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

Key characteristics


FERGVOO
YTD Return6.48%26.13%
1Y Return26.08%33.91%
3Y Return (Ann)10.98%9.98%
5Y Return (Ann)25.91%15.61%
10Y Return (Ann)32.34%13.33%
Sharpe Ratio0.962.82
Sortino Ratio1.413.76
Omega Ratio1.181.53
Calmar Ratio1.524.05
Martin Ratio3.4218.48
Ulcer Index7.39%1.85%
Daily Std Dev26.25%12.12%
Max Drawdown-55.35%-33.99%
Current Drawdown-8.51%-0.88%

Correlation

-0.50.00.51.00.3

The correlation between FERG and VOO is 0.30, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

FERG vs. VOO - Performance Comparison

In the year-to-date period, FERG achieves a 6.48% return, which is significantly lower than VOO's 26.13% return. Over the past 10 years, FERG has outperformed VOO with an annualized return of 32.34%, while VOO has yielded a comparatively lower 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-3.30%
13.01%
FERG
VOO

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Risk-Adjusted Performance

FERG vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Ferguson plc (FERG) 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.


FERG
Sharpe ratio
The chart of Sharpe ratio for FERG, currently valued at 0.96, compared to the broader market-4.00-2.000.002.004.000.96
Sortino ratio
The chart of Sortino ratio for FERG, currently valued at 1.41, compared to the broader market-4.00-2.000.002.004.006.001.41
Omega ratio
The chart of Omega ratio for FERG, currently valued at 1.18, compared to the broader market0.501.001.502.001.18
Calmar ratio
The chart of Calmar ratio for FERG, currently valued at 1.52, compared to the broader market0.002.004.006.001.52
Martin ratio
The chart of Martin ratio for FERG, currently valued at 3.42, compared to the broader market0.0010.0020.0030.003.42
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 2.82, compared to the broader market-4.00-2.000.002.004.002.82
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 3.76, compared to the broader market-4.00-2.000.002.004.006.003.76
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.53, compared to the broader market0.501.001.502.001.53
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.05, compared to the broader market0.002.004.006.004.05
Martin ratio
The chart of Martin ratio for VOO, currently valued at 18.48, compared to the broader market0.0010.0020.0030.0018.48

FERG vs. VOO - Sharpe Ratio Comparison

The current FERG Sharpe Ratio is 0.96, which is lower than the VOO Sharpe Ratio of 2.82. The chart below compares the historical Sharpe Ratios of FERG 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
0.96
2.82
FERG
VOO

Dividends

FERG vs. VOO - Dividend Comparison

FERG's dividend yield for the trailing twelve months is around 1.55%, more than VOO's 1.24% yield.


TTM20232022202120202019201820172016201520142013
FERG
Ferguson plc
1.55%1.57%2.76%2.34%2.33%2.27%9.77%1.99%2.15%2.77%2.59%5.04%
VOO
Vanguard S&P 500 ETF
1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

FERG vs. VOO - Drawdown Comparison

The maximum FERG drawdown since its inception was -55.35%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for FERG and VOO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.51%
-0.88%
FERG
VOO

Volatility

FERG vs. VOO - Volatility Comparison

Ferguson plc (FERG) has a higher volatility of 6.88% compared to Vanguard S&P 500 ETF (VOO) at 3.84%. This indicates that FERG'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%JuneJulyAugustSeptemberOctoberNovember
6.88%
3.84%
FERG
VOO