AUSF vs. VOO
Compare and contrast key facts about Global X Adaptive U.S. Factor ETF (AUSF) and Vanguard S&P 500 ETF (VOO).
AUSF and VOO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. AUSF is a passively managed fund by Global X that tracks the performance of the Adaptive Wealth Strategies U.S. Factor Index (USD). It was launched on Aug 24, 2018. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010. Both AUSF and VOO are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AUSF or VOO.
Performance
AUSF vs. VOO - Performance Comparison
Returns By Period
In the year-to-date period, AUSF achieves a 19.70% return, which is significantly lower than VOO's 25.52% return.
AUSF
19.70%
0.99%
9.94%
30.82%
14.19%
N/A
VOO
25.52%
1.19%
12.21%
32.23%
15.58%
13.15%
Key characteristics
| AUSF | VOO | |
|---|---|---|
| Sharpe Ratio | 2.48 | 2.62 |
| Sortino Ratio | 3.62 | 3.50 |
| Omega Ratio | 1.45 | 1.49 |
| Calmar Ratio | 5.56 | 3.78 |
| Martin Ratio | 15.33 | 17.12 |
| Ulcer Index | 1.94% | 1.86% |
| Daily Std Dev | 12.01% | 12.19% |
| Max Drawdown | -44.24% | -33.99% |
| Current Drawdown | -1.90% | -1.36% |
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AUSF vs. VOO - Expense Ratio Comparison
AUSF has a 0.27% expense ratio, which is higher than VOO's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Correlation
The correlation between AUSF and VOO is 0.79, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
AUSF vs. VOO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X Adaptive U.S. Factor ETF (AUSF) 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.
Dividends
AUSF vs. VOO - Dividend Comparison
AUSF's dividend yield for the trailing twelve months is around 2.22%, more than VOO's 1.25% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AUSF Global X Adaptive U.S. Factor ETF | 2.22% | 1.83% | 1.99% | 2.22% | 2.95% | 4.03% | 1.47% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.25% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
Drawdowns
AUSF vs. VOO - Drawdown Comparison
The maximum AUSF drawdown since its inception was -44.24%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for AUSF and VOO. For additional features, visit the drawdowns tool.
Volatility
AUSF vs. VOO - Volatility Comparison
Global X Adaptive U.S. Factor ETF (AUSF) and Vanguard S&P 500 ETF (VOO) have volatilities of 4.27% and 4.10%, 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.