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

Key characteristics


DYVOO
YTD Return52.23%21.37%
1Y Return107.58%33.27%
3Y Return (Ann)29.84%8.64%
5Y Return (Ann)28.39%15.10%
10Y Return (Ann)18.99%12.97%
Sharpe Ratio3.173.04
Sortino Ratio4.064.03
Omega Ratio1.531.57
Calmar Ratio3.414.39
Martin Ratio25.6020.12
Ulcer Index4.46%1.84%
Daily Std Dev36.07%12.19%
Max Drawdown-93.54%-33.99%
Current Drawdown-13.62%-2.31%

Correlation

-0.50.00.51.00.5

The correlation between DY and VOO is 0.53, 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

DY vs. VOO - Performance Comparison

In the year-to-date period, DY achieves a 52.23% return, which is significantly higher than VOO's 21.37% return. Over the past 10 years, DY has outperformed VOO with an annualized return of 18.99%, while VOO has yielded a comparatively lower 12.97% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


500.00%1,000.00%1,500.00%2,000.00%JuneJulyAugustSeptemberOctoberNovember
2,028.80%
577.00%
DY
VOO

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Risk-Adjusted Performance

DY vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dycom Industries, Inc. (DY) 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.


DY
Sharpe ratio
The chart of Sharpe ratio for DY, currently valued at 3.17, compared to the broader market-4.00-2.000.002.004.003.17
Sortino ratio
The chart of Sortino ratio for DY, currently valued at 4.06, compared to the broader market-4.00-2.000.002.004.004.06
Omega ratio
The chart of Omega ratio for DY, currently valued at 1.53, compared to the broader market0.501.001.502.001.53
Calmar ratio
The chart of Calmar ratio for DY, currently valued at 3.41, compared to the broader market0.002.004.006.003.41
Martin ratio
The chart of Martin ratio for DY, currently valued at 25.60, compared to the broader market0.0010.0020.0030.0025.60
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.04, compared to the broader market-4.00-2.000.002.004.003.04
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.03, compared to the broader market-4.00-2.000.002.004.004.03
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.57, compared to the broader market0.501.001.502.001.57
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.39, compared to the broader market0.002.004.006.004.39
Martin ratio
The chart of Martin ratio for VOO, currently valued at 20.12, compared to the broader market0.0010.0020.0030.0020.12

DY vs. VOO - Sharpe Ratio Comparison

The current DY Sharpe Ratio is 3.17, which is comparable to the VOO Sharpe Ratio of 3.04. The chart below compares the historical Sharpe Ratios of DY 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 Ratio1.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.17
3.04
DY
VOO

Dividends

DY vs. VOO - Dividend Comparison

DY has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.29%.


TTM20232022202120202019201820172016201520142013
DY
Dycom Industries, 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
1.29%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

DY vs. VOO - Drawdown Comparison

The maximum DY drawdown since its inception was -93.54%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for DY and VOO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-13.62%
-2.31%
DY
VOO

Volatility

DY vs. VOO - Volatility Comparison

Dycom Industries, Inc. (DY) has a higher volatility of 10.54% compared to Vanguard S&P 500 ETF (VOO) at 3.28%. This indicates that DY'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%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
10.54%
3.28%
DY
VOO