PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FSK vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

FSK vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FS KKR Capital Corp. (FSK) 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
14.61%
12.21%
FSK
VOO

Returns By Period

In the year-to-date period, FSK achieves a 20.40% return, which is significantly lower than VOO's 25.52% return. Over the past 10 years, FSK has underperformed VOO with an annualized return of 5.68%, while VOO has yielded a comparatively higher 13.15% annualized return.


FSK

YTD

20.40%

1M

3.27%

6M

14.61%

1Y

26.16%

5Y (annualized)

12.42%

10Y (annualized)

5.68%

VOO

YTD

25.52%

1M

1.19%

6M

12.21%

1Y

32.23%

5Y (annualized)

15.58%

10Y (annualized)

13.15%

Key characteristics


FSKVOO
Sharpe Ratio1.732.62
Sortino Ratio2.213.50
Omega Ratio1.331.49
Calmar Ratio2.303.78
Martin Ratio7.4717.12
Ulcer Index3.40%1.86%
Daily Std Dev14.69%12.19%
Max Drawdown-67.20%-33.99%
Current Drawdown-0.28%-1.36%

Compare stocks, funds, or ETFs

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


Correlation

-0.50.00.51.00.5

The correlation between FSK and VOO is 0.47, 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.

Risk-Adjusted Performance

FSK vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FS KKR Capital Corp. (FSK) 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 FSK, currently valued at 1.73, compared to the broader market-4.00-2.000.002.004.001.732.62
The chart of Sortino ratio for FSK, currently valued at 2.21, compared to the broader market-4.00-2.000.002.004.002.213.50
The chart of Omega ratio for FSK, currently valued at 1.33, compared to the broader market0.501.001.502.001.331.49
The chart of Calmar ratio for FSK, currently valued at 2.30, compared to the broader market0.002.004.006.002.303.78
The chart of Martin ratio for FSK, currently valued at 7.47, compared to the broader market-10.000.0010.0020.0030.007.4717.12
FSK
VOO

The current FSK Sharpe Ratio is 1.73, which is lower than the VOO Sharpe Ratio of 2.62. The chart below compares the historical Sharpe Ratios of FSK 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.73
2.62
FSK
VOO

Dividends

FSK vs. VOO - Dividend Comparison

FSK's dividend yield for the trailing twelve months is around 13.73%, more than VOO's 1.25% yield.


TTM20232022202120202019201820172016201520142013
FSK
FS KKR Capital Corp.
13.73%15.02%15.20%11.80%15.46%12.40%16.41%11.69%8.66%9.92%8.91%0.00%
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

FSK vs. VOO - Drawdown Comparison

The maximum FSK drawdown since its inception was -67.20%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for FSK and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.28%
-1.36%
FSK
VOO

Volatility

FSK vs. VOO - Volatility Comparison

FS KKR Capital Corp. (FSK) and Vanguard S&P 500 ETF (VOO) have volatilities of 4.26% 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%JuneJulyAugustSeptemberOctoberNovember
4.26%
4.10%
FSK
VOO