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

Correlation

The correlation between ENB and VOO is 0.49, 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.


-0.50.00.51.00.5

Performance

ENB vs. VOO - Performance Comparison

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

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
20.36%
7.93%
ENB
VOO

Key characteristics

Sharpe Ratio

ENB:

1.54

VOO:

2.04

Sortino Ratio

ENB:

2.24

VOO:

2.72

Omega Ratio

ENB:

1.26

VOO:

1.38

Calmar Ratio

ENB:

1.03

VOO:

3.02

Martin Ratio

ENB:

6.94

VOO:

13.60

Ulcer Index

ENB:

3.22%

VOO:

1.88%

Daily Std Dev

ENB:

14.48%

VOO:

12.52%

Max Drawdown

ENB:

-46.35%

VOO:

-33.99%

Current Drawdown

ENB:

-7.79%

VOO:

-3.52%

Returns By Period

In the year-to-date period, ENB achieves a 20.61% return, which is significantly lower than VOO's 24.65% return. Over the past 10 years, ENB has underperformed VOO with an annualized return of 3.88%, while VOO has yielded a comparatively higher 13.02% annualized return.


ENB

YTD

20.61%

1M

-4.84%

6M

20.19%

1Y

20.94%

5Y*

7.70%

10Y*

3.88%

VOO

YTD

24.65%

1M

-0.29%

6M

7.63%

1Y

24.77%

5Y*

14.57%

10Y*

13.02%

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

ENB vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Enbridge Inc. (ENB) 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 ENB, currently valued at 1.54, compared to the broader market-4.00-2.000.002.001.542.04
The chart of Sortino ratio for ENB, currently valued at 2.24, compared to the broader market-4.00-2.000.002.004.002.242.72
The chart of Omega ratio for ENB, currently valued at 1.26, compared to the broader market0.501.001.502.001.261.38
The chart of Calmar ratio for ENB, currently valued at 1.03, compared to the broader market0.002.004.006.001.033.02
The chart of Martin ratio for ENB, currently valued at 6.94, compared to the broader market0.0010.0020.006.9413.60
ENB
VOO

The current ENB Sharpe Ratio is 1.54, which is comparable to the VOO Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of ENB 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
1.54
2.04
ENB
VOO

Dividends

ENB vs. VOO - Dividend Comparison

ENB's dividend yield for the trailing twelve months is around 6.58%, more than VOO's 1.26% yield.


TTM20232022202120202019201820172016201520142013
ENB
Enbridge Inc.
6.58%7.29%6.78%6.86%7.54%5.57%6.69%4.73%3.78%4.41%2.47%2.82%
VOO
Vanguard S&P 500 ETF
0.92%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

ENB vs. VOO - Drawdown Comparison

The maximum ENB drawdown since its inception was -46.35%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ENB and VOO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.79%
-3.52%
ENB
VOO

Volatility

ENB vs. VOO - Volatility Comparison

Enbridge Inc. (ENB) has a higher volatility of 4.45% compared to Vanguard S&P 500 ETF (VOO) at 3.58%. This indicates that ENB'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%JulyAugustSeptemberOctoberNovemberDecember
4.45%
3.58%
ENB
VOO
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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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