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

Correlation

The correlation between ELFNX and VTI is 0.95, 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.


-0.50.00.51.00.9

Performance

ELFNX vs. VTI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Elfun Trusts (ELFNX) and Vanguard Total Stock Market ETF (VTI). The values are adjusted to include any dividend payments, if applicable.

600.00%650.00%700.00%750.00%JulyAugustSeptemberOctoberNovemberDecember
728.64%
677.31%
ELFNX
VTI

Key characteristics

Sharpe Ratio

ELFNX:

2.11

VTI:

2.10

Sortino Ratio

ELFNX:

2.88

VTI:

2.80

Omega Ratio

ELFNX:

1.41

VTI:

1.39

Calmar Ratio

ELFNX:

3.63

VTI:

3.14

Martin Ratio

ELFNX:

14.93

VTI:

13.44

Ulcer Index

ELFNX:

2.02%

VTI:

2.00%

Daily Std Dev

ELFNX:

14.31%

VTI:

12.79%

Max Drawdown

ELFNX:

-50.28%

VTI:

-55.45%

Current Drawdown

ELFNX:

-2.63%

VTI:

-3.03%

Returns By Period

In the year-to-date period, ELFNX achieves a 27.93% return, which is significantly higher than VTI's 24.89% return. Over the past 10 years, ELFNX has outperformed VTI with an annualized return of 14.25%, while VTI has yielded a comparatively lower 12.52% annualized return.


ELFNX

YTD

27.93%

1M

0.44%

6M

6.93%

1Y

25.05%

5Y*

16.61%

10Y*

14.25%

VTI

YTD

24.89%

1M

-0.60%

6M

10.03%

1Y

25.20%

5Y*

14.09%

10Y*

12.52%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


ELFNX vs. VTI - Expense Ratio Comparison

ELFNX has a 0.18% expense ratio, which is higher than VTI'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 VTI: 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%

Risk-Adjusted Performance

ELFNX vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Elfun Trusts (ELFNX) and Vanguard Total Stock Market ETF (VTI). 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 2.11, compared to the broader market-1.000.001.002.003.004.002.112.10
The chart of Sortino ratio for ELFNX, currently valued at 2.88, compared to the broader market-2.000.002.004.006.008.0010.002.882.80
The chart of Omega ratio for ELFNX, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.003.501.411.39
The chart of Calmar ratio for ELFNX, currently valued at 3.63, compared to the broader market0.002.004.006.008.0010.0012.0014.003.633.14
The chart of Martin ratio for ELFNX, currently valued at 14.93, compared to the broader market0.0020.0040.0060.0014.9313.44
ELFNX
VTI

The current ELFNX Sharpe Ratio is 2.11, which is comparable to the VTI Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of ELFNX and VTI, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.11
2.10
ELFNX
VTI

Dividends

ELFNX vs. VTI - Dividend Comparison

ELFNX's dividend yield for the trailing twelve months is around 0.84%, less than VTI's 0.93% yield.


TTM20232022202120202019201820172016201520142013
ELFNX
Elfun Trusts
0.84%1.08%1.28%0.93%0.96%1.08%1.51%1.29%1.48%1.47%1.28%1.28%
VTI
Vanguard Total Stock Market ETF
0.93%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

ELFNX vs. VTI - Drawdown Comparison

The maximum ELFNX drawdown since its inception was -50.28%, smaller than the maximum VTI drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for ELFNX and VTI. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.63%
-3.03%
ELFNX
VTI

Volatility

ELFNX vs. VTI - Volatility Comparison

Elfun Trusts (ELFNX) and Vanguard Total Stock Market ETF (VTI) have volatilities of 3.85% and 4.00%, 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%JulyAugustSeptemberOctoberNovemberDecember
3.85%
4.00%
ELFNX
VTI
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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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