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LORA.F vs. VGWL.DE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between LORA.F and VGWL.DE is 0.35, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

LORA.F vs. VGWL.DE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in L'Oréal S.A. (LORA.F) and Vanguard FTSE All-World UCITS ETF Distributing (VGWL.DE). The values are adjusted to include any dividend payments, if applicable.

-20.00%-15.00%-10.00%-5.00%0.00%5.00%SeptemberOctoberNovemberDecember2025February
-21.75%
5.66%
LORA.F
VGWL.DE

Key characteristics

Sharpe Ratio

LORA.F:

-0.78

VGWL.DE:

2.06

Sortino Ratio

LORA.F:

-1.01

VGWL.DE:

2.81

Omega Ratio

LORA.F:

0.88

VGWL.DE:

1.40

Calmar Ratio

LORA.F:

-0.82

VGWL.DE:

2.84

Martin Ratio

LORA.F:

-1.36

VGWL.DE:

13.11

Ulcer Index

LORA.F:

17.94%

VGWL.DE:

1.76%

Daily Std Dev

LORA.F:

31.41%

VGWL.DE:

11.22%

Max Drawdown

LORA.F:

-29.67%

VGWL.DE:

-33.40%

Current Drawdown

LORA.F:

-28.57%

VGWL.DE:

-0.25%

Returns By Period

In the year-to-date period, LORA.F achieves a -2.99% return, which is significantly lower than VGWL.DE's 4.50% return.


LORA.F

YTD

-2.99%

1M

-2.26%

6M

-17.20%

1Y

-24.02%

5Y*

5.71%

10Y*

N/A

VGWL.DE

YTD

4.50%

1M

2.00%

6M

13.32%

1Y

23.09%

5Y*

11.60%

10Y*

N/A

*Annualized

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Risk-Adjusted Performance

LORA.F vs. VGWL.DE — Risk-Adjusted Performance Rank

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

LORA.F
The Risk-Adjusted Performance Rank of LORA.F is 99
Overall Rank
The Sharpe Ratio Rank of LORA.F is 99
Sharpe Ratio Rank
The Sortino Ratio Rank of LORA.F is 1111
Sortino Ratio Rank
The Omega Ratio Rank of LORA.F is 1212
Omega Ratio Rank
The Calmar Ratio Rank of LORA.F is 44
Calmar Ratio Rank
The Martin Ratio Rank of LORA.F is 99
Martin Ratio Rank

VGWL.DE
The Risk-Adjusted Performance Rank of VGWL.DE is 8383
Overall Rank
The Sharpe Ratio Rank of VGWL.DE is 8484
Sharpe Ratio Rank
The Sortino Ratio Rank of VGWL.DE is 8282
Sortino Ratio Rank
The Omega Ratio Rank of VGWL.DE is 8585
Omega Ratio Rank
The Calmar Ratio Rank of VGWL.DE is 7979
Calmar Ratio Rank
The Martin Ratio Rank of VGWL.DE is 8686
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.

LORA.F vs. VGWL.DE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for L'Oréal S.A. (LORA.F) and Vanguard FTSE All-World UCITS ETF Distributing (VGWL.DE). 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 LORA.F, currently valued at -0.83, compared to the broader market-2.000.002.00-0.831.45
The chart of Sortino ratio for LORA.F, currently valued at -1.12, compared to the broader market-4.00-2.000.002.004.006.00-1.122.02
The chart of Omega ratio for LORA.F, currently valued at 0.87, compared to the broader market0.501.001.502.000.871.26
The chart of Calmar ratio for LORA.F, currently valued at -0.84, compared to the broader market0.002.004.006.00-0.842.07
The chart of Martin ratio for LORA.F, currently valued at -1.50, compared to the broader market-10.000.0010.0020.0030.00-1.508.08
LORA.F
VGWL.DE

The current LORA.F Sharpe Ratio is -0.78, which is lower than the VGWL.DE Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of LORA.F and VGWL.DE, 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 Ratio-1.000.001.002.003.00SeptemberOctoberNovemberDecember2025February
-0.83
1.45
LORA.F
VGWL.DE

Dividends

LORA.F vs. VGWL.DE - Dividend Comparison

LORA.F's dividend yield for the trailing twelve months is around 2.08%, more than VGWL.DE's 0.85% yield.


TTM20242023202220212020201920182017
LORA.F
L'Oréal S.A.
2.08%2.02%1.44%1.46%1.11%1.33%1.56%0.00%0.00%
VGWL.DE
Vanguard FTSE All-World UCITS ETF Distributing
0.85%0.89%1.87%2.52%1.67%1.79%3.20%4.91%0.80%

Drawdowns

LORA.F vs. VGWL.DE - Drawdown Comparison

The maximum LORA.F drawdown since its inception was -29.67%, smaller than the maximum VGWL.DE drawdown of -33.40%. Use the drawdown chart below to compare losses from any high point for LORA.F and VGWL.DE. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2025February
-30.16%
-0.13%
LORA.F
VGWL.DE

Volatility

LORA.F vs. VGWL.DE - Volatility Comparison

L'Oréal S.A. (LORA.F) has a higher volatility of 11.63% compared to Vanguard FTSE All-World UCITS ETF Distributing (VGWL.DE) at 2.61%. This indicates that LORA.F's price experiences larger fluctuations and is considered to be riskier than VGWL.DE 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%SeptemberOctoberNovemberDecember2025February
11.63%
2.61%
LORA.F
VGWL.DE
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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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