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Beta
Variance of BXMD Covariance of BXMD and SPX Beta
0.00881922% 0.00999% 1.1328855875
Year BXMD Total Return SPX Total Return 3 Month T-bill Rate 1 Year Daily Betas
1988 18.99% 11.57% 5.81% 1.195
1989 35.14% 35.19% 8.27% 1.184
1990 1.52% -5.88% 7.64% 1.097
1991 24.94% 32.03% 6.22% 1.137
1992 10.76% 7.54% 3.80% 1.112
1993 10.87% 9.90% 3.00% 1.143
1994 5.60% 1.48% 2.98% 1.116
1995 33.70% 38.70% 5.71% 1.281
1996 17.88% 21.40% 5.00% 1.151
1997 34.84% 34.67% 5.03% 1.151
1998 21.79% 27.85% 5.04% 1.103
1999 20.91% 19.99% 4.34% 1.162
2000 -2.04% -10.80% 5.32% 1.118
2001 -6.21% -8.81% 5.15% 1.138
2002 -11.18% -19.98% 1.65% 1.140
2003 22.23% 24.16% 1.17% 1.196
2004 9.05% 8.77% 0.88% 1.175
2005 8.23% 9.03% 2.33% 1.122
2006 15.86% 13.81% 4.24% 1.141
2007 5.02% 4.10% 4.98% 1.128
2008 -28.75% -34.06% 2.75% 1.091
2009 30.30% 24.54% 0.13% 1.193
2010 11.03% 14.53% 0.06% 1.140
2011 7.47% 2.53% 0.15% 1.125
2012 12.05% 17.16% 0.03% 1.195
2013 16.48% 27.96% 0.07% 1.189
2014 3.85% 11.58% 0.04% 1.087
2015 2.75% -0.12% 0.03% 1.103
2016 10.58% 14.64% 0.26% 1.189
2017 15.85% 21.81% 0.51% 1.272
2018 -4.61% -2.91% 1.41% 1.066
Average 11.45% 11.37% 3.03% 1.148
Standard Deviation BXMD Standard Deviation SPX Yearly Sharpe Ratio BXMD Yearly Sharpe Ratio SPX
13.54% 16.82% 0.9734520384 0.3426855636
10.72% 13.19% 2.5070087016 2.0413161101
14.33% 16.17% -0.4271468222 -0.8362808721
11.54% 14.36% 1.6222744371 1.7970706004
8.23% 9.73% 0.8451740694 0.3840093401
7.07% 8.65% 1.1119583789 0.798166109
8.63% 9.86% 0.3029753781 -0.1516402857
5.50% 7.88% 5.0909432096 4.1840684611
9.78% 11.84% 1.3161774691 1.3856089051
15.17% 18.26% 1.9648125398 1.6234431035
17.99% 20.37% 0.9309522917 1.1197137977
14.88% 18.18% 1.113899261 0.8609183491
19.84% 22.48% -0.370832634 -0.7171649123
18.49% 21.64% -0.6144496599 -0.6450641304
22.76% 26.36% -0.5634496787 -0.8203468621
13.62% 17.14% 1.5469067806 1.3413993864
9.06% 11.13% 0.9023642337 0.7088281307
9.00% 10.45% 0.6556248383 0.6411810009
8.70% 10.08% 1.3357099432 0.9487465569
13.97% 16.12% 0.0027173941 -0.0547235939
36.82% 41.26% -0.8553110035 -0.8920209739
22.25% 27.42% 1.3555721133 0.8901915589
15.55% 18.16% 0.7053885132 0.7965175732
20.35% 23.43% 0.3597218726 0.1015722329
10.47% 13.05% 1.1480232246 1.312722687
8.89% 11.16% 1.8451850876 2.4987499748
10.16% 11.55% 0.3754339118 0.9989190913
13.76% 15.58% 0.1976823844 -0.0099117425
10.67% 13.17% 0.9671624248 1.0917018754
4.89% 6.75% 3.139527176 3.1567867279
18.81% 20.50% -0.3200556687 -0.2107126341
13.72% 16.22% 0.941 0.796
Excess Return BXMD Negative Excess Returns BXMD Excess Return SPX Negative Excess Returns SPX
13.18% 0.0% 5.76% 0.0%
26.87% 0.0% 26.92% 0.0%
-6.12% -6.1% -13.52% -13.5%
18.72% 0.0% 25.81% 0.0%
6.96% 0.0% 3.74% 0.0%
7.87% 0.0% 6.90% 0.0%
2.62% 0.0% -1.50% -1.5%
27.99% 0.0% 32.99% 0.0%
12.88% 0.0% 16.40% 0.0%
29.81% 0.0% 29.64% 0.0%
16.75% 0.0% 22.81% 0.0%
16.57% 0.0% 15.65% 0.0%
-7.36% -7.4% -16.12% -16.1%
-11.36% -11.4% -13.96% -14.0%
-12.83% -12.8% -21.63% -21.6%
21.06% 0.0% 22.99% 0.0%
8.17% 0.0% 7.89% 0.0%
5.90% 0.0% 6.70% 0.0%
11.62% 0.0% 9.57% 0.0%
0.04% 0.0% -0.88% -0.9%
-31.50% -31.5% -36.81% -36.8%
30.17% 0.0% 24.41% 0.0%
10.97% 0.0% 14.47% 0.0%
7.32% 0.0% 2.38% 0.0%
12.02% 0.0% 17.13% 0.0%
16.41% 0.0% 27.89% 0.0%
3.81% 0.0% 11.54% 0.0%
2.72% 0.0% -0.15% -0.2%
10.32% 0.0% 14.38% 0.0%
15.34% 0.0% 21.30% 0.0%
-6.02% -6.0% -4.32% -4.3%
Standard Deviation 9.7% Standard Deviation 12.1%
Sortinio Ratio BXMD Sortinio Ratio SPX
1.3570780584 0.47772
2.7671362092 2.23109
-0.6306535316 -1.12096
1.9279127155 2.13915
0.7167270809 0.30966
0.8101101655 0.57219
0.2693784747 -0.12394
2.8831932456 2.73415
1.3262040673 1.35950
3.0698531547 2.45702
1.7251586961 1.89088
1.7067825967 1.29748
-0.7576937589 -1.33627
-1.1703551745 -1.15721
-1.32092676 -1.79272
2.1692662255 1.90585
0.8416590447 0.65414
0.6074894382 0.55561
1.197022726 0.79304
0.0039100748 -0.07314
-3.2439182847 -3.05086
3.1068710565 2.02330
1.1300657874 1.19922
0.7541184547 0.19728
1.2376831395 1.41965
1.6901629885 2.31170
0.3927450111 0.95617
0.28018976 -0.01280
1.0625777663 1.19204
1.580119865 1.76570
-0.6200399765 -0.35804
0.8667686554 0.6908584925