PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BSIIX vs. IUS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BSIIXIUS
YTD Return5.17%16.73%
1Y Return11.46%27.23%
3Y Return (Ann)2.15%11.88%
5Y Return (Ann)3.20%16.91%
Sharpe Ratio3.242.62
Sortino Ratio5.123.55
Omega Ratio1.671.46
Calmar Ratio1.993.15
Martin Ratio20.6616.33
Ulcer Index0.55%1.74%
Daily Std Dev3.53%10.86%
Max Drawdown-18.76%-34.67%
Current Drawdown-0.93%-0.70%

Correlation

-0.50.00.51.00.3

The correlation between BSIIX and IUS is 0.29, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

BSIIX vs. IUS - Performance Comparison

In the year-to-date period, BSIIX achieves a 5.17% return, which is significantly lower than IUS's 16.73% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


20.00%40.00%60.00%80.00%100.00%120.00%MayJuneJulyAugustSeptemberOctober
23.63%
122.54%
BSIIX
IUS

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


BSIIX vs. IUS - Expense Ratio Comparison

BSIIX has a 0.69% expense ratio, which is higher than IUS's 0.19% expense ratio.


BSIIX
BlackRock Strategic Income Opportunities Fund Class I
Expense ratio chart for BSIIX: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
Expense ratio chart for IUS: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%

Risk-Adjusted Performance

BSIIX vs. IUS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock Strategic Income Opportunities Fund Class I (BSIIX) and Invesco RAFI Strategic US ETF (IUS). 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.


BSIIX
Sharpe ratio
The chart of Sharpe ratio for BSIIX, currently valued at 3.24, compared to the broader market0.002.004.003.24
Sortino ratio
The chart of Sortino ratio for BSIIX, currently valued at 5.12, compared to the broader market0.005.0010.005.12
Omega ratio
The chart of Omega ratio for BSIIX, currently valued at 1.67, compared to the broader market1.002.003.004.001.67
Calmar ratio
The chart of Calmar ratio for BSIIX, currently valued at 1.99, compared to the broader market0.005.0010.0015.0020.0025.001.99
Martin ratio
The chart of Martin ratio for BSIIX, currently valued at 20.66, compared to the broader market0.0020.0040.0060.0080.00100.0020.66
IUS
Sharpe ratio
The chart of Sharpe ratio for IUS, currently valued at 2.51, compared to the broader market0.002.004.002.51
Sortino ratio
The chart of Sortino ratio for IUS, currently valued at 3.42, compared to the broader market0.005.0010.003.42
Omega ratio
The chart of Omega ratio for IUS, currently valued at 1.45, compared to the broader market1.002.003.004.001.45
Calmar ratio
The chart of Calmar ratio for IUS, currently valued at 3.01, compared to the broader market0.005.0010.0015.0020.0025.003.01
Martin ratio
The chart of Martin ratio for IUS, currently valued at 15.65, compared to the broader market0.0020.0040.0060.0080.00100.0015.65

BSIIX vs. IUS - Sharpe Ratio Comparison

The current BSIIX Sharpe Ratio is 3.24, which roughly equals the IUS Sharpe Ratio of 2.62. The chart below compares the historical Sharpe Ratios of BSIIX and IUS, offering insights into how both instruments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
3.24
2.51
BSIIX
IUS

Dividends

BSIIX vs. IUS - Dividend Comparison

BSIIX's dividend yield for the trailing twelve months is around 4.60%, more than IUS's 1.51% yield.


TTM20232022202120202019201820172016201520142013
BSIIX
BlackRock Strategic Income Opportunities Fund Class I
4.60%4.44%4.16%3.16%2.89%3.38%3.30%3.47%2.92%3.19%4.39%2.63%
IUS
Invesco RAFI Strategic US ETF
1.51%1.72%1.78%1.46%1.74%1.77%0.73%0.00%0.00%0.00%0.00%0.00%

Drawdowns

BSIIX vs. IUS - Drawdown Comparison

The maximum BSIIX drawdown since its inception was -18.76%, smaller than the maximum IUS drawdown of -34.67%. Use the drawdown chart below to compare losses from any high point for BSIIX and IUS. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.93%
-0.70%
BSIIX
IUS

Volatility

BSIIX vs. IUS - Volatility Comparison

The current volatility for BlackRock Strategic Income Opportunities Fund Class I (BSIIX) is 0.79%, while Invesco RAFI Strategic US ETF (IUS) has a volatility of 2.41%. This indicates that BSIIX experiences smaller price fluctuations and is considered to be less risky than IUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%MayJuneJulyAugustSeptemberOctober
0.79%
2.41%
BSIIX
IUS