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META vs. VGT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between META and VGT is 0.56, 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

META vs. VGT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Meta Platforms, Inc. (META) and Vanguard Information Technology ETF (VGT). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

META:

1.11

VGT:

0.62

Sortino Ratio

META:

1.64

VGT:

1.07

Omega Ratio

META:

1.21

VGT:

1.15

Calmar Ratio

META:

1.13

VGT:

0.71

Martin Ratio

META:

3.50

VGT:

2.32

Ulcer Index

META:

10.98%

VGT:

8.35%

Daily Std Dev

META:

37.07%

VGT:

30.20%

Max Drawdown

META:

-76.74%

VGT:

-54.63%

Current Drawdown

META:

-10.87%

VGT:

-5.40%

Returns By Period

In the year-to-date period, META achieves a 12.14% return, which is significantly higher than VGT's -1.53% return. Over the past 10 years, META has outperformed VGT with an annualized return of 23.49%, while VGT has yielded a comparatively lower 19.99% annualized return.


META

YTD

12.14%

1M

20.69%

6M

12.37%

1Y

40.69%

5Y*

26.21%

10Y*

23.49%

VGT

YTD

-1.53%

1M

17.56%

6M

-1.61%

1Y

18.50%

5Y*

20.95%

10Y*

19.99%

*Annualized

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Risk-Adjusted Performance

META vs. VGT — Risk-Adjusted Performance Rank

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

META
The Risk-Adjusted Performance Rank of META is 8282
Overall Rank
The Sharpe Ratio Rank of META is 8686
Sharpe Ratio Rank
The Sortino Ratio Rank of META is 8080
Sortino Ratio Rank
The Omega Ratio Rank of META is 7878
Omega Ratio Rank
The Calmar Ratio Rank of META is 8585
Calmar Ratio Rank
The Martin Ratio Rank of META is 8181
Martin Ratio Rank

VGT
The Risk-Adjusted Performance Rank of VGT is 6262
Overall Rank
The Sharpe Ratio Rank of VGT is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of VGT is 6363
Sortino Ratio Rank
The Omega Ratio Rank of VGT is 6363
Omega Ratio Rank
The Calmar Ratio Rank of VGT is 6868
Calmar Ratio Rank
The Martin Ratio Rank of VGT 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.

META vs. VGT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Meta Platforms, Inc. (META) and Vanguard Information Technology ETF (VGT). 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 META Sharpe Ratio is 1.11, which is higher than the VGT Sharpe Ratio of 0.62. The chart below compares the historical Sharpe Ratios of META and VGT, 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

META vs. VGT - Dividend Comparison

META's dividend yield for the trailing twelve months is around 0.31%, less than VGT's 0.52% yield.


TTM20242023202220212020201920182017201620152014
META
Meta Platforms, Inc.
0.31%0.34%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VGT
Vanguard Information Technology ETF
0.52%0.60%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%

Drawdowns

META vs. VGT - Drawdown Comparison

The maximum META drawdown since its inception was -76.74%, which is greater than VGT's maximum drawdown of -54.63%. Use the drawdown chart below to compare losses from any high point for META and VGT. For additional features, visit the drawdowns tool.


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Volatility

META vs. VGT - Volatility Comparison

Meta Platforms, Inc. (META) has a higher volatility of 13.17% compared to Vanguard Information Technology ETF (VGT) at 8.81%. This indicates that META's price experiences larger fluctuations and is considered to be riskier than VGT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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