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

Correlation

The correlation between IFF and VTI is 0.61, 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

IFF vs. VTI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in International Flavors & Fragrances Inc. (IFF) and Vanguard Total Stock Market ETF (VTI). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-10.49%
10.48%
IFF
VTI

Key characteristics

Sharpe Ratio

IFF:

0.33

VTI:

2.05

Sortino Ratio

IFF:

0.60

VTI:

2.74

Omega Ratio

IFF:

1.09

VTI:

1.38

Calmar Ratio

IFF:

0.17

VTI:

3.06

Martin Ratio

IFF:

1.26

VTI:

13.06

Ulcer Index

IFF:

6.67%

VTI:

2.01%

Daily Std Dev

IFF:

25.78%

VTI:

12.79%

Max Drawdown

IFF:

-67.63%

VTI:

-55.45%

Current Drawdown

IFF:

-40.01%

VTI:

-2.48%

Returns By Period

In the year-to-date period, IFF achieves a 6.97% return, which is significantly lower than VTI's 25.60% return. Over the past 10 years, IFF has underperformed VTI with an annualized return of 0.43%, while VTI has yielded a comparatively higher 12.55% annualized return.


IFF

YTD

6.97%

1M

-5.84%

6M

-10.49%

1Y

8.40%

5Y*

-5.02%

10Y*

0.43%

VTI

YTD

25.60%

1M

-0.53%

6M

10.84%

1Y

25.91%

5Y*

14.22%

10Y*

12.55%

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

IFF vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for International Flavors & Fragrances Inc. (IFF) and Vanguard Total Stock Market ETF (VTI). 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 IFF, currently valued at 0.33, compared to the broader market-4.00-2.000.002.000.332.03
The chart of Sortino ratio for IFF, currently valued at 0.60, compared to the broader market-4.00-2.000.002.004.000.602.71
The chart of Omega ratio for IFF, currently valued at 1.09, compared to the broader market0.501.001.502.001.091.38
The chart of Calmar ratio for IFF, currently valued at 0.17, compared to the broader market0.002.004.006.000.173.02
The chart of Martin ratio for IFF, currently valued at 1.26, compared to the broader market0.0010.0020.001.2612.88
IFF
VTI

The current IFF Sharpe Ratio is 0.33, which is lower than the VTI Sharpe Ratio of 2.05. The chart below compares the historical Sharpe Ratios of IFF and VTI, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.33
2.03
IFF
VTI

Dividends

IFF vs. VTI - Dividend Comparison

IFF's dividend yield for the trailing twelve months is around 2.83%, more than VTI's 1.25% yield.


TTM20232022202120202019201820172016201520142013
IFF
International Flavors & Fragrances Inc.
2.83%4.00%3.05%2.07%2.79%2.29%2.12%1.74%2.04%1.72%1.70%1.70%
VTI
Vanguard Total Stock Market ETF
1.25%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

IFF vs. VTI - Drawdown Comparison

The maximum IFF drawdown since its inception was -67.63%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for IFF and VTI. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-40.01%
-2.48%
IFF
VTI

Volatility

IFF vs. VTI - Volatility Comparison

The current volatility for International Flavors & Fragrances Inc. (IFF) is 2.88%, while Vanguard Total Stock Market ETF (VTI) has a volatility of 3.94%. This indicates that IFF experiences smaller price fluctuations and is considered to be less risky than VTI 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%14.00%JulyAugustSeptemberOctoberNovemberDecember
2.88%
3.94%
IFF
VTI
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 © 2024 PortfoliosLab