BTMFX vs. ^GSPC
Compare and contrast key facts about Boston Trust Midcap Fund (BTMFX) and S&P 500 (^GSPC).
BTMFX is managed by Boston Trust Walden.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BTMFX or ^GSPC.
Key characteristics
BTMFX | ^GSPC | |
---|---|---|
YTD Return | 12.79% | 23.08% |
1Y Return | 18.04% | 30.22% |
3Y Return (Ann) | 3.82% | 7.71% |
5Y Return (Ann) | 8.96% | 13.50% |
10Y Return (Ann) | 9.66% | 11.11% |
Sharpe Ratio | 1.42 | 2.48 |
Sortino Ratio | 1.99 | 3.33 |
Omega Ratio | 1.25 | 1.46 |
Calmar Ratio | 2.40 | 3.58 |
Martin Ratio | 6.49 | 15.96 |
Ulcer Index | 2.69% | 1.90% |
Daily Std Dev | 12.26% | 12.24% |
Max Drawdown | -50.57% | -56.78% |
Current Drawdown | -2.15% | -2.18% |
Correlation
The correlation between BTMFX and ^GSPC is 0.92, 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
BTMFX vs. ^GSPC - Performance Comparison
In the year-to-date period, BTMFX achieves a 12.79% return, which is significantly lower than ^GSPC's 23.08% return. Over the past 10 years, BTMFX has underperformed ^GSPC with an annualized return of 9.66%, while ^GSPC has yielded a comparatively higher 11.11% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
BTMFX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Boston Trust Midcap Fund (BTMFX) and S&P 500 (^GSPC). 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.
Drawdowns
BTMFX vs. ^GSPC - Drawdown Comparison
The maximum BTMFX drawdown since its inception was -50.57%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for BTMFX and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
BTMFX vs. ^GSPC - Volatility Comparison
The current volatility for Boston Trust Midcap Fund (BTMFX) is 3.36%, while S&P 500 (^GSPC) has a volatility of 4.06%. This indicates that BTMFX experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.