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

Key characteristics


ABBNYVOO
YTD Return32.59%26.59%
1Y Return68.74%38.23%
3Y Return (Ann)23.32%9.99%
5Y Return (Ann)26.53%15.91%
10Y Return (Ann)14.38%13.40%
Sharpe Ratio3.373.11
Sortino Ratio4.034.14
Omega Ratio1.561.58
Calmar Ratio4.944.54
Martin Ratio20.1120.72
Ulcer Index3.51%1.85%
Daily Std Dev20.96%12.33%
Max Drawdown-93.98%-33.99%
Current Drawdown-3.23%0.00%

Correlation

-0.50.00.51.00.6

The correlation between ABBNY and VOO is 0.64, 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

In the year-to-date period, ABBNY achieves a 32.59% return, which is significantly higher than VOO's 26.59% return. Over the past 10 years, ABBNY has outperformed VOO with an annualized return of 14.38%, while VOO has yielded a comparatively lower 13.40% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
11.23%
15.27%
ABBNY
VOO

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Risk-Adjusted Performance

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.


ABBNY
Sharpe ratio
The chart of Sharpe ratio for ABBNY, currently valued at 3.37, compared to the broader market-4.00-2.000.002.004.003.37
Sortino ratio
The chart of Sortino ratio for ABBNY, currently valued at 4.03, compared to the broader market-4.00-2.000.002.004.004.03
Omega ratio
The chart of Omega ratio for ABBNY, currently valued at 1.56, compared to the broader market0.501.001.502.001.56
Calmar ratio
The chart of Calmar ratio for ABBNY, currently valued at 4.94, compared to the broader market0.002.004.006.004.94
Martin ratio
The chart of Martin ratio for ABBNY, currently valued at 20.11, compared to the broader market-10.000.0010.0020.0030.0020.11
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.11, compared to the broader market-4.00-2.000.002.004.003.11
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.14, compared to the broader market-4.00-2.000.002.004.004.14
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.58, compared to the broader market0.501.001.502.001.58
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.54, compared to the broader market0.002.004.006.004.54
Martin ratio
The chart of Martin ratio for VOO, currently valued at 20.72, compared to the broader market-10.000.0010.0020.0030.0020.72

ABBNY vs. VOO - Sharpe Ratio Comparison

The current ABBNY Sharpe Ratio is 3.37, which is comparable to the VOO Sharpe Ratio of 3.11. 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.


Rolling 12-month Sharpe Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.37
3.11
ABBNY
VOO

Dividends

ABBNY vs. VOO - Dividend Comparison

ABBNY's dividend yield for the trailing twelve months is around 1.74%, more than VOO's 1.24% yield.


TTM20232022202120202019201820172016201520142013
ABBNY
ABB Ltd
1.74%2.07%2.91%2.41%2.91%3.48%4.57%2.96%3.80%4.59%3.89%2.92%
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

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.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.23%
0
ABBNY
VOO

Volatility

ABBNY vs. VOO - Volatility Comparison

ABB Ltd (ABBNY) has a higher volatility of 6.26% compared to Vanguard S&P 500 ETF (VOO) at 3.95%. This indicates that ABBNY'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
6.26%
3.95%
ABBNY
VOO