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^SP500TR vs. VOO
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^SP500TRVOO
YTD Return19.30%19.06%
1Y Return28.44%26.65%
3Y Return (Ann)9.72%9.85%
5Y Return (Ann)15.27%15.18%
10Y Return (Ann)12.93%12.95%
Sharpe Ratio2.112.18
Daily Std Dev12.72%12.72%
Max Drawdown-55.25%-33.99%
Current Drawdown-0.35%-0.48%

Correlation

-0.50.00.51.01.0

The correlation between ^SP500TR and VOO is 1.00, 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

^SP500TR vs. VOO - Performance Comparison

The year-to-date returns for both stocks are quite close, with ^SP500TR having a 19.30% return and VOO slightly lower at 19.06%. Both investments have delivered pretty close results over the past 10 years, with ^SP500TR having a 12.93% annualized return and VOO not far ahead at 12.95%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


480.00%500.00%520.00%540.00%560.00%580.00%AprilMayJuneJulyAugustSeptember
567.78%
564.14%
^SP500TR
VOO

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Risk-Adjusted Performance

^SP500TR vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Total Return (^SP500TR) and Vanguard S&P 500 ETF (VOO). 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.


^SP500TR
Sharpe ratio
The chart of Sharpe ratio for ^SP500TR, currently valued at 2.11, compared to the broader market0.001.002.002.11
Sortino ratio
The chart of Sortino ratio for ^SP500TR, currently valued at 2.83, compared to the broader market-1.000.001.002.003.002.83
Omega ratio
The chart of Omega ratio for ^SP500TR, currently valued at 1.38, compared to the broader market0.901.001.101.201.301.401.501.38
Calmar ratio
The chart of Calmar ratio for ^SP500TR, currently valued at 2.32, compared to the broader market0.001.002.003.004.005.002.32
Martin ratio
The chart of Martin ratio for ^SP500TR, currently valued at 11.40, compared to the broader market0.005.0010.0015.0020.0011.40
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 2.10, compared to the broader market0.001.002.002.10
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 2.83, compared to the broader market-1.000.001.002.003.002.83
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.38, compared to the broader market0.901.001.101.201.301.401.501.38
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 2.29, compared to the broader market0.001.002.003.004.005.002.29
Martin ratio
The chart of Martin ratio for VOO, currently valued at 11.35, compared to the broader market0.005.0010.0015.0020.0011.35

^SP500TR vs. VOO - Sharpe Ratio Comparison

The current ^SP500TR Sharpe Ratio is 2.11, which roughly equals the VOO Sharpe Ratio of 2.18. The chart below compares the 12-month rolling Sharpe Ratio of ^SP500TR and VOO.


Rolling 12-month Sharpe Ratio1.502.002.503.00AprilMayJuneJulyAugustSeptember
2.11
2.10
^SP500TR
VOO

Drawdowns

^SP500TR vs. VOO - Drawdown Comparison

The maximum ^SP500TR drawdown since its inception was -55.25%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ^SP500TR and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-0.35%
-0.48%
^SP500TR
VOO

Volatility

^SP500TR vs. VOO - Volatility Comparison

S&P 500 Total Return (^SP500TR) and Vanguard S&P 500 ETF (VOO) have volatilities of 4.09% and 3.93%, 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%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
4.09%
3.93%
^SP500TR
VOO