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

Performance

GBDC vs. VOO - Performance Comparison

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

-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-3.67%
12.85%
GBDC
VOO

Returns By Period

In the year-to-date period, GBDC achieves a 9.53% return, which is significantly lower than VOO's 26.16% return. Over the past 10 years, GBDC has underperformed VOO with an annualized return of 7.76%, while VOO has yielded a comparatively higher 13.18% annualized return.


GBDC

YTD

9.53%

1M

-1.69%

6M

-2.83%

1Y

12.41%

5Y (annualized)

6.79%

10Y (annualized)

7.76%

VOO

YTD

26.16%

1M

1.77%

6M

13.62%

1Y

32.33%

5Y (annualized)

15.68%

10Y (annualized)

13.18%

Key characteristics


GBDCVOO
Sharpe Ratio0.882.70
Sortino Ratio1.323.60
Omega Ratio1.161.50
Calmar Ratio0.763.90
Martin Ratio1.7717.65
Ulcer Index6.79%1.86%
Daily Std Dev13.63%12.19%
Max Drawdown-47.60%-33.99%
Current Drawdown-8.61%-0.86%

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Correlation

-0.50.00.51.00.4

The correlation between GBDC and VOO is 0.39, 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.

Risk-Adjusted Performance

GBDC vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Golub Capital BDC, Inc. (GBDC) 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 GBDC, currently valued at 0.88, compared to the broader market-4.00-2.000.002.004.000.882.70
The chart of Sortino ratio for GBDC, currently valued at 1.32, compared to the broader market-4.00-2.000.002.004.001.323.60
The chart of Omega ratio for GBDC, currently valued at 1.16, compared to the broader market0.501.001.502.001.161.50
The chart of Calmar ratio for GBDC, currently valued at 0.76, compared to the broader market0.002.004.006.000.763.90
The chart of Martin ratio for GBDC, currently valued at 1.77, compared to the broader market0.0010.0020.0030.001.7717.65
GBDC
VOO

The current GBDC Sharpe Ratio is 0.88, which is lower than the VOO Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of GBDC 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
0.88
2.70
GBDC
VOO

Dividends

GBDC vs. VOO - Dividend Comparison

GBDC's dividend yield for the trailing twelve months is around 12.15%, more than VOO's 1.24% yield.


TTM20232022202120202019201820172016201520142013
GBDC
Golub Capital BDC, Inc.
12.15%10.00%9.35%7.58%8.37%5.91%8.49%7.47%8.32%7.70%7.14%6.70%
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

GBDC vs. VOO - Drawdown Comparison

The maximum GBDC drawdown since its inception was -47.60%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for GBDC and VOO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.61%
-0.86%
GBDC
VOO

Volatility

GBDC vs. VOO - Volatility Comparison

Golub Capital BDC, Inc. (GBDC) has a higher volatility of 4.74% compared to Vanguard S&P 500 ETF (VOO) at 3.99%. This indicates that GBDC'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%JuneJulyAugustSeptemberOctoberNovember
4.74%
3.99%
GBDC
VOO