PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^OEX vs. VIGIX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^OEX and VIGIX is 0.95, 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.


-0.50.00.51.01.0

Performance

^OEX vs. VIGIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 100 Index (^OEX) and Vanguard Growth Index Fund Institutional Shares (VIGIX). The values are adjusted to include any dividend payments, if applicable.

400.00%500.00%600.00%700.00%800.00%900.00%1,000.00%JulyAugustSeptemberOctoberNovemberDecember
434.23%
957.00%
^OEX
VIGIX

Key characteristics

Sharpe Ratio

^OEX:

2.35

VIGIX:

2.09

Sortino Ratio

^OEX:

3.07

VIGIX:

2.68

Omega Ratio

^OEX:

1.44

VIGIX:

1.38

Calmar Ratio

^OEX:

3.25

VIGIX:

2.81

Martin Ratio

^OEX:

14.30

VIGIX:

10.99

Ulcer Index

^OEX:

2.24%

VIGIX:

3.31%

Daily Std Dev

^OEX:

13.66%

VIGIX:

17.44%

Max Drawdown

^OEX:

-61.31%

VIGIX:

-57.17%

Current Drawdown

^OEX:

-2.08%

VIGIX:

-2.51%

Returns By Period

In the year-to-date period, ^OEX achieves a 30.39% return, which is significantly lower than VIGIX's 34.77% return. Over the past 10 years, ^OEX has underperformed VIGIX with an annualized return of 12.26%, while VIGIX has yielded a comparatively higher 15.88% annualized return.


^OEX

YTD

30.39%

1M

1.96%

6M

10.34%

1Y

30.81%

5Y*

15.26%

10Y*

12.26%

VIGIX

YTD

34.77%

1M

3.33%

6M

12.01%

1Y

34.91%

5Y*

18.89%

10Y*

15.88%

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

^OEX vs. VIGIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 100 Index (^OEX) and Vanguard Growth Index Fund Institutional Shares (VIGIX). 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 ^OEX, currently valued at 2.35, compared to the broader market0.001.002.002.352.09
The chart of Sortino ratio for ^OEX, currently valued at 3.07, compared to the broader market-1.000.001.002.003.003.072.68
The chart of Omega ratio for ^OEX, currently valued at 1.44, compared to the broader market0.901.001.101.201.301.401.441.38
The chart of Calmar ratio for ^OEX, currently valued at 3.25, compared to the broader market0.001.002.003.003.252.81
The chart of Martin ratio for ^OEX, currently valued at 14.30, compared to the broader market0.005.0010.0015.0020.0014.3010.99
^OEX
VIGIX

The current ^OEX Sharpe Ratio is 2.35, which is comparable to the VIGIX Sharpe Ratio of 2.09. The chart below compares the historical Sharpe Ratios of ^OEX and VIGIX, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.35
2.09
^OEX
VIGIX

Drawdowns

^OEX vs. VIGIX - Drawdown Comparison

The maximum ^OEX drawdown since its inception was -61.31%, which is greater than VIGIX's maximum drawdown of -57.17%. Use the drawdown chart below to compare losses from any high point for ^OEX and VIGIX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.08%
-2.51%
^OEX
VIGIX

Volatility

^OEX vs. VIGIX - Volatility Comparison

The current volatility for S&P 100 Index (^OEX) is 3.88%, while Vanguard Growth Index Fund Institutional Shares (VIGIX) has a volatility of 4.92%. This indicates that ^OEX experiences smaller price fluctuations and is considered to be less risky than VIGIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
3.88%
4.92%
^OEX
VIGIX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab