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

Key characteristics


BSTSPY
YTD Return17.18%26.83%
1Y Return18.89%34.88%
3Y Return (Ann)-4.08%10.16%
5Y Return (Ann)11.45%15.71%
10Y Return (Ann)14.31%13.33%
Sharpe Ratio1.193.08
Sortino Ratio1.634.10
Omega Ratio1.211.58
Calmar Ratio0.674.46
Martin Ratio3.8820.22
Ulcer Index5.32%1.85%
Daily Std Dev17.36%12.18%
Max Drawdown-46.59%-55.19%
Current Drawdown-17.24%-0.26%

Correlation

-0.50.00.51.00.7

The correlation between BST and SPY is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

BST vs. SPY - Performance Comparison

In the year-to-date period, BST achieves a 17.18% return, which is significantly lower than SPY's 26.83% return. Over the past 10 years, BST has outperformed SPY with an annualized return of 14.31%, while SPY has yielded a comparatively lower 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.10%
13.44%
BST
SPY

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

BST vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock Science and Technology Trust (BST) and 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.


BST
Sharpe ratio
The chart of Sharpe ratio for BST, currently valued at 1.19, compared to the broader market-4.00-2.000.002.004.001.19
Sortino ratio
The chart of Sortino ratio for BST, currently valued at 1.63, compared to the broader market-4.00-2.000.002.004.006.001.63
Omega ratio
The chart of Omega ratio for BST, currently valued at 1.21, compared to the broader market0.501.001.502.001.21
Calmar ratio
The chart of Calmar ratio for BST, currently valued at 0.67, compared to the broader market0.002.004.006.000.67
Martin ratio
The chart of Martin ratio for BST, currently valued at 3.88, compared to the broader market0.0010.0020.0030.003.88
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.08, compared to the broader market-4.00-2.000.002.004.003.08
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.10, compared to the broader market-4.00-2.000.002.004.006.004.10
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market0.501.001.502.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.46, compared to the broader market0.002.004.006.004.46
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.22, compared to the broader market0.0010.0020.0030.0020.22

BST vs. SPY - Sharpe Ratio Comparison

The current BST Sharpe Ratio is 1.19, which is lower than the SPY Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of BST and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.19
3.08
BST
SPY

Dividends

BST vs. SPY - Dividend Comparison

BST's dividend yield for the trailing twelve months is around 7.47%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
BST
BlackRock Science and Technology Trust
7.47%8.91%10.57%8.53%3.85%5.46%6.41%4.80%6.69%6.93%0.57%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

BST vs. SPY - Drawdown Comparison

The maximum BST drawdown since its inception was -46.59%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for BST and SPY. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-17.24%
-0.26%
BST
SPY

Volatility

BST vs. SPY - Volatility Comparison

BlackRock Science and Technology Trust (BST) and SPDR S&P 500 ETF (SPY) have volatilities of 3.84% and 3.77%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.84%
3.77%
BST
SPY