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BSRT.L vs. ^DJUSST
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

BSRT.L vs. ^DJUSST - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Baker Steel Resources Trust (BSRT.L) and Dow Jones U.S. Iron & Steel Index (^DJUSST). The values are adjusted to include any dividend payments, if applicable.

-20.00%-15.00%-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
-1.13%
-7.89%
BSRT.L
^DJUSST

Returns By Period

In the year-to-date period, BSRT.L achieves a 35.44% return, which is significantly higher than ^DJUSST's -8.22% return. Over the past 10 years, BSRT.L has underperformed ^DJUSST with an annualized return of 5.11%, while ^DJUSST has yielded a comparatively higher 9.33% annualized return.


BSRT.L

YTD

35.44%

1M

12.63%

6M

-0.93%

1Y

52.86%

5Y (annualized)

-0.73%

10Y (annualized)

5.11%

^DJUSST

YTD

-8.22%

1M

-2.84%

6M

-7.90%

1Y

2.94%

5Y (annualized)

19.65%

10Y (annualized)

9.33%

Key characteristics


BSRT.L^DJUSST
Sharpe Ratio0.660.13
Sortino Ratio1.690.42
Omega Ratio1.561.05
Calmar Ratio0.760.13
Martin Ratio1.960.24
Ulcer Index28.09%14.91%
Daily Std Dev83.55%27.45%
Max Drawdown-89.56%-81.48%
Current Drawdown-57.03%-19.76%

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Correlation

-0.50.00.51.00.1

The correlation between BSRT.L and ^DJUSST is 0.13, 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.

Risk-Adjusted Performance

BSRT.L vs. ^DJUSST - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Baker Steel Resources Trust (BSRT.L) and Dow Jones U.S. Iron & Steel Index (^DJUSST). 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 BSRT.L, currently valued at 0.67, compared to the broader market-4.00-2.000.002.004.000.670.11
The chart of Sortino ratio for BSRT.L, currently valued at 1.69, compared to the broader market-4.00-2.000.002.004.001.690.39
The chart of Omega ratio for BSRT.L, currently valued at 1.49, compared to the broader market0.501.001.502.001.491.05
The chart of Calmar ratio for BSRT.L, currently valued at 0.71, compared to the broader market0.002.004.006.000.710.11
The chart of Martin ratio for BSRT.L, currently valued at 2.02, compared to the broader market-10.000.0010.0020.0030.002.020.21
BSRT.L
^DJUSST

The current BSRT.L Sharpe Ratio is 0.66, which is higher than the ^DJUSST Sharpe Ratio of 0.13. The chart below compares the historical Sharpe Ratios of BSRT.L and ^DJUSST, 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 Ratio0.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
0.67
0.11
BSRT.L
^DJUSST

Drawdowns

BSRT.L vs. ^DJUSST - Drawdown Comparison

The maximum BSRT.L drawdown since its inception was -89.56%, which is greater than ^DJUSST's maximum drawdown of -81.48%. Use the drawdown chart below to compare losses from any high point for BSRT.L and ^DJUSST. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-65.89%
-19.76%
BSRT.L
^DJUSST

Volatility

BSRT.L vs. ^DJUSST - Volatility Comparison

The current volatility for Baker Steel Resources Trust (BSRT.L) is 7.96%, while Dow Jones U.S. Iron & Steel Index (^DJUSST) has a volatility of 15.77%. This indicates that BSRT.L experiences smaller price fluctuations and is considered to be less risky than ^DJUSST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%JuneJulyAugustSeptemberOctoberNovember
7.96%
15.77%
BSRT.L
^DJUSST