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AA vs. VTI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between AA and VTI is 0.48, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

AA vs. VTI - Performance Comparison

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

-30.00%-20.00%-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
-5.52%
8.78%
AA
VTI

Key characteristics

Sharpe Ratio

AA:

0.29

VTI:

1.92

Sortino Ratio

AA:

0.76

VTI:

2.56

Omega Ratio

AA:

1.09

VTI:

1.35

Calmar Ratio

AA:

0.20

VTI:

2.88

Martin Ratio

AA:

0.89

VTI:

12.48

Ulcer Index

AA:

16.07%

VTI:

1.98%

Daily Std Dev

AA:

48.72%

VTI:

12.86%

Max Drawdown

AA:

-90.90%

VTI:

-55.45%

Current Drawdown

AA:

-60.31%

VTI:

-3.99%

Returns By Period

In the year-to-date period, AA achieves a 8.98% return, which is significantly lower than VTI's 23.66% return.


AA

YTD

8.98%

1M

-19.69%

6M

-5.52%

1Y

20.89%

5Y*

12.29%

10Y*

N/A

VTI

YTD

23.66%

1M

-0.38%

6M

8.51%

1Y

23.75%

5Y*

13.89%

10Y*

12.48%

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Risk-Adjusted Performance

AA vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Alcoa Corporation (AA) 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 AA, currently valued at 0.29, compared to the broader market-4.00-2.000.002.000.291.85
The chart of Sortino ratio for AA, currently valued at 0.76, compared to the broader market-4.00-2.000.002.004.000.762.48
The chart of Omega ratio for AA, currently valued at 1.09, compared to the broader market0.501.001.502.001.091.34
The chart of Calmar ratio for AA, currently valued at 0.20, compared to the broader market0.002.004.006.000.202.77
The chart of Martin ratio for AA, currently valued at 0.89, compared to the broader market0.0010.0020.000.8911.94
AA
VTI

The current AA Sharpe Ratio is 0.29, which is lower than the VTI Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of AA 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
0.29
1.85
AA
VTI

Dividends

AA vs. VTI - Dividend Comparison

AA's dividend yield for the trailing twelve months is around 1.09%, less than VTI's 1.29% yield.


TTM20232022202120202019201820172016201520142013
AA
Alcoa Corporation
1.09%1.18%0.88%0.17%0.00%0.00%0.00%0.00%0.32%0.00%0.00%0.00%
VTI
Vanguard Total Stock Market ETF
1.29%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

AA vs. VTI - Drawdown Comparison

The maximum AA drawdown since its inception was -90.90%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for AA and VTI. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-60.31%
-3.99%
AA
VTI

Volatility

AA vs. VTI - Volatility Comparison

Alcoa Corporation (AA) has a higher volatility of 11.26% compared to Vanguard Total Stock Market ETF (VTI) at 3.82%. This indicates that AA's price experiences larger fluctuations and is considered to be riskier than VTI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
11.26%
3.82%
AA
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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