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

Performance

COMP vs. VOO - Performance Comparison

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

-20.00%0.00%20.00%40.00%60.00%JuneJulyAugustSeptemberOctoberNovember
64.94%
12.86%
COMP
VOO

Returns By Period

In the year-to-date period, COMP achieves a 78.99% return, which is significantly higher than VOO's 26.16% return.


COMP

YTD

78.99%

1M

18.07%

6M

66.58%

1Y

218.96%

5Y (annualized)

N/A

10Y (annualized)

N/A

VOO

YTD

26.16%

1M

1.77%

6M

13.62%

1Y

32.33%

5Y (annualized)

15.68%

10Y (annualized)

13.18%

Key characteristics


COMPVOO
Sharpe Ratio3.412.70
Sortino Ratio3.793.60
Omega Ratio1.441.50
Calmar Ratio2.623.90
Martin Ratio20.8717.65
Ulcer Index11.25%1.86%
Daily Std Dev68.96%12.19%
Max Drawdown-90.82%-33.99%
Current Drawdown-66.60%-0.86%

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Correlation

-0.50.00.51.00.5

The correlation between COMP and VOO is 0.48, 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.

Risk-Adjusted Performance

COMP vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Compass, Inc. (COMP) 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 COMP, currently valued at 3.41, compared to the broader market-4.00-2.000.002.004.003.412.70
The chart of Sortino ratio for COMP, currently valued at 3.79, compared to the broader market-4.00-2.000.002.004.003.793.60
The chart of Omega ratio for COMP, currently valued at 1.44, compared to the broader market0.501.001.502.001.441.50
The chart of Calmar ratio for COMP, currently valued at 2.62, compared to the broader market0.002.004.006.002.623.90
The chart of Martin ratio for COMP, currently valued at 20.87, compared to the broader market0.0010.0020.0030.0020.8717.65
COMP
VOO

The current COMP Sharpe Ratio is 3.41, which is comparable to the VOO Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of COMP 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
3.41
2.70
COMP
VOO

Dividends

COMP vs. VOO - Dividend Comparison

COMP has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.24%.


TTM20232022202120202019201820172016201520142013
COMP
Compass, 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
1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

COMP vs. VOO - Drawdown Comparison

The maximum COMP drawdown since its inception was -90.82%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for COMP and VOO. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-66.60%
-0.86%
COMP
VOO

Volatility

COMP vs. VOO - Volatility Comparison

Compass, Inc. (COMP) has a higher volatility of 19.53% compared to Vanguard S&P 500 ETF (VOO) at 3.99%. This indicates that COMP'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%JuneJulyAugustSeptemberOctoberNovember
19.53%
3.99%
COMP
VOO