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

Key characteristics


IMOVOO
YTD Return30.62%27.15%
1Y Return37.29%39.90%
3Y Return (Ann)31.53%10.28%
5Y Return (Ann)25.96%16.00%
10Y Return (Ann)6.85%13.43%
Sharpe Ratio1.423.15
Sortino Ratio1.984.19
Omega Ratio1.241.59
Calmar Ratio2.594.60
Martin Ratio6.5521.00
Ulcer Index5.69%1.85%
Daily Std Dev26.28%12.34%
Max Drawdown-84.96%-33.99%
Current Drawdown-7.51%0.00%

Correlation

-0.50.00.51.00.5

The correlation between IMO and VOO is 0.45, 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

IMO vs. VOO - Performance Comparison

In the year-to-date period, IMO achieves a 30.62% return, which is significantly higher than VOO's 27.15% return. Over the past 10 years, IMO has underperformed VOO with an annualized return of 6.85%, while VOO has yielded a comparatively higher 13.43% 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%15.00%JuneJulyAugustSeptemberOctoberNovember
6.54%
15.64%
IMO
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

IMO vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Imperial Oil Limited (IMO) 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.


IMO
Sharpe ratio
The chart of Sharpe ratio for IMO, currently valued at 1.42, compared to the broader market-4.00-2.000.002.004.001.42
Sortino ratio
The chart of Sortino ratio for IMO, currently valued at 1.98, compared to the broader market-4.00-2.000.002.004.006.001.98
Omega ratio
The chart of Omega ratio for IMO, currently valued at 1.24, compared to the broader market0.501.001.502.001.24
Calmar ratio
The chart of Calmar ratio for IMO, currently valued at 2.59, compared to the broader market0.002.004.006.002.59
Martin ratio
The chart of Martin ratio for IMO, currently valued at 6.55, compared to the broader market0.0010.0020.0030.006.55
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.15, compared to the broader market-4.00-2.000.002.004.003.15
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.19, compared to the broader market-4.00-2.000.002.004.006.004.19
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.59, compared to the broader market0.501.001.502.001.59
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.60, compared to the broader market0.002.004.006.004.60
Martin ratio
The chart of Martin ratio for VOO, currently valued at 21.00, compared to the broader market0.0010.0020.0030.0021.00

IMO vs. VOO - Sharpe Ratio Comparison

The current IMO Sharpe Ratio is 1.42, which is lower than the VOO Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of IMO 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
1.42
3.15
IMO
VOO

Dividends

IMO vs. VOO - Dividend Comparison

IMO's dividend yield for the trailing twelve months is around 2.31%, more than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
IMO
Imperial Oil Limited
2.31%2.50%2.30%2.28%3.50%2.41%2.39%1.55%1.39%1.29%1.70%1.06%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

IMO vs. VOO - Drawdown Comparison

The maximum IMO drawdown since its inception was -84.96%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for IMO and VOO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.51%
0
IMO
VOO

Volatility

IMO vs. VOO - Volatility Comparison

Imperial Oil Limited (IMO) has a higher volatility of 8.54% compared to Vanguard S&P 500 ETF (VOO) at 3.95%. This indicates that IMO'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%JuneJulyAugustSeptemberOctoberNovember
8.54%
3.95%
IMO
VOO