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

Key characteristics


BTIIXSPGP
YTD Return22.54%9.23%
1Y Return34.55%16.97%
3Y Return (Ann)11.03%7.86%
5Y Return (Ann)18.26%14.88%
10Y Return (Ann)14.68%14.48%
Sharpe Ratio2.811.21
Sortino Ratio3.751.71
Omega Ratio1.511.21
Calmar Ratio2.831.83
Martin Ratio17.405.28
Ulcer Index2.03%3.35%
Daily Std Dev12.53%14.66%
Max Drawdown-84.57%-42.08%
Current Drawdown0.00%-0.49%

Correlation

-0.50.00.51.00.8

The correlation between BTIIX and SPGP is 0.84, 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.

Performance

BTIIX vs. SPGP - Performance Comparison

In the year-to-date period, BTIIX achieves a 22.54% return, which is significantly higher than SPGP's 9.23% return. Both investments have delivered pretty close results over the past 10 years, with BTIIX having a 14.68% annualized return and SPGP not far behind at 14.48%. 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%MayJuneJulyAugustSeptemberOctober
12.04%
1.39%
BTIIX
SPGP

Compare stocks, funds, or ETFs

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


BTIIX vs. SPGP - Expense Ratio Comparison

BTIIX has a 0.20% expense ratio, which is lower than SPGP's 0.36% expense ratio.


SPGP
Invesco S&P 500 GARP ETF
Expense ratio chart for SPGP: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
Expense ratio chart for BTIIX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

BTIIX vs. SPGP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DWS Equity 500 Index Fund (BTIIX) and Invesco S&P 500 GARP ETF (SPGP). 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.


BTIIX
Sharpe ratio
The chart of Sharpe ratio for BTIIX, currently valued at 2.81, compared to the broader market0.002.004.002.81
Sortino ratio
The chart of Sortino ratio for BTIIX, currently valued at 3.75, compared to the broader market0.005.0010.003.75
Omega ratio
The chart of Omega ratio for BTIIX, currently valued at 1.51, compared to the broader market1.002.003.004.001.51
Calmar ratio
The chart of Calmar ratio for BTIIX, currently valued at 2.83, compared to the broader market0.005.0010.0015.0020.0025.002.83
Martin ratio
The chart of Martin ratio for BTIIX, currently valued at 17.40, compared to the broader market0.0020.0040.0060.0080.00100.0017.40
SPGP
Sharpe ratio
The chart of Sharpe ratio for SPGP, currently valued at 1.21, compared to the broader market0.002.004.001.21
Sortino ratio
The chart of Sortino ratio for SPGP, currently valued at 1.71, compared to the broader market0.005.0010.001.71
Omega ratio
The chart of Omega ratio for SPGP, currently valued at 1.21, compared to the broader market1.002.003.004.001.21
Calmar ratio
The chart of Calmar ratio for SPGP, currently valued at 1.83, compared to the broader market0.005.0010.0015.0020.0025.001.83
Martin ratio
The chart of Martin ratio for SPGP, currently valued at 5.28, compared to the broader market0.0020.0040.0060.0080.00100.005.28

BTIIX vs. SPGP - Sharpe Ratio Comparison

The current BTIIX Sharpe Ratio is 2.81, which is higher than the SPGP Sharpe Ratio of 1.21. The chart below compares the historical Sharpe Ratios of BTIIX and SPGP, 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 Ratio0.501.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.81
1.21
BTIIX
SPGP

Dividends

BTIIX vs. SPGP - Dividend Comparison

BTIIX's dividend yield for the trailing twelve months is around 22.94%, more than SPGP's 1.36% yield.


TTM20232022202120202019201820172016201520142013
BTIIX
DWS Equity 500 Index Fund
22.94%26.16%14.49%15.07%20.31%23.22%22.74%15.17%11.52%8.32%5.09%1.77%
SPGP
Invesco S&P 500 GARP ETF
1.36%1.24%1.22%0.69%1.10%0.86%0.95%0.68%0.89%1.12%1.52%2.11%

Drawdowns

BTIIX vs. SPGP - Drawdown Comparison

The maximum BTIIX drawdown since its inception was -84.57%, which is greater than SPGP's maximum drawdown of -42.08%. Use the drawdown chart below to compare losses from any high point for BTIIX and SPGP. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober0
-0.49%
BTIIX
SPGP

Volatility

BTIIX vs. SPGP - Volatility Comparison

The current volatility for DWS Equity 500 Index Fund (BTIIX) is 2.95%, while Invesco S&P 500 GARP ETF (SPGP) has a volatility of 3.38%. This indicates that BTIIX experiences smaller price fluctuations and is considered to be less risky than SPGP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%MayJuneJulyAugustSeptemberOctober
2.95%
3.38%
BTIIX
SPGP