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LPLA vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


LPLAVOO
YTD Return37.70%27.15%
1Y Return38.10%39.90%
3Y Return (Ann)24.61%10.28%
5Y Return (Ann)30.09%16.00%
10Y Return (Ann)23.84%13.43%
Sharpe Ratio1.213.15
Sortino Ratio1.744.19
Omega Ratio1.261.59
Calmar Ratio1.224.60
Martin Ratio3.2121.00
Ulcer Index12.62%1.85%
Daily Std Dev33.33%12.34%
Max Drawdown-69.32%-33.99%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.5

The correlation between LPLA and VOO is 0.53, 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

LPLA vs. VOO - Performance Comparison

In the year-to-date period, LPLA achieves a 37.70% return, which is significantly higher than VOO's 27.15% return. Over the past 10 years, LPLA has outperformed VOO with an annualized return of 23.84%, while VOO has yielded a comparatively lower 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.


-30.00%-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
16.54%
15.64%
LPLA
VOO

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Risk-Adjusted Performance

LPLA vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for LPL Financial Holdings Inc. (LPLA) 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.


LPLA
Sharpe ratio
The chart of Sharpe ratio for LPLA, currently valued at 1.21, compared to the broader market-4.00-2.000.002.004.001.21
Sortino ratio
The chart of Sortino ratio for LPLA, currently valued at 1.74, compared to the broader market-4.00-2.000.002.004.006.001.74
Omega ratio
The chart of Omega ratio for LPLA, currently valued at 1.26, compared to the broader market0.501.001.502.001.26
Calmar ratio
The chart of Calmar ratio for LPLA, currently valued at 1.22, compared to the broader market0.002.004.006.001.22
Martin ratio
The chart of Martin ratio for LPLA, currently valued at 3.21, compared to the broader market0.0010.0020.0030.003.21
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

LPLA vs. VOO - Sharpe Ratio Comparison

The current LPLA Sharpe Ratio is 1.21, which is lower than the VOO Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of LPLA 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 Ratio-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.21
3.15
LPLA
VOO

Dividends

LPLA vs. VOO - Dividend Comparison

LPLA's dividend yield for the trailing twelve months is around 0.29%, less than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
LPLA
LPL Financial Holdings Inc.
0.29%0.53%0.46%0.62%0.96%1.08%1.64%1.75%2.84%2.34%2.15%1.38%
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

LPLA vs. VOO - Drawdown Comparison

The maximum LPLA drawdown since its inception was -69.32%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for LPLA and VOO. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
LPLA
VOO

Volatility

LPLA vs. VOO - Volatility Comparison

LPL Financial Holdings Inc. (LPLA) has a higher volatility of 13.51% compared to Vanguard S&P 500 ETF (VOO) at 3.95%. This indicates that LPLA'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.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
13.51%
3.95%
LPLA
VOO