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

Correlation

The correlation between CGEN and VOO is 0.33, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.3

Performance

CGEN vs. VOO - Performance Comparison

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

0.00%200.00%400.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
-63.13%
602.93%
CGEN
VOO

Key characteristics

Sharpe Ratio

CGEN:

-0.24

VOO:

2.25

Sortino Ratio

CGEN:

0.14

VOO:

2.98

Omega Ratio

CGEN:

1.02

VOO:

1.42

Calmar Ratio

CGEN:

-0.19

VOO:

3.31

Martin Ratio

CGEN:

-0.53

VOO:

14.77

Ulcer Index

CGEN:

32.90%

VOO:

1.90%

Daily Std Dev

CGEN:

72.47%

VOO:

12.46%

Max Drawdown

CGEN:

-97.90%

VOO:

-33.99%

Current Drawdown

CGEN:

-92.13%

VOO:

-2.47%

Returns By Period

In the year-to-date period, CGEN achieves a -22.73% return, which is significantly lower than VOO's 26.02% return. Over the past 10 years, CGEN has underperformed VOO with an annualized return of -16.03%, while VOO has yielded a comparatively higher 13.08% annualized return.


CGEN

YTD

-22.73%

1M

6.99%

6M

-22.34%

1Y

-12.07%

5Y*

-22.94%

10Y*

-16.03%

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

CGEN vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Compugen Ltd. (CGEN) 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 CGEN, currently valued at -0.24, compared to the broader market-4.00-2.000.002.00-0.242.25
The chart of Sortino ratio for CGEN, currently valued at 0.14, compared to the broader market-4.00-2.000.002.004.000.142.98
The chart of Omega ratio for CGEN, currently valued at 1.02, compared to the broader market0.501.001.502.001.021.42
The chart of Calmar ratio for CGEN, currently valued at -0.19, compared to the broader market0.002.004.006.00-0.193.31
The chart of Martin ratio for CGEN, currently valued at -0.53, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.5314.77
CGEN
VOO

The current CGEN Sharpe Ratio is -0.24, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of CGEN 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.24
2.25
CGEN
VOO

Dividends

CGEN vs. VOO - Dividend Comparison

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


TTM20232022202120202019201820172016201520142013
CGEN
Compugen Ltd.
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
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

CGEN vs. VOO - Drawdown Comparison

The maximum CGEN drawdown since its inception was -97.90%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for CGEN and VOO. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-92.13%
-2.47%
CGEN
VOO

Volatility

CGEN vs. VOO - Volatility Comparison

Compugen Ltd. (CGEN) has a higher volatility of 14.61% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that CGEN'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%20.00%25.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
14.61%
3.75%
CGEN
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