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LRLCY vs. VDC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between LRLCY and VDC is 0.47, 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.


-0.50.00.51.00.5

Performance

LRLCY vs. VDC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in L'Oréal S.A. (LRLCY) and Vanguard Consumer Staples ETF (VDC). The values are adjusted to include any dividend payments, if applicable.

500.00%550.00%600.00%650.00%700.00%750.00%JulyAugustSeptemberOctoberNovemberDecember
533.62%
587.36%
LRLCY
VDC

Key characteristics

Sharpe Ratio

LRLCY:

-1.10

VDC:

1.69

Sortino Ratio

LRLCY:

-1.54

VDC:

2.44

Omega Ratio

LRLCY:

0.82

VDC:

1.29

Calmar Ratio

LRLCY:

-0.86

VDC:

2.63

Martin Ratio

LRLCY:

-1.94

VDC:

10.54

Ulcer Index

LRLCY:

14.18%

VDC:

1.55%

Daily Std Dev

LRLCY:

25.14%

VDC:

9.65%

Max Drawdown

LRLCY:

-58.79%

VDC:

-34.24%

Current Drawdown

LRLCY:

-29.76%

VDC:

-3.34%

Returns By Period

In the year-to-date period, LRLCY achieves a -28.75% return, which is significantly lower than VDC's 15.22% return. Over the past 10 years, LRLCY has outperformed VDC with an annualized return of 9.24%, while VDC has yielded a comparatively lower 8.27% annualized return.


LRLCY

YTD

-28.75%

1M

1.91%

6M

-26.34%

1Y

-28.44%

5Y*

4.93%

10Y*

9.24%

VDC

YTD

15.22%

1M

0.66%

6M

6.36%

1Y

15.88%

5Y*

8.60%

10Y*

8.27%

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Risk-Adjusted Performance

LRLCY vs. VDC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for L'Oréal S.A. (LRLCY) and Vanguard Consumer Staples ETF (VDC). 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 LRLCY, currently valued at -1.10, compared to the broader market-4.00-2.000.002.00-1.101.69
The chart of Sortino ratio for LRLCY, currently valued at -1.54, compared to the broader market-4.00-2.000.002.004.00-1.542.44
The chart of Omega ratio for LRLCY, currently valued at 0.82, compared to the broader market0.501.001.502.000.821.29
The chart of Calmar ratio for LRLCY, currently valued at -0.86, compared to the broader market0.002.004.006.00-0.862.63
The chart of Martin ratio for LRLCY, currently valued at -1.94, compared to the broader market0.0010.0020.00-1.9410.54
LRLCY
VDC

The current LRLCY Sharpe Ratio is -1.10, which is lower than the VDC Sharpe Ratio of 1.69. The chart below compares the historical Sharpe Ratios of LRLCY and VDC, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-1.10
1.69
LRLCY
VDC

Dividends

LRLCY vs. VDC - Dividend Comparison

LRLCY's dividend yield for the trailing twelve months is around 2.04%, less than VDC's 2.29% yield.


TTM20232022202120202019201820172016201520142013
LRLCY
L'Oréal S.A.
2.04%1.29%1.53%1.00%1.13%1.48%1.91%1.58%1.95%1.82%2.09%1.76%
VDC
Vanguard Consumer Staples ETF
2.29%2.65%2.37%2.14%2.50%2.44%2.78%2.52%2.39%2.55%1.93%2.21%

Drawdowns

LRLCY vs. VDC - Drawdown Comparison

The maximum LRLCY drawdown since its inception was -58.79%, which is greater than VDC's maximum drawdown of -34.24%. Use the drawdown chart below to compare losses from any high point for LRLCY and VDC. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-29.76%
-3.34%
LRLCY
VDC

Volatility

LRLCY vs. VDC - Volatility Comparison

L'Oréal S.A. (LRLCY) has a higher volatility of 5.92% compared to Vanguard Consumer Staples ETF (VDC) at 2.89%. This indicates that LRLCY's price experiences larger fluctuations and is considered to be riskier than VDC 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%JulyAugustSeptemberOctoberNovemberDecember
5.92%
2.89%
LRLCY
VDC
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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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