PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
BIIB vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between BIIB and VOO is 0.49, 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.


-0.50.00.51.00.5

Performance

BIIB vs. VOO - Performance Comparison

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

200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
178.93%
602.93%
BIIB
VOO

Key characteristics

Sharpe Ratio

BIIB:

-1.61

VOO:

2.25

Sortino Ratio

BIIB:

-2.42

VOO:

2.98

Omega Ratio

BIIB:

0.72

VOO:

1.42

Calmar Ratio

BIIB:

-0.62

VOO:

3.31

Martin Ratio

BIIB:

-1.71

VOO:

14.77

Ulcer Index

BIIB:

24.01%

VOO:

1.90%

Daily Std Dev

BIIB:

25.40%

VOO:

12.46%

Max Drawdown

BIIB:

-90.24%

VOO:

-33.99%

Current Drawdown

BIIB:

-66.59%

VOO:

-2.47%

Returns By Period

In the year-to-date period, BIIB achieves a -43.40% return, which is significantly lower than VOO's 26.02% return. Over the past 10 years, BIIB has underperformed VOO with an annualized return of -7.22%, while VOO has yielded a comparatively higher 13.08% annualized return.


BIIB

YTD

-43.40%

1M

-6.11%

6M

-34.61%

1Y

-42.30%

5Y*

-13.44%

10Y*

-7.22%

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

BIIB vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Biogen Inc. (BIIB) 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 BIIB, currently valued at -1.61, compared to the broader market-4.00-2.000.002.00-1.612.25
The chart of Sortino ratio for BIIB, currently valued at -2.42, compared to the broader market-4.00-2.000.002.004.00-2.422.98
The chart of Omega ratio for BIIB, currently valued at 0.72, compared to the broader market0.501.001.502.000.721.42
The chart of Calmar ratio for BIIB, currently valued at -0.62, compared to the broader market0.002.004.006.00-0.623.31
The chart of Martin ratio for BIIB, currently valued at -1.71, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.7114.77
BIIB
VOO

The current BIIB Sharpe Ratio is -1.61, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of BIIB 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 Ratio-2.00-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-1.61
2.25
BIIB
VOO

Dividends

BIIB vs. VOO - Dividend Comparison

BIIB has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 0.91%.


TTM20232022202120202019201820172016201520142013
BIIB
Biogen Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%6.98%0.00%0.00%0.00%0.00%
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

BIIB vs. VOO - Drawdown Comparison

The maximum BIIB drawdown since its inception was -90.24%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for BIIB and VOO. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-66.59%
-2.47%
BIIB
VOO

Volatility

BIIB vs. VOO - Volatility Comparison

Biogen Inc. (BIIB) has a higher volatility of 6.16% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that BIIB'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
6.16%
3.75%
BIIB
VOO
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab