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

Key characteristics


CIBVOO
YTD Return13.77%27.26%
1Y Return32.87%37.86%
3Y Return (Ann)9.83%10.35%
5Y Return (Ann)-2.15%16.03%
10Y Return (Ann)-0.29%13.45%
Sharpe Ratio1.363.25
Sortino Ratio1.984.31
Omega Ratio1.231.61
Calmar Ratio0.894.74
Martin Ratio4.5421.63
Ulcer Index7.74%1.85%
Daily Std Dev25.79%12.25%
Max Drawdown-93.43%-33.99%
Current Drawdown-19.25%0.00%

Correlation

-0.50.00.51.00.4

The correlation between CIB and VOO is 0.41, 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

CIB vs. VOO - Performance Comparison

In the year-to-date period, CIB achieves a 13.77% return, which is significantly lower than VOO's 27.26% return. Over the past 10 years, CIB has underperformed VOO with an annualized return of -0.29%, while VOO has yielded a comparatively higher 13.45% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-1.58%
15.73%
CIB
VOO

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Risk-Adjusted Performance

CIB vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Bancolombia S.A. (CIB) 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.


CIB
Sharpe ratio
The chart of Sharpe ratio for CIB, currently valued at 1.36, compared to the broader market-4.00-2.000.002.004.001.36
Sortino ratio
The chart of Sortino ratio for CIB, currently valued at 1.98, compared to the broader market-4.00-2.000.002.004.006.001.98
Omega ratio
The chart of Omega ratio for CIB, currently valued at 1.23, compared to the broader market0.501.001.502.001.23
Calmar ratio
The chart of Calmar ratio for CIB, currently valued at 0.89, compared to the broader market0.002.004.006.000.89
Martin ratio
The chart of Martin ratio for CIB, currently valued at 4.54, compared to the broader market0.0010.0020.0030.004.54
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.25, compared to the broader market-4.00-2.000.002.004.003.25
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.31, compared to the broader market-4.00-2.000.002.004.006.004.31
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.61, compared to the broader market0.501.001.502.001.61
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.74, compared to the broader market0.002.004.006.004.74
Martin ratio
The chart of Martin ratio for VOO, currently valued at 21.63, compared to the broader market0.0010.0020.0030.0021.63

CIB vs. VOO - Sharpe Ratio Comparison

The current CIB Sharpe Ratio is 1.36, which is lower than the VOO Sharpe Ratio of 3.25. The chart below compares the historical Sharpe Ratios of CIB 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
1.36
3.25
CIB
VOO

Dividends

CIB vs. VOO - Dividend Comparison

CIB's dividend yield for the trailing twelve months is around 10.96%, more than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
CIB
Bancolombia S.A.
10.96%10.92%10.68%0.87%2.99%2.41%3.62%3.23%3.21%4.81%3.19%3.29%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

CIB vs. VOO - Drawdown Comparison

The maximum CIB drawdown since its inception was -93.43%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for CIB and VOO. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-19.25%
0
CIB
VOO

Volatility

CIB vs. VOO - Volatility Comparison

Bancolombia S.A. (CIB) has a higher volatility of 9.23% compared to Vanguard S&P 500 ETF (VOO) at 3.92%. This indicates that CIB'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%JuneJulyAugustSeptemberOctoberNovember
9.23%
3.92%
CIB
VOO