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0OFM.L vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


0OFM.LVOO
YTD Return0.46%23.64%
1Y Return16.31%42.02%
3Y Return (Ann)1.42%9.92%
5Y Return (Ann)6.22%15.81%
10Y Return (Ann)9.45%13.26%
Sharpe Ratio0.813.62
Sortino Ratio1.224.77
Omega Ratio1.171.68
Calmar Ratio0.754.14
Martin Ratio2.8923.93
Ulcer Index5.57%1.83%
Daily Std Dev19.78%12.09%
Max Drawdown-73.51%-33.99%
Current Drawdown-17.76%-0.48%

Correlation

-0.50.00.51.00.4

The correlation between 0OFM.L and VOO is 0.37, 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

0OFM.L vs. VOO - Performance Comparison

In the year-to-date period, 0OFM.L achieves a 0.46% return, which is significantly lower than VOO's 23.64% return. Over the past 10 years, 0OFM.L has underperformed VOO with an annualized return of 9.45%, while VOO has yielded a comparatively higher 13.26% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
-8.47%
16.67%
0OFM.L
VOO

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Risk-Adjusted Performance

0OFM.L vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Compagnie Generale des Etablissements Michelin SCA (0OFM.L) 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.


0OFM.L
Sharpe ratio
The chart of Sharpe ratio for 0OFM.L, currently valued at 0.80, compared to the broader market-4.00-2.000.002.004.000.80
Sortino ratio
The chart of Sortino ratio for 0OFM.L, currently valued at 1.22, compared to the broader market-4.00-2.000.002.004.006.001.22
Omega ratio
The chart of Omega ratio for 0OFM.L, currently valued at 1.17, compared to the broader market0.501.001.502.001.17
Calmar ratio
The chart of Calmar ratio for 0OFM.L, currently valued at 0.64, compared to the broader market0.002.004.006.000.64
Martin ratio
The chart of Martin ratio for 0OFM.L, currently valued at 3.06, compared to the broader market-10.000.0010.0020.0030.003.06
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.00, compared to the broader market-4.00-2.000.002.004.003.00
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.00, compared to the broader market-4.00-2.000.002.004.006.004.00
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.57, compared to the broader market0.501.001.502.001.57
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.20, compared to the broader market0.002.004.006.004.20
Martin ratio
The chart of Martin ratio for VOO, currently valued at 19.43, compared to the broader market-10.000.0010.0020.0030.0019.43

0OFM.L vs. VOO - Sharpe Ratio Comparison

The current 0OFM.L Sharpe Ratio is 0.81, which is lower than the VOO Sharpe Ratio of 3.62. The chart below compares the historical Sharpe Ratios of 0OFM.L 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 Ratio0.501.001.502.002.503.003.504.00MayJuneJulyAugustSeptemberOctober
0.80
3.00
0OFM.L
VOO

Dividends

0OFM.L vs. VOO - Dividend Comparison

0OFM.L's dividend yield for the trailing twelve months is around 4.30%, more than VOO's 1.27% yield.


TTM20232022202120202019201820172016201520142013
0OFM.L
Compagnie Generale des Etablissements Michelin SCA
4.30%3.85%4.25%1.59%1.90%3.40%4.11%2.71%2.70%2.83%3.33%3.12%
VOO
Vanguard S&P 500 ETF
1.27%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

0OFM.L vs. VOO - Drawdown Comparison

The maximum 0OFM.L drawdown since its inception was -73.51%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for 0OFM.L and VOO. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-18.24%
-0.48%
0OFM.L
VOO

Volatility

0OFM.L vs. VOO - Volatility Comparison

Compagnie Generale des Etablissements Michelin SCA (0OFM.L) has a higher volatility of 9.32% compared to Vanguard S&P 500 ETF (VOO) at 2.68%. This indicates that 0OFM.L'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%MayJuneJulyAugustSeptemberOctober
9.32%
2.68%
0OFM.L
VOO