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

Correlation

The correlation between BN and VOO is 0.68, 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

BN vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Brookfield Corp (BN) 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

BN:

1.01

VOO:

0.72

Sortino Ratio

BN:

1.49

VOO:

1.20

Omega Ratio

BN:

1.20

VOO:

1.18

Calmar Ratio

BN:

1.25

VOO:

0.81

Martin Ratio

BN:

4.09

VOO:

3.09

Ulcer Index

BN:

8.49%

VOO:

4.88%

Daily Std Dev

BN:

34.75%

VOO:

19.37%

Max Drawdown

BN:

-72.49%

VOO:

-33.99%

Current Drawdown

BN:

-3.53%

VOO:

-2.75%

Returns By Period

In the year-to-date period, BN achieves a 4.20% return, which is significantly higher than VOO's 1.73% return. Over the past 10 years, BN has outperformed VOO with an annualized return of 13.56%, while VOO has yielded a comparatively lower 12.85% annualized return.


BN

YTD

4.20%

1M

22.36%

6M

5.55%

1Y

34.76%

5Y*

21.17%

10Y*

13.56%

VOO

YTD

1.73%

1M

13.04%

6M

2.12%

1Y

13.91%

5Y*

17.57%

10Y*

12.85%

*Annualized

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Risk-Adjusted Performance

BN vs. VOO — Risk-Adjusted Performance Rank

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

BN
The Risk-Adjusted Performance Rank of BN is 8181
Overall Rank
The Sharpe Ratio Rank of BN is 8484
Sharpe Ratio Rank
The Sortino Ratio Rank of BN is 7777
Sortino Ratio Rank
The Omega Ratio Rank of BN is 7777
Omega Ratio Rank
The Calmar Ratio Rank of BN is 8787
Calmar Ratio Rank
The Martin Ratio Rank of BN is 8383
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 7272
Overall Rank
The Sharpe Ratio Rank of VOO is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 7171
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 7474
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 7373
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 7272
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.

BN vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Brookfield Corp (BN) 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 BN Sharpe Ratio is 1.01, which is higher than the VOO Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of BN 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

BN vs. VOO - Dividend Comparison

BN's dividend yield for the trailing twelve months is around 0.55%, less than VOO's 1.28% yield.


TTM20242023202220212020201920182017201620152014
BN
Brookfield Corp
0.55%0.56%0.87%1.89%0.86%1.16%1.45%1.57%1.69%1.58%1.98%1.76%
VOO
Vanguard S&P 500 ETF
1.28%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

BN vs. VOO - Drawdown Comparison

The maximum BN drawdown since its inception was -72.49%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for BN and VOO. For additional features, visit the drawdowns tool.


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Volatility

BN vs. VOO - Volatility Comparison

Brookfield Corp (BN) has a higher volatility of 8.66% compared to Vanguard S&P 500 ETF (VOO) at 5.49%. This indicates that BN'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.


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