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LII vs. VONG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between LII and VONG is 0.59, 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

LII vs. VONG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Lennox International Inc. (LII) and Vanguard Russell 1000 Growth ETF (VONG). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

LII:

0.32

VONG:

0.72

Sortino Ratio

LII:

0.77

VONG:

1.09

Omega Ratio

LII:

1.10

VONG:

1.15

Calmar Ratio

LII:

0.57

VONG:

0.73

Martin Ratio

LII:

1.50

VONG:

2.39

Ulcer Index

LII:

9.50%

VONG:

7.07%

Daily Std Dev

LII:

33.92%

VONG:

25.28%

Max Drawdown

LII:

-62.76%

VONG:

-32.72%

Current Drawdown

LII:

-18.34%

VONG:

-3.77%

Returns By Period

In the year-to-date period, LII achieves a -9.25% return, which is significantly lower than VONG's 0.31% return. Over the past 10 years, LII has outperformed VONG with an annualized return of 18.57%, while VONG has yielded a comparatively lower 16.12% annualized return.


LII

YTD

-9.25%

1M

-1.73%

6M

-17.00%

1Y

10.67%

3Y*

39.56%

5Y*

21.28%

10Y*

18.57%

VONG

YTD

0.31%

1M

6.74%

6M

0.31%

1Y

18.17%

3Y*

20.13%

5Y*

17.31%

10Y*

16.12%

*Annualized

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Lennox International Inc.

Vanguard Russell 1000 Growth ETF

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

LII vs. VONG — Risk-Adjusted Performance Rank

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

LII
The Risk-Adjusted Performance Rank of LII is 6565
Overall Rank
The Sharpe Ratio Rank of LII is 6363
Sharpe Ratio Rank
The Sortino Ratio Rank of LII is 5959
Sortino Ratio Rank
The Omega Ratio Rank of LII is 5858
Omega Ratio Rank
The Calmar Ratio Rank of LII is 7474
Calmar Ratio Rank
The Martin Ratio Rank of LII is 6969
Martin Ratio Rank

VONG
The Risk-Adjusted Performance Rank of VONG is 6363
Overall Rank
The Sharpe Ratio Rank of VONG is 6161
Sharpe Ratio Rank
The Sortino Ratio Rank of VONG is 6262
Sortino Ratio Rank
The Omega Ratio Rank of VONG is 6363
Omega Ratio Rank
The Calmar Ratio Rank of VONG is 6868
Calmar Ratio Rank
The Martin Ratio Rank of VONG is 6060
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.

LII vs. VONG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Lennox International Inc. (LII) and Vanguard Russell 1000 Growth ETF (VONG). 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.


The current LII Sharpe Ratio is 0.32, which is lower than the VONG Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of LII and VONG, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

LII vs. VONG - Dividend Comparison

LII's dividend yield for the trailing twelve months is around 0.83%, more than VONG's 0.54% yield.


TTM20242023202220212020201920182017201620152014
LII
Lennox International Inc.
0.83%0.75%0.97%1.71%1.09%1.12%1.21%1.11%0.94%1.08%1.10%1.20%
VONG
Vanguard Russell 1000 Growth ETF
0.54%0.55%0.71%0.98%0.58%0.77%1.03%1.18%1.19%1.48%1.47%1.43%

Drawdowns

LII vs. VONG - Drawdown Comparison

The maximum LII drawdown since its inception was -62.76%, which is greater than VONG's maximum drawdown of -32.72%. Use the drawdown chart below to compare losses from any high point for LII and VONG.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

LII vs. VONG - Volatility Comparison

Lennox International Inc. (LII) has a higher volatility of 8.32% compared to Vanguard Russell 1000 Growth ETF (VONG) at 5.72%. This indicates that LII's price experiences larger fluctuations and is considered to be riskier than VONG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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