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

Correlation

The correlation between COTY 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

COTY vs. VOO - Performance Comparison

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

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Key characteristics

Sharpe Ratio

COTY:

-1.43

VOO:

0.52

Sortino Ratio

COTY:

-2.42

VOO:

0.89

Omega Ratio

COTY:

0.71

VOO:

1.13

Calmar Ratio

COTY:

-0.69

VOO:

0.57

Martin Ratio

COTY:

-1.71

VOO:

2.18

Ulcer Index

COTY:

33.70%

VOO:

4.85%

Daily Std Dev

COTY:

40.75%

VOO:

19.11%

Max Drawdown

COTY:

-90.59%

VOO:

-33.99%

Current Drawdown

COTY:

-83.34%

VOO:

-7.67%

Returns By Period

In the year-to-date period, COTY achieves a -32.61% return, which is significantly lower than VOO's -3.41% return. Over the past 10 years, COTY has underperformed VOO with an annualized return of -13.65%, while VOO has yielded a comparatively higher 12.42% annualized return.


COTY

YTD

-32.61%

1M

-8.75%

6M

-34.50%

1Y

-58.01%

5Y*

-0.38%

10Y*

-13.65%

VOO

YTD

-3.41%

1M

7.59%

6M

-5.06%

1Y

9.79%

5Y*

15.86%

10Y*

12.42%

*Annualized

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Risk-Adjusted Performance

COTY vs. VOO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

COTY
The Risk-Adjusted Performance Rank of COTY is 33
Overall Rank
The Sharpe Ratio Rank of COTY is 00
Sharpe Ratio Rank
The Sortino Ratio Rank of COTY is 11
Sortino Ratio Rank
The Omega Ratio Rank of COTY is 22
Omega Ratio Rank
The Calmar Ratio Rank of COTY is 1010
Calmar Ratio Rank
The Martin Ratio Rank of COTY is 33
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 6464
Overall Rank
The Sharpe Ratio Rank of VOO is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 6262
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6565
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 6767
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6565
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

COTY vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Coty Inc. (COTY) 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.


The current COTY Sharpe Ratio is -1.43, which is lower than the VOO Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of COTY 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.


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Dividends

COTY vs. VOO - Dividend Comparison

COTY has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.34%.


TTM20242023202220212020201920182017201620152014
COTY
Coty Inc.
0.00%0.00%0.00%0.00%0.00%1.78%4.44%7.62%2.51%2.18%0.98%0.97%
VOO
Vanguard S&P 500 ETF
1.34%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

COTY vs. VOO - Drawdown Comparison

The maximum COTY drawdown since its inception was -90.59%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for COTY and VOO. For additional features, visit the drawdowns tool.


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Volatility

COTY vs. VOO - Volatility Comparison

Coty Inc. (COTY) has a higher volatility of 17.91% compared to Vanguard S&P 500 ETF (VOO) at 6.83%. This indicates that COTY'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.


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