PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
0GZB.DE vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


0GZB.DEVOO
YTD Return16.39%26.59%
1Y Return20.53%38.23%
3Y Return (Ann)2.21%9.99%
5Y Return (Ann)10.18%15.91%
Sharpe Ratio1.073.11
Sortino Ratio1.604.14
Omega Ratio1.191.58
Calmar Ratio0.964.54
Martin Ratio3.2320.72
Ulcer Index6.26%1.85%
Daily Std Dev18.91%12.33%
Max Drawdown-31.84%-33.99%
Current Drawdown-6.25%0.00%

Correlation

-0.50.00.51.00.3

The correlation between 0GZB.DE and VOO is 0.27, 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.

Performance

0GZB.DE vs. VOO - Performance Comparison

In the year-to-date period, 0GZB.DE achieves a 16.39% return, which is significantly lower than VOO's 26.59% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
0.70%
15.13%
0GZB.DE
VOO

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


0GZB.DE vs. VOO - Expense Ratio Comparison

0GZB.DE has a 1.20% expense ratio, which is higher than VOO's 0.03% expense ratio.


0GZB.DE
BNPP RICI Enhanced Kupfer (ER) EUR Hedge ETC
Expense ratio chart for 0GZB.DE: current value at 1.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.20%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

0GZB.DE vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for BNPP RICI Enhanced Kupfer (ER) EUR Hedge ETC (0GZB.DE) 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.


0GZB.DE
Sharpe ratio
The chart of Sharpe ratio for 0GZB.DE, currently valued at 0.88, compared to the broader market-2.000.002.004.006.000.88
Sortino ratio
The chart of Sortino ratio for 0GZB.DE, currently valued at 1.34, compared to the broader market-2.000.002.004.006.008.0010.0012.001.34
Omega ratio
The chart of Omega ratio for 0GZB.DE, currently valued at 1.17, compared to the broader market1.001.502.002.503.001.17
Calmar ratio
The chart of Calmar ratio for 0GZB.DE, currently valued at 0.63, compared to the broader market0.005.0010.0015.000.63
Martin ratio
The chart of Martin ratio for 0GZB.DE, currently valued at 3.05, compared to the broader market0.0020.0040.0060.0080.00100.003.05
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 2.83, compared to the broader market-2.000.002.004.006.002.83
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 3.78, compared to the broader market-2.000.002.004.006.008.0010.0012.003.78
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.54, compared to the broader market1.001.502.002.503.001.54
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.05, compared to the broader market0.005.0010.0015.004.05
Martin ratio
The chart of Martin ratio for VOO, currently valued at 18.49, compared to the broader market0.0020.0040.0060.0080.00100.0018.49

0GZB.DE vs. VOO - Sharpe Ratio Comparison

The current 0GZB.DE Sharpe Ratio is 1.07, which is lower than the VOO Sharpe Ratio of 3.11. The chart below compares the historical Sharpe Ratios of 0GZB.DE and VOO, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.88
2.83
0GZB.DE
VOO

Dividends

0GZB.DE vs. VOO - Dividend Comparison

0GZB.DE has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.24%.


TTM20232022202120202019201820172016201520142013
0GZB.DE
BNPP RICI Enhanced Kupfer (ER) EUR Hedge ETC
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

0GZB.DE vs. VOO - Drawdown Comparison

The maximum 0GZB.DE drawdown since its inception was -31.84%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for 0GZB.DE and VOO. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-14.25%
0
0GZB.DE
VOO

Volatility

0GZB.DE vs. VOO - Volatility Comparison

BNPP RICI Enhanced Kupfer (ER) EUR Hedge ETC (0GZB.DE) has a higher volatility of 8.65% compared to Vanguard S&P 500 ETF (VOO) at 3.95%. This indicates that 0GZB.DE's price experiences larger fluctuations and is considered to be riskier than VOO 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%JuneJulyAugustSeptemberOctoberNovember
8.65%
3.95%
0GZB.DE
VOO