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^SSMI vs. VTI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SSMI and VTI is 0.39, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

^SSMI vs. VTI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Swiss Market Index (^SSMI) and Vanguard Total Stock Market ETF (VTI). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-4.29%
11.45%
^SSMI
VTI

Key characteristics

Sharpe Ratio

^SSMI:

0.28

VTI:

2.09

Sortino Ratio

^SSMI:

0.45

VTI:

2.78

Omega Ratio

^SSMI:

1.06

VTI:

1.39

Calmar Ratio

^SSMI:

0.22

VTI:

3.11

Martin Ratio

^SSMI:

1.03

VTI:

13.28

Ulcer Index

^SSMI:

3.10%

VTI:

2.01%

Daily Std Dev

^SSMI:

11.56%

VTI:

12.79%

Max Drawdown

^SSMI:

-56.31%

VTI:

-55.45%

Current Drawdown

^SSMI:

-11.43%

VTI:

-1.39%

Returns By Period

In the year-to-date period, ^SSMI achieves a 3.15% return, which is significantly lower than VTI's 27.01% return. Over the past 10 years, ^SSMI has underperformed VTI with an annualized return of 2.44%, while VTI has yielded a comparatively higher 12.65% annualized return.


^SSMI

YTD

3.15%

1M

-1.24%

6M

-4.30%

1Y

3.37%

5Y*

1.37%

10Y*

2.44%

VTI

YTD

27.01%

1M

-0.27%

6M

11.45%

1Y

26.46%

5Y*

14.38%

10Y*

12.65%

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Risk-Adjusted Performance

^SSMI vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Swiss Market Index (^SSMI) and Vanguard Total Stock Market ETF (VTI). 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 ^SSMI, currently valued at -0.23, compared to the broader market-0.500.000.501.001.502.002.50-0.232.30
The chart of Sortino ratio for ^SSMI, currently valued at -0.23, compared to the broader market-1.000.001.002.003.00-0.233.04
The chart of Omega ratio for ^SSMI, currently valued at 0.97, compared to the broader market0.901.001.101.201.301.401.500.971.43
The chart of Calmar ratio for ^SSMI, currently valued at -0.21, compared to the broader market0.001.002.003.004.00-0.213.41
The chart of Martin ratio for ^SSMI, currently valued at -0.57, compared to the broader market0.005.0010.0015.0020.00-0.5714.69
^SSMI
VTI

The current ^SSMI Sharpe Ratio is 0.28, which is lower than the VTI Sharpe Ratio of 2.09. The chart below compares the historical Sharpe Ratios of ^SSMI and VTI, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.23
2.30
^SSMI
VTI

Drawdowns

^SSMI vs. VTI - Drawdown Comparison

The maximum ^SSMI drawdown since its inception was -56.31%, roughly equal to the maximum VTI drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for ^SSMI and VTI. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-12.80%
-1.39%
^SSMI
VTI

Volatility

^SSMI vs. VTI - Volatility Comparison

The current volatility for Swiss Market Index (^SSMI) is 3.32%, while Vanguard Total Stock Market ETF (VTI) has a volatility of 4.04%. This indicates that ^SSMI experiences smaller price fluctuations and is considered to be less risky than VTI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.32%
4.04%
^SSMI
VTI
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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.

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