SPY

Last updated Jun 23, 2026

BSCMX (Brandes Small Cap Value Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - BSCMX is a Small Cap Value Equities fund managed by Brandes, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 5 years, BSCMX returned 16.32%/yr vs 13.51%/yr for SPY. A 0.71 correlation means they provide meaningful diversification when combined. BSCMX charges 0.91%/yr vs 0.09%/yr for SPY.

Performance

BSCMX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Brandes Small Cap Value Fund (BSCMX) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, BSCMX achieves a 18.56% return, which is significantly higher than SPY's 9.74% return.

BSCMX

• 1D: 0.51%
• 1M: 4.35%
• YTD: 18.56%
• 6M: 16.61%
• 1Y: 45.07%
• 3Y*: 25.56%
• 5Y*: 16.32%
• 10Y*: —

SPY

• 1D: -0.31%
• 1M: 0.09%
• YTD: 9.74%
• 6M: 9.27%
• 1Y: 26.65%
• 3Y*: 21.27%
• 5Y*: 13.51%
• 10Y*: 15.70%

*Multi-year figures are annualized to reflect compound growth (CAGR)

BSCMX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
BSCMX Brandes Small Cap Value Fund	18.56%	23.51%	24.77%	22.75%	-7.89%	27.61%	20.38%	12.82%	-12.23%
SPY State Street SPDR S&P 500 ETF	9.74%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-6.86%

Correlation

The correlation between BSCMX and SPY is 0.66, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.66
Correlation (3Y) Calculated over the trailing 3-year period	0.67
Correlation (5Y) Calculated over the trailing 5-year period	0.72
Correlation (All Time) Calculated using the full available price history since Jan 8, 2018	0.71

The correlation between BSCMX and SPY has been stable across timeframes, ranging from 0.66 to 0.72 - a consistent structural relationship.

Return for Risk

BSCMX vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

BSCMX

BSCMX Risk / Return Rank: 84
BSCMX Sharpe Ratio Rank: 85
BSCMX Sortino Ratio Rank: 84
BSCMX Omega Ratio Rank: 72
BSCMX Calmar Ratio Rank: 92
BSCMX Martin Ratio Rank: 89

SPY

SPY Risk / Return Rank: 68
SPY Sharpe Ratio Rank: 69
SPY Sortino Ratio Rank: 66
SPY Omega Ratio Rank: 68
SPY Calmar Ratio Rank: 63
SPY Martin Ratio Rank: 74

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

BSCMX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Brandes Small Cap Value Fund (BSCMX) and State Street SPDR S&P 500 ETF (SPY). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	BSCMX	SPY	Difference
Sharpe ratio: Return per unit of total volatility	2.57	2.16	+0.42
Sortino ratio: Return per unit of downside risk	3.68	2.91	+0.77
Omega ratio: Gain probability vs. loss probability	1.43	1.39	+0.04
Calmar ratio: Return relative to maximum drawdown	4.64	3.01	+1.63
Martin ratio: Return relative to average drawdown	15.93	13.54	+2.39

BSCMX vs. SPY - Sharpe Ratio Comparison

The current BSCMX Sharpe Ratio is 2.57, which is comparable to the SPY Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of BSCMX and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

BSCMX vs. SPY - Drawdown Comparison

The maximum BSCMX drawdown since its inception was -38.12%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BSCMX and SPY.

Drawdown Indicators

	BSCMX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-38.12%	-55.19%	+17.07%
Max Drawdown (1Y) Largest decline over 1 year	-9.65%	-8.88%	-0.77%
Max Drawdown (3Y) Largest decline over 3 years	-22.34%	-18.76%	-3.58%
Max Drawdown (5Y) Largest decline over 5 years	-22.34%	-24.50%	+2.16%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	-0.88%	-1.75%	+0.87%
Average Drawdown Average peak-to-trough decline	-6.00%	-9.04%	+3.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.81%	1.97%	+0.84%

Volatility

BSCMX vs. SPY - Volatility Comparison

The current volatility for Brandes Small Cap Value Fund (BSCMX) is 4.21%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.64%. This indicates that BSCMX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BSCMX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.21%	4.64%	-0.43%
Volatility (6M) Calculated over the trailing 6-month period	11.82%	9.75%	+2.07%
Volatility (1Y) Calculated over the trailing 1-year period	17.40%	12.43%	+4.97%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.93%	17.14%	+0.79%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.58%	17.99%	+2.59%

BSCMX vs. SPY - Expense Ratio Comparison

BSCMX has a 0.91% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

BSCMX vs. SPY - Dividend Comparison

BSCMX's dividend yield for the trailing twelve months is around 3.83%, more than SPY's 1.01% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
BSCMX Brandes Small Cap Value Fund	3.83%	4.54%	2.31%	3.50%	2.93%	4.38%	1.76%	1.11%	9.02%	0.00%	0.00%	0.00%
SPY State Street SPDR S&P 500 ETF	1.01%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both BSCMX and SPY in my portfolio?

BSCMX and SPY have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, BSCMX or SPY?

SPY has higher volatility (4.64%) compared to BSCMX (4.21%). In terms of maximum drawdown, BSCMX dropped -38.12% vs SPY's -55.19%.

Which has better risk-adjusted returns?

BSCMX currently has the higher Sharpe Ratio (2.57 vs 2.16), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.