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^SP600 vs. VIS
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SP600 and VIS is 0.85, 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

^SP600 vs. VIS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 600 (^SP600) and Vanguard Industrials ETF (VIS). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^SP600:

-0.06

VIS:

0.69

Sortino Ratio

^SP600:

0.09

VIS:

1.12

Omega Ratio

^SP600:

1.01

VIS:

1.15

Calmar Ratio

^SP600:

-0.05

VIS:

0.69

Martin Ratio

^SP600:

-0.13

VIS:

2.32

Ulcer Index

^SP600:

10.03%

VIS:

6.15%

Daily Std Dev

^SP600:

24.09%

VIS:

20.87%

Max Drawdown

^SP600:

-59.17%

VIS:

-63.51%

Current Drawdown

^SP600:

-14.39%

VIS:

-1.61%

Returns By Period

In the year-to-date period, ^SP600 achieves a -6.09% return, which is significantly lower than VIS's 7.39% return. Over the past 10 years, ^SP600 has underperformed VIS with an annualized return of 6.26%, while VIS has yielded a comparatively higher 11.45% annualized return.


^SP600

YTD

-6.09%

1M

13.75%

6M

-9.61%

1Y

-1.37%

5Y*

13.20%

10Y*

6.26%

VIS

YTD

7.39%

1M

15.71%

6M

2.46%

1Y

14.39%

5Y*

21.19%

10Y*

11.45%

*Annualized

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Risk-Adjusted Performance

^SP600 vs. VIS — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^SP600
The Risk-Adjusted Performance Rank of ^SP600 is 2222
Overall Rank
The Sharpe Ratio Rank of ^SP600 is 2323
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SP600 is 2222
Sortino Ratio Rank
The Omega Ratio Rank of ^SP600 is 2222
Omega Ratio Rank
The Calmar Ratio Rank of ^SP600 is 2121
Calmar Ratio Rank
The Martin Ratio Rank of ^SP600 is 2222
Martin Ratio Rank

VIS
The Risk-Adjusted Performance Rank of VIS is 6565
Overall Rank
The Sharpe Ratio Rank of VIS is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of VIS is 6666
Sortino Ratio Rank
The Omega Ratio Rank of VIS is 6363
Omega Ratio Rank
The Calmar Ratio Rank of VIS is 6767
Calmar Ratio Rank
The Martin Ratio Rank of VIS is 6161
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^SP600 vs. VIS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 600 (^SP600) and Vanguard Industrials ETF (VIS). 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.


The current ^SP600 Sharpe Ratio is -0.06, which is lower than the VIS Sharpe Ratio of 0.69. The chart below compares the historical Sharpe Ratios of ^SP600 and VIS, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

^SP600 vs. VIS - Drawdown Comparison

The maximum ^SP600 drawdown since its inception was -59.17%, smaller than the maximum VIS drawdown of -63.51%. Use the drawdown chart below to compare losses from any high point for ^SP600 and VIS. For additional features, visit the drawdowns tool.


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Volatility

^SP600 vs. VIS - Volatility Comparison

S&P 600 (^SP600) has a higher volatility of 6.11% compared to Vanguard Industrials ETF (VIS) at 5.44%. This indicates that ^SP600's price experiences larger fluctuations and is considered to be riskier than VIS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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