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

Correlation

The correlation between GL and VOO is 0.63, 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.


-0.50.00.51.00.6

Performance

GL vs. VOO - Performance Comparison

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

-10.00%0.00%10.00%20.00%30.00%AugustSeptemberOctoberNovemberDecember2025
33.52%
7.82%
GL
VOO

Key characteristics

Sharpe Ratio

GL:

-0.02

VOO:

2.06

Sortino Ratio

GL:

0.50

VOO:

2.74

Omega Ratio

GL:

1.15

VOO:

1.38

Calmar Ratio

GL:

-0.02

VOO:

3.12

Martin Ratio

GL:

-0.06

VOO:

13.13

Ulcer Index

GL:

24.02%

VOO:

2.01%

Daily Std Dev

GL:

65.20%

VOO:

12.79%

Max Drawdown

GL:

-75.34%

VOO:

-33.99%

Current Drawdown

GL:

-7.82%

VOO:

-2.30%

Returns By Period

In the year-to-date period, GL achieves a 5.36% return, which is significantly higher than VOO's 1.01% return. Over the past 10 years, GL has underperformed VOO with an annualized return of 9.45%, while VOO has yielded a comparatively higher 13.44% annualized return.


GL

YTD

5.36%

1M

11.07%

6M

33.52%

1Y

-1.35%

5Y*

3.24%

10Y*

9.45%

VOO

YTD

1.01%

1M

-1.70%

6M

7.82%

1Y

27.03%

5Y*

14.08%

10Y*

13.44%

*Annualized

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

GL vs. VOO — Risk-Adjusted Performance Rank

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

GL
The Risk-Adjusted Performance Rank of GL is 4949
Overall Rank
The Sharpe Ratio Rank of GL is 4545
Sharpe Ratio Rank
The Sortino Ratio Rank of GL is 4747
Sortino Ratio Rank
The Omega Ratio Rank of GL is 6363
Omega Ratio Rank
The Calmar Ratio Rank of GL is 4545
Calmar Ratio Rank
The Martin Ratio Rank of GL is 4545
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 8181
Overall Rank
The Sharpe Ratio Rank of VOO is 8282
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 7979
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 8181
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 8181
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 8484
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.

GL vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Globe Life Inc. (GL) 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 GL, currently valued at -0.02, compared to the broader market-2.000.002.00-0.022.06
The chart of Sortino ratio for GL, currently valued at 0.50, compared to the broader market-4.00-2.000.002.004.000.502.74
The chart of Omega ratio for GL, currently valued at 1.15, compared to the broader market0.501.001.502.001.151.38
The chart of Calmar ratio for GL, currently valued at -0.02, compared to the broader market0.002.004.006.00-0.023.12
The chart of Martin ratio for GL, currently valued at -0.06, compared to the broader market-10.000.0010.0020.0030.00-0.0613.13
GL
VOO

The current GL Sharpe Ratio is -0.02, which is lower than the VOO Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of GL 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 Ratio0.001.002.003.004.00AugustSeptemberOctoberNovemberDecember2025
-0.02
2.06
GL
VOO

Dividends

GL vs. VOO - Dividend Comparison

GL's dividend yield for the trailing twelve months is around 0.82%, less than VOO's 1.23% yield.


TTM20242023202220212020201920182017201620152014
GL
Globe Life Inc.
0.82%0.85%0.73%0.68%0.83%0.78%0.65%0.85%0.65%0.75%0.71%0.94%
VOO
Vanguard S&P 500 ETF
1.23%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

GL vs. VOO - Drawdown Comparison

The maximum GL drawdown since its inception was -75.34%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for GL and VOO. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-7.82%
-2.30%
GL
VOO

Volatility

GL vs. VOO - Volatility Comparison

Globe Life Inc. (GL) has a higher volatility of 5.59% compared to Vanguard S&P 500 ETF (VOO) at 4.96%. This indicates that GL'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%AugustSeptemberOctoberNovemberDecember2025
5.59%
4.96%
GL
VOO
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2025 PortfoliosLab