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

Correlation

The correlation between BMO and VOO is 0.62, 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

BMO vs. VOO - Performance Comparison

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

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Key characteristics

Sharpe Ratio

BMO:

0.53

VOO:

0.52

Sortino Ratio

BMO:

0.87

VOO:

0.89

Omega Ratio

BMO:

1.14

VOO:

1.13

Calmar Ratio

BMO:

0.49

VOO:

0.57

Martin Ratio

BMO:

1.74

VOO:

2.18

Ulcer Index

BMO:

7.75%

VOO:

4.85%

Daily Std Dev

BMO:

22.82%

VOO:

19.11%

Max Drawdown

BMO:

-68.43%

VOO:

-33.99%

Current Drawdown

BMO:

-5.30%

VOO:

-7.67%

Returns By Period

In the year-to-date period, BMO achieves a 4.98% return, which is significantly higher than VOO's -3.41% return. Over the past 10 years, BMO has underperformed VOO with an annualized return of 8.97%, while VOO has yielded a comparatively higher 12.42% annualized return.


BMO

YTD

4.98%

1M

9.84%

6M

9.66%

1Y

12.11%

5Y*

20.53%

10Y*

8.97%

VOO

YTD

-3.41%

1M

3.92%

6M

-5.06%

1Y

9.92%

5Y*

15.85%

10Y*

12.42%

*Annualized

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Risk-Adjusted Performance

BMO vs. VOO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

BMO
The Risk-Adjusted Performance Rank of BMO is 6969
Overall Rank
The Sharpe Ratio Rank of BMO is 7272
Sharpe Ratio Rank
The Sortino Ratio Rank of BMO is 6262
Sortino Ratio Rank
The Omega Ratio Rank of BMO is 6666
Omega Ratio Rank
The Calmar Ratio Rank of BMO is 7272
Calmar Ratio Rank
The Martin Ratio Rank of BMO is 7171
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 6363
Overall Rank
The Sharpe Ratio Rank of VOO is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 6262
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6464
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 6767
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6464
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

BMO vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Bank of Montreal (BMO) 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.


The current BMO Sharpe Ratio is 0.53, which is comparable to the VOO Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of BMO 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.


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Dividends

BMO vs. VOO - Dividend Comparison

BMO's dividend yield for the trailing twelve months is around 4.51%, more than VOO's 1.34% yield.


TTM20242023202220212020201920182017201620152014
BMO
Bank of Montreal
4.51%4.62%4.34%4.64%3.16%4.12%3.96%4.52%3.42%3.56%4.53%3.94%
VOO
Vanguard S&P 500 ETF
1.34%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

BMO vs. VOO - Drawdown Comparison

The maximum BMO drawdown since its inception was -68.43%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for BMO and VOO. For additional features, visit the drawdowns tool.


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Volatility

BMO vs. VOO - Volatility Comparison


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