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

Correlation

The correlation between ALL and VOO is 0.55, 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.


-0.50.00.51.00.6

Performance

ALL vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in The Allstate Corporation (ALL) 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%JulyAugustSeptemberOctoberNovemberDecember
805.72%
602.93%
ALL
VOO

Key characteristics

Sharpe Ratio

ALL:

2.19

VOO:

2.25

Sortino Ratio

ALL:

2.97

VOO:

2.98

Omega Ratio

ALL:

1.38

VOO:

1.42

Calmar Ratio

ALL:

4.59

VOO:

3.31

Martin Ratio

ALL:

12.29

VOO:

14.77

Ulcer Index

ALL:

3.72%

VOO:

1.90%

Daily Std Dev

ALL:

20.85%

VOO:

12.46%

Max Drawdown

ALL:

-77.03%

VOO:

-33.99%

Current Drawdown

ALL:

-6.67%

VOO:

-2.47%

Returns By Period

In the year-to-date period, ALL achieves a 41.17% return, which is significantly higher than VOO's 26.02% return. Both investments have delivered pretty close results over the past 10 years, with ALL having a 13.07% annualized return and VOO not far ahead at 13.08%.


ALL

YTD

41.17%

1M

-1.46%

6M

21.72%

1Y

45.94%

5Y*

14.50%

10Y*

13.07%

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

ALL vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Allstate Corporation (ALL) 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 ALL, currently valued at 2.19, compared to the broader market-4.00-2.000.002.002.192.25
The chart of Sortino ratio for ALL, currently valued at 2.97, compared to the broader market-4.00-2.000.002.004.002.972.98
The chart of Omega ratio for ALL, currently valued at 1.38, compared to the broader market0.501.001.502.001.381.42
The chart of Calmar ratio for ALL, currently valued at 4.59, compared to the broader market0.002.004.006.004.593.31
The chart of Martin ratio for ALL, currently valued at 12.29, compared to the broader market-5.000.005.0010.0015.0020.0025.0012.2914.77
ALL
VOO

The current ALL Sharpe Ratio is 2.19, which is comparable to the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of ALL 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 Ratio1.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
2.19
2.25
ALL
VOO

Dividends

ALL vs. VOO - Dividend Comparison

ALL's dividend yield for the trailing twelve months is around 1.90%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
ALL
The Allstate Corporation
1.90%2.54%2.51%2.75%1.96%1.78%2.23%1.41%1.78%1.93%1.59%1.83%
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

ALL vs. VOO - Drawdown Comparison

The maximum ALL drawdown since its inception was -77.03%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ALL and VOO. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.67%
-2.47%
ALL
VOO

Volatility

ALL vs. VOO - Volatility Comparison

The Allstate Corporation (ALL) has a higher volatility of 6.94% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that ALL'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%JulyAugustSeptemberOctoberNovemberDecember
6.94%
3.75%
ALL
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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