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

Key characteristics


CALXVOO
YTD Return-13.62%23.64%
1Y Return14.50%42.02%
3Y Return (Ann)-15.57%9.92%
5Y Return (Ann)37.74%15.81%
10Y Return (Ann)13.35%13.26%
Sharpe Ratio0.363.62
Sortino Ratio0.724.77
Omega Ratio1.121.68
Calmar Ratio0.244.14
Martin Ratio0.7823.93
Ulcer Index19.70%1.83%
Daily Std Dev43.30%12.09%
Max Drawdown-80.95%-33.99%
Current Drawdown-52.81%-0.48%

Correlation

-0.50.00.51.00.5

The correlation between CALX and VOO is 0.46, 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

CALX vs. VOO - Performance Comparison

In the year-to-date period, CALX achieves a -13.62% return, which is significantly lower than VOO's 23.64% return. Both investments have delivered pretty close results over the past 10 years, with CALX having a 13.35% annualized return and VOO not far behind at 13.26%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%10.00%20.00%30.00%40.00%50.00%JuneJulyAugustSeptemberOctober
35.37%
17.05%
CALX
VOO

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Risk-Adjusted Performance

CALX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Calix, Inc. (CALX) 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.


CALX
Sharpe ratio
The chart of Sharpe ratio for CALX, currently valued at 0.36, compared to the broader market-4.00-2.000.002.004.000.36
Sortino ratio
The chart of Sortino ratio for CALX, currently valued at 0.72, compared to the broader market-4.00-2.000.002.004.006.000.72
Omega ratio
The chart of Omega ratio for CALX, currently valued at 1.12, compared to the broader market0.501.001.502.001.12
Calmar ratio
The chart of Calmar ratio for CALX, currently valued at 0.24, compared to the broader market0.002.004.006.000.24
Martin ratio
The chart of Martin ratio for CALX, currently valued at 0.78, compared to the broader market-10.000.0010.0020.0030.000.78
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.62, compared to the broader market-4.00-2.000.002.004.003.62
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.77, compared to the broader market-4.00-2.000.002.004.006.004.77
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.68, compared to the broader market0.501.001.502.001.68
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.14, compared to the broader market0.002.004.006.004.14
Martin ratio
The chart of Martin ratio for VOO, currently valued at 23.93, compared to the broader market-10.000.0010.0020.0030.0023.93

CALX vs. VOO - Sharpe Ratio Comparison

The current CALX Sharpe Ratio is 0.36, which is lower than the VOO Sharpe Ratio of 3.62. The chart below compares the historical Sharpe Ratios of CALX 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-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctober
0.36
3.62
CALX
VOO

Dividends

CALX vs. VOO - Dividend Comparison

CALX has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.27%.


TTM20232022202120202019201820172016201520142013
CALX
Calix, Inc.
0.00%0.00%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
1.27%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

CALX vs. VOO - Drawdown Comparison

The maximum CALX drawdown since its inception was -80.95%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for CALX 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%JuneJulyAugustSeptemberOctober
-52.81%
-0.48%
CALX
VOO

Volatility

CALX vs. VOO - Volatility Comparison

Calix, Inc. (CALX) has a higher volatility of 9.95% compared to Vanguard S&P 500 ETF (VOO) at 2.68%. This indicates that CALX'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.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctober
9.95%
2.68%
CALX
VOO