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

Correlation

The correlation between BRAZ and VOO is 0.40, 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.


-0.50.00.51.00.4

Performance

BRAZ vs. VOO - Performance Comparison

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

-20.00%-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
-14.03%
7.93%
BRAZ
VOO

Key characteristics

Sharpe Ratio

BRAZ:

-1.33

VOO:

2.04

Sortino Ratio

BRAZ:

-1.84

VOO:

2.72

Omega Ratio

BRAZ:

0.79

VOO:

1.38

Calmar Ratio

BRAZ:

-0.93

VOO:

3.02

Martin Ratio

BRAZ:

-2.09

VOO:

13.60

Ulcer Index

BRAZ:

13.76%

VOO:

1.88%

Daily Std Dev

BRAZ:

21.57%

VOO:

12.52%

Max Drawdown

BRAZ:

-31.01%

VOO:

-33.99%

Current Drawdown

BRAZ:

-31.01%

VOO:

-3.52%

Returns By Period

In the year-to-date period, BRAZ achieves a -30.43% return, which is significantly lower than VOO's 24.65% return.


BRAZ

YTD

-30.43%

1M

-14.79%

6M

-13.58%

1Y

-29.68%

5Y*

N/A

10Y*

N/A

VOO

YTD

24.65%

1M

-0.29%

6M

7.63%

1Y

24.77%

5Y*

14.57%

10Y*

13.02%

Compare stocks, funds, or ETFs

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


BRAZ vs. VOO - Expense Ratio Comparison

BRAZ has a 0.75% expense ratio, which is higher than VOO's 0.03% expense ratio.


BRAZ
Global X Brazil Active ETF
Expense ratio chart for BRAZ: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

BRAZ vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X Brazil Active ETF (BRAZ) 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 BRAZ, currently valued at -1.34, compared to the broader market0.002.004.00-1.342.04
The chart of Sortino ratio for BRAZ, currently valued at -1.86, compared to the broader market-2.000.002.004.006.008.0010.00-1.862.72
The chart of Omega ratio for BRAZ, currently valued at 0.78, compared to the broader market0.501.001.502.002.503.000.781.38
The chart of Calmar ratio for BRAZ, currently valued at -0.93, compared to the broader market0.005.0010.0015.00-0.933.02
The chart of Martin ratio for BRAZ, currently valued at -2.09, compared to the broader market0.0020.0040.0060.0080.00100.00-2.0913.60
BRAZ
VOO

The current BRAZ Sharpe Ratio is -1.33, which is lower than the VOO Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of BRAZ 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-1.000.001.002.003.004.00Aug 25SeptemberSep 08Sep 15Sep 22Sep 29Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10Nov 17Nov 24DecemberDec 08Dec 15
-1.34
2.04
BRAZ
VOO

Dividends

BRAZ vs. VOO - Dividend Comparison

BRAZ's dividend yield for the trailing twelve months is around 4.60%, more than VOO's 1.26% yield.


TTM20232022202120202019201820172016201520142013
BRAZ
Global X Brazil Active ETF
4.60%1.88%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
0.92%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

BRAZ vs. VOO - Drawdown Comparison

The maximum BRAZ drawdown since its inception was -31.01%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for BRAZ and VOO. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-31.01%
-3.52%
BRAZ
VOO

Volatility

BRAZ vs. VOO - Volatility Comparison

Global X Brazil Active ETF (BRAZ) has a higher volatility of 10.07% compared to Vanguard S&P 500 ETF (VOO) at 3.58%. This indicates that BRAZ'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
10.07%
3.58%
BRAZ
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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