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

Correlation

The correlation between ADP and VOO is 0.69, 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.


-0.50.00.51.00.7

Performance

ADP vs. VOO - Performance Comparison

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

500.00%600.00%700.00%800.00%900.00%1,000.00%1,100.00%JulyAugustSeptemberOctoberNovemberDecember
1,070.01%
602.93%
ADP
VOO

Key characteristics

Sharpe Ratio

ADP:

1.93

VOO:

2.25

Sortino Ratio

ADP:

2.67

VOO:

2.98

Omega Ratio

ADP:

1.35

VOO:

1.42

Calmar Ratio

ADP:

2.29

VOO:

3.31

Martin Ratio

ADP:

10.76

VOO:

14.77

Ulcer Index

ADP:

2.73%

VOO:

1.90%

Daily Std Dev

ADP:

15.25%

VOO:

12.46%

Max Drawdown

ADP:

-59.50%

VOO:

-33.99%

Current Drawdown

ADP:

-4.03%

VOO:

-2.47%

Returns By Period

In the year-to-date period, ADP achieves a 28.98% return, which is significantly higher than VOO's 26.02% return. Over the past 10 years, ADP has outperformed VOO with an annualized return of 15.71%, while VOO has yielded a comparatively lower 13.08% annualized return.


ADP

YTD

28.98%

1M

-1.02%

6M

19.79%

1Y

31.22%

5Y*

13.85%

10Y*

15.71%

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

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Risk-Adjusted Performance

ADP vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Automatic Data Processing, Inc. (ADP) 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.


Sharpe ratio
The chart of Sharpe ratio for ADP, currently valued at 1.93, compared to the broader market-4.00-2.000.002.001.932.25
The chart of Sortino ratio for ADP, currently valued at 2.67, compared to the broader market-4.00-2.000.002.004.002.672.98
The chart of Omega ratio for ADP, currently valued at 1.35, compared to the broader market0.501.001.502.001.351.42
The chart of Calmar ratio for ADP, currently valued at 2.29, compared to the broader market0.002.004.006.002.293.31
The chart of Martin ratio for ADP, currently valued at 10.76, compared to the broader market-5.000.005.0010.0015.0020.0025.0010.7614.77
ADP
VOO

The current ADP Sharpe Ratio is 1.93, which is comparable to the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of ADP 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.93
2.25
ADP
VOO

Dividends

ADP vs. VOO - Dividend Comparison

ADP's dividend yield for the trailing twelve months is around 1.95%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
ADP
Automatic Data Processing, Inc.
1.95%2.21%1.83%1.55%2.08%1.92%2.14%2.00%2.10%2.36%2.10%2.21%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

ADP vs. VOO - Drawdown Comparison

The maximum ADP drawdown since its inception was -59.50%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ADP and VOO. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.03%
-2.47%
ADP
VOO

Volatility

ADP vs. VOO - Volatility Comparison

Automatic Data Processing, Inc. (ADP) has a higher volatility of 4.96% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that ADP'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%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.96%
3.75%
ADP
VOO
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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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