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CVS vs. VYM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CVS and VYM is 0.56, 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.


-0.50.00.51.00.6

Performance

CVS vs. VYM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in CVS Health Corporation (CVS) and Vanguard High Dividend Yield ETF (VYM). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%250.00%300.00%350.00%JulyAugustSeptemberOctoberNovemberDecember
115.47%
342.28%
CVS
VYM

Key characteristics

Sharpe Ratio

CVS:

-1.11

VYM:

1.80

Sortino Ratio

CVS:

-1.53

VYM:

2.54

Omega Ratio

CVS:

0.78

VYM:

1.33

Calmar Ratio

CVS:

-0.71

VYM:

3.24

Martin Ratio

CVS:

-1.80

VYM:

10.75

Ulcer Index

CVS:

22.36%

VYM:

1.80%

Daily Std Dev

CVS:

36.17%

VYM:

10.78%

Max Drawdown

CVS:

-64.07%

VYM:

-56.98%

Current Drawdown

CVS:

-56.22%

VYM:

-4.93%

Returns By Period

In the year-to-date period, CVS achieves a -41.47% return, which is significantly lower than VYM's 17.16% return. Over the past 10 years, CVS has underperformed VYM with an annualized return of -5.09%, while VYM has yielded a comparatively higher 9.60% annualized return.


CVS

YTD

-41.47%

1M

-21.94%

6M

-26.09%

1Y

-41.22%

5Y*

-7.11%

10Y*

-5.09%

VYM

YTD

17.16%

1M

-3.32%

6M

8.47%

1Y

17.88%

5Y*

9.71%

10Y*

9.60%

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Risk-Adjusted Performance

CVS vs. VYM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for CVS Health Corporation (CVS) and Vanguard High Dividend Yield ETF (VYM). 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 CVS, currently valued at -1.11, compared to the broader market-4.00-2.000.002.00-1.111.80
The chart of Sortino ratio for CVS, currently valued at -1.53, compared to the broader market-4.00-2.000.002.004.00-1.532.54
The chart of Omega ratio for CVS, currently valued at 0.78, compared to the broader market0.501.001.502.000.781.33
The chart of Calmar ratio for CVS, currently valued at -0.71, compared to the broader market0.002.004.006.00-0.713.24
The chart of Martin ratio for CVS, currently valued at -1.80, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.8010.75
CVS
VYM

The current CVS Sharpe Ratio is -1.11, which is lower than the VYM Sharpe Ratio of 1.80. The chart below compares the historical Sharpe Ratios of CVS and VYM, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-1.11
1.80
CVS
VYM

Dividends

CVS vs. VYM - Dividend Comparison

CVS's dividend yield for the trailing twelve months is around 6.00%, more than VYM's 2.75% yield.


TTM20232022202120202019201820172016201520142013
CVS
CVS Health Corporation
6.00%3.06%2.36%1.94%2.93%2.69%3.05%2.76%2.15%1.43%1.14%1.26%
VYM
Vanguard High Dividend Yield ETF
2.75%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%

Drawdowns

CVS vs. VYM - Drawdown Comparison

The maximum CVS drawdown since its inception was -64.07%, which is greater than VYM's maximum drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for CVS and VYM. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-56.22%
-4.93%
CVS
VYM

Volatility

CVS vs. VYM - Volatility Comparison

CVS Health Corporation (CVS) has a higher volatility of 12.92% compared to Vanguard High Dividend Yield ETF (VYM) at 3.96%. This indicates that CVS's price experiences larger fluctuations and is considered to be riskier than VYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
12.92%
3.96%
CVS
VYM
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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.

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