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

Key characteristics


GHCVOO
YTD Return17.71%22.64%
1Y Return37.79%34.74%
3Y Return (Ann)11.74%11.37%
5Y Return (Ann)5.92%16.16%
10Y Return (Ann)8.06%13.81%
Sharpe Ratio1.482.84
Sortino Ratio2.123.79
Omega Ratio1.261.52
Calmar Ratio1.893.05
Martin Ratio7.5417.66
Ulcer Index5.08%2.01%
Daily Std Dev25.92%12.46%
Max Drawdown-67.54%-33.99%
Current Drawdown-0.92%0.00%

Correlation

-0.50.00.51.00.5

The correlation between GHC and VOO is 0.46, 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

GHC vs. VOO - Performance Comparison

In the year-to-date period, GHC achieves a 17.71% return, which is significantly lower than VOO's 22.64% return. Over the past 10 years, GHC has underperformed VOO with an annualized return of 8.06%, while VOO has yielded a comparatively higher 13.81% annualized return. 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%MayJuneJulyAugustSeptemberOctober
11.30%
12.17%
GHC
VOO

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

GHC vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Graham Holdings Company (GHC) 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.


GHC
Sharpe ratio
The chart of Sharpe ratio for GHC, currently valued at 1.48, compared to the broader market-4.00-2.000.002.001.48
Sortino ratio
The chart of Sortino ratio for GHC, currently valued at 2.12, compared to the broader market-4.00-2.000.002.004.002.12
Omega ratio
The chart of Omega ratio for GHC, currently valued at 1.26, compared to the broader market0.501.001.502.001.26
Calmar ratio
The chart of Calmar ratio for GHC, currently valued at 1.89, compared to the broader market0.002.004.006.001.89
Martin ratio
The chart of Martin ratio for GHC, currently valued at 7.54, compared to the broader market-30.00-20.00-10.000.0010.0020.007.54
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 2.84, compared to the broader market-4.00-2.000.002.002.84
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 3.79, compared to the broader market-4.00-2.000.002.004.003.79
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.52, compared to the broader market0.501.001.502.001.52
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 3.05, compared to the broader market0.002.004.006.003.05
Martin ratio
The chart of Martin ratio for VOO, currently valued at 17.66, compared to the broader market-30.00-20.00-10.000.0010.0020.0017.66

GHC vs. VOO - Sharpe Ratio Comparison

The current GHC Sharpe Ratio is 1.48, which is lower than the VOO Sharpe Ratio of 2.84. The chart below compares the historical Sharpe Ratios of GHC and VOO, offering insights into how both instruments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
1.48
2.84
GHC
VOO

Dividends

GHC vs. VOO - Dividend Comparison

GHC's dividend yield for the trailing twelve months is around 0.84%, less than VOO's 1.28% yield.


TTM20232022202120202019201820172016201520142013
GHC
Graham Holdings Company
0.84%0.95%1.05%0.96%1.09%0.87%0.83%0.91%0.95%1.77%1.18%0.00%
VOO
Vanguard S&P 500 ETF
1.28%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

GHC vs. VOO - Drawdown Comparison

The maximum GHC drawdown since its inception was -67.54%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for GHC and VOO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.92%
0
GHC
VOO

Volatility

GHC vs. VOO - Volatility Comparison

Graham Holdings Company (GHC) has a higher volatility of 6.57% compared to Vanguard S&P 500 ETF (VOO) at 2.95%. This indicates that GHC'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%MayJuneJulyAugustSeptemberOctober
6.57%
2.95%
GHC
VOO