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

Performance

ELFNX vs. VOO - Performance Comparison

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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.73%
13.05%
ELFNX
VOO

Returns By Period

In the year-to-date period, ELFNX achieves a 27.36% return, which is significantly higher than VOO's 25.52% return. Over the past 10 years, ELFNX has outperformed VOO with an annualized return of 14.30%, while VOO has yielded a comparatively lower 13.15% annualized return.


ELFNX

YTD

27.36%

1M

0.32%

6M

10.28%

1Y

33.98%

5Y (annualized)

17.52%

10Y (annualized)

14.30%

VOO

YTD

25.52%

1M

1.19%

6M

12.21%

1Y

32.23%

5Y (annualized)

15.58%

10Y (annualized)

13.15%

Key characteristics


ELFNXVOO
Sharpe Ratio2.402.62
Sortino Ratio3.293.50
Omega Ratio1.461.49
Calmar Ratio4.063.78
Martin Ratio17.0617.12
Ulcer Index1.98%1.86%
Daily Std Dev14.06%12.19%
Max Drawdown-50.28%-33.99%
Current Drawdown-1.93%-1.36%

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ELFNX vs. VOO - Expense Ratio Comparison

ELFNX has a 0.18% expense ratio, which is higher than VOO's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


ELFNX
Elfun Trusts
Expense ratio chart for ELFNX: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.01.0

The correlation between ELFNX and VOO is 0.96, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

ELFNX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Elfun Trusts (ELFNX) 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 ELFNX, currently valued at 2.40, compared to the broader market-1.000.001.002.003.004.005.002.402.62
The chart of Sortino ratio for ELFNX, currently valued at 3.29, compared to the broader market0.005.0010.003.293.50
The chart of Omega ratio for ELFNX, currently valued at 1.46, compared to the broader market1.002.003.004.001.461.49
The chart of Calmar ratio for ELFNX, currently valued at 4.06, compared to the broader market0.005.0010.0015.0020.0025.004.063.78
The chart of Martin ratio for ELFNX, currently valued at 17.06, compared to the broader market0.0020.0040.0060.0080.00100.0017.0617.12
ELFNX
VOO

The current ELFNX Sharpe Ratio is 2.40, which is comparable to the VOO Sharpe Ratio of 2.62. The chart below compares the historical Sharpe Ratios of ELFNX 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.40
2.62
ELFNX
VOO

Dividends

ELFNX vs. VOO - Dividend Comparison

ELFNX's dividend yield for the trailing twelve months is around 0.85%, less than VOO's 1.25% yield.


TTM20232022202120202019201820172016201520142013
ELFNX
Elfun Trusts
0.85%1.08%1.28%0.93%0.96%1.08%1.51%1.29%1.48%1.47%1.28%1.28%
VOO
Vanguard S&P 500 ETF
1.25%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

ELFNX vs. VOO - Drawdown Comparison

The maximum ELFNX drawdown since its inception was -50.28%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ELFNX and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.93%
-1.36%
ELFNX
VOO

Volatility

ELFNX vs. VOO - Volatility Comparison

Elfun Trusts (ELFNX) and Vanguard S&P 500 ETF (VOO) have volatilities of 4.22% and 4.10%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.22%
4.10%
ELFNX
VOO