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

Correlation

The correlation between DD and VOO is 0.62, 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

DD vs. VOO - Performance Comparison

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

20.00%40.00%60.00%80.00%100.00%120.00%140.00%JulyAugustSeptemberOctoberNovemberDecember
12.89%
136.36%
DD
VOO

Key characteristics

Sharpe Ratio

DD:

0.29

VOO:

2.25

Sortino Ratio

DD:

0.56

VOO:

2.98

Omega Ratio

DD:

1.09

VOO:

1.42

Calmar Ratio

DD:

0.30

VOO:

3.31

Martin Ratio

DD:

1.16

VOO:

14.77

Ulcer Index

DD:

6.51%

VOO:

1.90%

Daily Std Dev

DD:

25.97%

VOO:

12.46%

Max Drawdown

DD:

-62.03%

VOO:

-33.99%

Current Drawdown

DD:

-13.30%

VOO:

-2.47%

Returns By Period

In the year-to-date period, DD achieves a 2.41% return, which is significantly lower than VOO's 26.02% return.


DD

YTD

2.41%

1M

-5.15%

6M

-2.31%

1Y

5.95%

5Y*

6.04%

10Y*

N/A

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

DD vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DuPont de Nemours, Inc. (DD) 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 DD, currently valued at 0.29, compared to the broader market-4.00-2.000.002.000.292.25
The chart of Sortino ratio for DD, currently valued at 0.56, compared to the broader market-4.00-2.000.002.004.000.562.98
The chart of Omega ratio for DD, currently valued at 1.09, compared to the broader market0.501.001.502.001.091.42
The chart of Calmar ratio for DD, currently valued at 0.30, compared to the broader market0.002.004.006.000.303.31
The chart of Martin ratio for DD, currently valued at 1.16, compared to the broader market-5.000.005.0010.0015.0020.0025.001.1614.77
DD
VOO

The current DD Sharpe Ratio is 0.29, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of DD 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
0.29
2.25
DD
VOO

Dividends

DD vs. VOO - Dividend Comparison

DD's dividend yield for the trailing twelve months is around 1.97%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
DD
DuPont de Nemours, Inc.
1.97%1.87%1.92%1.49%1.69%0.93%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

DD vs. VOO - Drawdown Comparison

The maximum DD drawdown since its inception was -62.03%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for DD and VOO. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-13.30%
-2.47%
DD
VOO

Volatility

DD vs. VOO - Volatility Comparison

DuPont de Nemours, Inc. (DD) has a higher volatility of 4.98% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that DD'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%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.98%
3.75%
DD
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