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FTCH vs. VTWO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FTCHVTWO

Correlation

-0.50.00.51.00.5

The correlation between FTCH and VTWO 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.

Performance

FTCH vs. VTWO - Performance Comparison

The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember0
10.67%
FTCH
VTWO

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Risk-Adjusted Performance

FTCH vs. VTWO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Farfetch Limited (FTCH) and Vanguard Russell 2000 ETF (VTWO). 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.


FTCH
Sharpe ratio
The chart of Sharpe ratio for FTCH, currently valued at -0.44, compared to the broader market-4.00-2.000.002.00-0.44
Sortino ratio
The chart of Sortino ratio for FTCH, currently valued at -0.42, compared to the broader market-4.00-2.000.002.004.00-0.42
Omega ratio
The chart of Omega ratio for FTCH, currently valued at 0.89, compared to the broader market0.501.001.502.000.89
Calmar ratio
The chart of Calmar ratio for FTCH, currently valued at -0.99, compared to the broader market0.002.004.006.00-0.99
Martin ratio
The chart of Martin ratio for FTCH, currently valued at -1.04, compared to the broader market0.0010.0020.0030.00-1.04
VTWO
Sharpe ratio
The chart of Sharpe ratio for VTWO, currently valued at 1.41, compared to the broader market-4.00-2.000.002.001.41
Sortino ratio
The chart of Sortino ratio for VTWO, currently valued at 2.08, compared to the broader market-4.00-2.000.002.004.002.08
Omega ratio
The chart of Omega ratio for VTWO, currently valued at 1.25, compared to the broader market0.501.001.502.001.25
Calmar ratio
The chart of Calmar ratio for VTWO, currently valued at 1.18, compared to the broader market0.002.004.006.001.18
Martin ratio
The chart of Martin ratio for VTWO, currently valued at 7.88, compared to the broader market0.0010.0020.0030.007.88

FTCH vs. VTWO - Sharpe Ratio Comparison


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
-0.44
1.41
FTCH
VTWO

Dividends

FTCH vs. VTWO - Dividend Comparison

FTCH has not paid dividends to shareholders, while VTWO's dividend yield for the trailing twelve months is around 1.24%.


TTM20232022202120202019201820172016201520142013
FTCH
Farfetch Limited
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VTWO
Vanguard Russell 2000 ETF
1.24%1.45%1.48%1.13%0.92%1.36%1.41%1.18%1.27%1.23%1.12%1.04%

Drawdowns

FTCH vs. VTWO - Drawdown Comparison


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-99.97%
-5.45%
FTCH
VTWO

Volatility

FTCH vs. VTWO - Volatility Comparison

The current volatility for Farfetch Limited (FTCH) is 0.00%, while Vanguard Russell 2000 ETF (VTWO) has a volatility of 7.70%. This indicates that FTCH experiences smaller price fluctuations and is considered to be less risky than VTWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember0
7.70%
FTCH
VTWO