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FSS vs. VPMAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FSS and VPMAX is 0.59, 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.


Performance

FSS vs. VPMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Federal Signal Corporation (FSS) and Vanguard PRIMECAP Fund Admiral Shares (VPMAX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

FSS:

0.09

VPMAX:

0.06

Sortino Ratio

FSS:

0.44

VPMAX:

0.26

Omega Ratio

FSS:

1.06

VPMAX:

1.04

Calmar Ratio

FSS:

0.15

VPMAX:

0.08

Martin Ratio

FSS:

0.39

VPMAX:

0.30

Ulcer Index

FSS:

12.52%

VPMAX:

5.75%

Daily Std Dev

FSS:

35.52%

VPMAX:

20.81%

Max Drawdown

FSS:

-83.42%

VPMAX:

-55.03%

Current Drawdown

FSS:

-11.44%

VPMAX:

-9.78%

Returns By Period

The year-to-date returns for both investments are quite close, with FSS having a -2.88% return and VPMAX slightly higher at -2.77%. Over the past 10 years, FSS has outperformed VPMAX with an annualized return of 20.62%, while VPMAX has yielded a comparatively lower 8.96% annualized return.


FSS

YTD

-2.88%

1M

17.44%

6M

-0.56%

1Y

2.70%

5Y*

28.69%

10Y*

20.62%

VPMAX

YTD

-2.77%

1M

7.18%

6M

-7.01%

1Y

1.28%

5Y*

14.82%

10Y*

8.96%

*Annualized

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Risk-Adjusted Performance

FSS vs. VPMAX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FSS
The Risk-Adjusted Performance Rank of FSS is 5252
Overall Rank
The Sharpe Ratio Rank of FSS is 5252
Sharpe Ratio Rank
The Sortino Ratio Rank of FSS is 5151
Sortino Ratio Rank
The Omega Ratio Rank of FSS is 4949
Omega Ratio Rank
The Calmar Ratio Rank of FSS is 5656
Calmar Ratio Rank
The Martin Ratio Rank of FSS is 5454
Martin Ratio Rank

VPMAX
The Risk-Adjusted Performance Rank of VPMAX is 2727
Overall Rank
The Sharpe Ratio Rank of VPMAX is 2424
Sharpe Ratio Rank
The Sortino Ratio Rank of VPMAX is 2626
Sortino Ratio Rank
The Omega Ratio Rank of VPMAX is 2525
Omega Ratio Rank
The Calmar Ratio Rank of VPMAX is 3333
Calmar Ratio Rank
The Martin Ratio Rank of VPMAX is 2626
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

FSS vs. VPMAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Federal Signal Corporation (FSS) and Vanguard PRIMECAP Fund Admiral Shares (VPMAX). 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.


The current FSS Sharpe Ratio is 0.09, which is higher than the VPMAX Sharpe Ratio of 0.06. The chart below compares the historical Sharpe Ratios of FSS and VPMAX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

FSS vs. VPMAX - Dividend Comparison

FSS's dividend yield for the trailing twelve months is around 0.56%, less than VPMAX's 6.90% yield.


TTM20242023202220212020201920182017201620152014
FSS
Federal Signal Corporation
0.56%0.52%0.51%0.77%0.83%0.96%0.99%1.56%1.39%1.79%1.58%0.58%
VPMAX
Vanguard PRIMECAP Fund Admiral Shares
6.90%6.71%7.24%9.94%10.18%9.82%7.23%8.43%5.61%5.13%5.99%6.87%

Drawdowns

FSS vs. VPMAX - Drawdown Comparison

The maximum FSS drawdown since its inception was -83.42%, which is greater than VPMAX's maximum drawdown of -55.03%. Use the drawdown chart below to compare losses from any high point for FSS and VPMAX. For additional features, visit the drawdowns tool.


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Volatility

FSS vs. VPMAX - Volatility Comparison

Federal Signal Corporation (FSS) has a higher volatility of 10.73% compared to Vanguard PRIMECAP Fund Admiral Shares (VPMAX) at 7.88%. This indicates that FSS's price experiences larger fluctuations and is considered to be riskier than VPMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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