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

Correlation

The correlation between LRLCY and VUG is 0.51, 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

LRLCY vs. VUG - Performance Comparison

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

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Key characteristics

Sharpe Ratio

LRLCY:

-0.48

VUG:

0.77

Sortino Ratio

LRLCY:

-0.60

VUG:

1.28

Omega Ratio

LRLCY:

0.93

VUG:

1.18

Calmar Ratio

LRLCY:

-0.44

VUG:

0.91

Martin Ratio

LRLCY:

-0.69

VUG:

3.07

Ulcer Index

LRLCY:

20.50%

VUG:

6.75%

Daily Std Dev

LRLCY:

28.24%

VUG:

25.16%

Max Drawdown

LRLCY:

-58.80%

VUG:

-50.68%

Current Drawdown

LRLCY:

-14.46%

VUG:

-2.74%

Returns By Period

In the year-to-date period, LRLCY achieves a 20.65% return, which is significantly higher than VUG's 1.33% return. Over the past 10 years, LRLCY has underperformed VUG with an annualized return of 9.67%, while VUG has yielded a comparatively higher 15.32% annualized return.


LRLCY

YTD

20.65%

1M

5.14%

6M

23.77%

1Y

-12.64%

5Y*

10.55%

10Y*

9.67%

VUG

YTD

1.33%

1M

17.95%

6M

4.67%

1Y

19.05%

5Y*

18.04%

10Y*

15.32%

*Annualized

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Risk-Adjusted Performance

LRLCY vs. VUG — Risk-Adjusted Performance Rank

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

LRLCY
The Risk-Adjusted Performance Rank of LRLCY is 2525
Overall Rank
The Sharpe Ratio Rank of LRLCY is 2424
Sharpe Ratio Rank
The Sortino Ratio Rank of LRLCY is 2020
Sortino Ratio Rank
The Omega Ratio Rank of LRLCY is 2222
Omega Ratio Rank
The Calmar Ratio Rank of LRLCY is 2222
Calmar Ratio Rank
The Martin Ratio Rank of LRLCY is 3535
Martin Ratio Rank

VUG
The Risk-Adjusted Performance Rank of VUG is 7474
Overall Rank
The Sharpe Ratio Rank of VUG is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of VUG is 7373
Sortino Ratio Rank
The Omega Ratio Rank of VUG is 7474
Omega Ratio Rank
The Calmar Ratio Rank of VUG is 7777
Calmar Ratio Rank
The Martin Ratio Rank of VUG is 7171
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.

LRLCY vs. VUG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for L'Oréal S.A. (LRLCY) and Vanguard Growth ETF (VUG). 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 LRLCY Sharpe Ratio is -0.48, which is lower than the VUG Sharpe Ratio of 0.77. The chart below compares the historical Sharpe Ratios of LRLCY and VUG, 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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Dividends

LRLCY vs. VUG - Dividend Comparison

LRLCY's dividend yield for the trailing twelve months is around 1.83%, more than VUG's 0.47% yield.


TTM20242023202220212020201920182017201620152014
LRLCY
L'Oréal S.A.
1.83%2.02%1.29%1.53%1.00%1.13%1.48%1.91%1.58%1.95%1.82%2.09%
VUG
Vanguard Growth ETF
0.47%0.47%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%

Drawdowns

LRLCY vs. VUG - Drawdown Comparison

The maximum LRLCY drawdown since its inception was -58.80%, which is greater than VUG's maximum drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for LRLCY and VUG. For additional features, visit the drawdowns tool.


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Volatility

LRLCY vs. VUG - Volatility Comparison

L'Oréal S.A. (LRLCY) has a higher volatility of 10.01% compared to Vanguard Growth ETF (VUG) at 6.86%. This indicates that LRLCY's price experiences larger fluctuations and is considered to be riskier than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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