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LHX vs. VTSAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between LHX and VTSAX is 0.56, 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

LHX vs. VTSAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in L3Harris Technologies, Inc. (LHX) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
-3.84%
8.77%
LHX
VTSAX

Key characteristics

Sharpe Ratio

LHX:

0.20

VTSAX:

1.90

Sortino Ratio

LHX:

0.41

VTSAX:

2.54

Omega Ratio

LHX:

1.05

VTSAX:

1.35

Calmar Ratio

LHX:

0.17

VTSAX:

2.87

Martin Ratio

LHX:

0.86

VTSAX:

12.36

Ulcer Index

LHX:

4.40%

VTSAX:

1.99%

Daily Std Dev

LHX:

18.67%

VTSAX:

12.93%

Max Drawdown

LHX:

-65.67%

VTSAX:

-55.34%

Current Drawdown

LHX:

-18.85%

VTSAX:

-4.05%

Returns By Period

In the year-to-date period, LHX achieves a 3.40% return, which is significantly lower than VTSAX's 23.58% return. Over the past 10 years, LHX has outperformed VTSAX with an annualized return of 13.61%, while VTSAX has yielded a comparatively lower 12.46% annualized return.


LHX

YTD

3.40%

1M

-12.63%

6M

-3.12%

1Y

3.65%

5Y*

3.38%

10Y*

13.61%

VTSAX

YTD

23.58%

1M

-0.42%

6M

8.49%

1Y

23.68%

5Y*

13.88%

10Y*

12.46%

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Risk-Adjusted Performance

LHX vs. VTSAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for L3Harris Technologies, Inc. (LHX) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). 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 LHX, currently valued at 0.20, compared to the broader market-4.00-2.000.002.000.201.90
The chart of Sortino ratio for LHX, currently valued at 0.41, compared to the broader market-4.00-2.000.002.004.000.412.54
The chart of Omega ratio for LHX, currently valued at 1.05, compared to the broader market0.501.001.502.001.051.35
The chart of Calmar ratio for LHX, currently valued at 0.17, compared to the broader market0.002.004.006.000.172.87
The chart of Martin ratio for LHX, currently valued at 0.86, compared to the broader market0.0010.0020.000.8612.36
LHX
VTSAX

The current LHX Sharpe Ratio is 0.20, which is lower than the VTSAX Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of LHX and VTSAX, 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
0.20
1.90
LHX
VTSAX

Dividends

LHX vs. VTSAX - Dividend Comparison

LHX's dividend yield for the trailing twelve months is around 2.17%, more than VTSAX's 1.28% yield.


TTM20232022202120202019201820172016201520142013
LHX
L3Harris Technologies, Inc.
2.17%2.17%2.15%1.91%1.80%1.45%1.86%1.55%2.01%2.23%2.48%2.26%
VTSAX
Vanguard Total Stock Market Index Fund Admiral Shares
0.93%1.43%1.65%1.20%1.41%1.77%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

LHX vs. VTSAX - Drawdown Comparison

The maximum LHX drawdown since its inception was -65.67%, which is greater than VTSAX's maximum drawdown of -55.34%. Use the drawdown chart below to compare losses from any high point for LHX and VTSAX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-18.85%
-4.05%
LHX
VTSAX

Volatility

LHX vs. VTSAX - Volatility Comparison

L3Harris Technologies, Inc. (LHX) has a higher volatility of 5.72% compared to Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) at 3.93%. This indicates that LHX's price experiences larger fluctuations and is considered to be riskier than VTSAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.72%
3.93%
LHX
VTSAX
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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.

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