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ABBNY vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ABBNY and VOO is 0.62, 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.


Performance

ABBNY vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ABB Ltd (ABBNY) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

ABBNY:

0.30

VOO:

0.52

Sortino Ratio

ABBNY:

0.66

VOO:

0.89

Omega Ratio

ABBNY:

1.09

VOO:

1.13

Calmar Ratio

ABBNY:

0.48

VOO:

0.57

Martin Ratio

ABBNY:

1.47

VOO:

2.18

Ulcer Index

ABBNY:

6.68%

VOO:

4.85%

Daily Std Dev

ABBNY:

25.91%

VOO:

19.11%

Max Drawdown

ABBNY:

-93.98%

VOO:

-33.99%

Current Drawdown

ABBNY:

-7.25%

VOO:

-7.67%

Returns By Period

In the year-to-date period, ABBNY achieves a 2.26% return, which is significantly higher than VOO's -3.41% return. Over the past 10 years, ABBNY has outperformed VOO with an annualized return of 13.76%, while VOO has yielded a comparatively lower 12.42% annualized return.


ABBNY

YTD

2.26%

1M

8.00%

6M

-3.26%

1Y

6.55%

5Y*

28.81%

10Y*

13.76%

VOO

YTD

-3.41%

1M

7.59%

6M

-5.06%

1Y

9.79%

5Y*

15.86%

10Y*

12.42%

*Annualized

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Risk-Adjusted Performance

ABBNY vs. VOO — Risk-Adjusted Performance Rank

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

ABBNY
The Risk-Adjusted Performance Rank of ABBNY is 6464
Overall Rank
The Sharpe Ratio Rank of ABBNY is 6565
Sharpe Ratio Rank
The Sortino Ratio Rank of ABBNY is 5757
Sortino Ratio Rank
The Omega Ratio Rank of ABBNY is 5656
Omega Ratio Rank
The Calmar Ratio Rank of ABBNY is 7272
Calmar Ratio Rank
The Martin Ratio Rank of ABBNY is 6969
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 6464
Overall Rank
The Sharpe Ratio Rank of VOO is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 6262
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6565
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 6767
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6565
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.

ABBNY vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ABB Ltd (ABBNY) 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.


The current ABBNY Sharpe Ratio is 0.30, which is lower than the VOO Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of ABBNY 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.


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Dividends

ABBNY vs. VOO - Dividend Comparison

ABBNY's dividend yield for the trailing twelve months is around 1.82%, more than VOO's 1.34% yield.


TTM20242023202220212020201920182017201620152014
ABBNY
ABB Ltd
1.82%1.85%2.07%2.79%2.31%2.79%3.34%4.38%2.84%3.65%4.40%3.73%
VOO
Vanguard S&P 500 ETF
1.34%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

ABBNY vs. VOO - Drawdown Comparison

The maximum ABBNY drawdown since its inception was -93.98%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ABBNY and VOO. For additional features, visit the drawdowns tool.


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Volatility

ABBNY vs. VOO - Volatility Comparison

ABB Ltd (ABBNY) and Vanguard S&P 500 ETF (VOO) have volatilities of 6.54% and 6.83%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


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