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

Performance

MOD vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Modine Manufacturing Company (MOD) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
38.14%
12.21%
MOD
VOO

Returns By Period

In the year-to-date period, MOD achieves a 123.87% return, which is significantly higher than VOO's 25.52% return. Over the past 10 years, MOD has outperformed VOO with an annualized return of 26.91%, while VOO has yielded a comparatively lower 13.15% annualized return.


MOD

YTD

123.87%

1M

2.39%

6M

38.14%

1Y

158.96%

5Y (annualized)

78.66%

10Y (annualized)

26.91%

VOO

YTD

25.52%

1M

1.19%

6M

12.21%

1Y

32.23%

5Y (annualized)

15.58%

10Y (annualized)

13.15%

Key characteristics


MODVOO
Sharpe Ratio2.712.62
Sortino Ratio2.963.50
Omega Ratio1.401.49
Calmar Ratio7.123.78
Martin Ratio19.7717.12
Ulcer Index7.98%1.86%
Daily Std Dev58.29%12.19%
Max Drawdown-97.53%-33.99%
Current Drawdown-1.74%-1.36%

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Correlation

-0.50.00.51.00.5

The correlation between MOD 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.

Risk-Adjusted Performance

MOD vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Modine Manufacturing Company (MOD) 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.


Sharpe ratio
The chart of Sharpe ratio for MOD, currently valued at 2.71, compared to the broader market-4.00-2.000.002.004.002.712.62
The chart of Sortino ratio for MOD, currently valued at 2.96, compared to the broader market-4.00-2.000.002.004.002.963.50
The chart of Omega ratio for MOD, currently valued at 1.40, compared to the broader market0.501.001.502.001.401.49
The chart of Calmar ratio for MOD, currently valued at 7.12, compared to the broader market0.002.004.006.007.123.78
The chart of Martin ratio for MOD, currently valued at 19.77, compared to the broader market-10.000.0010.0020.0030.0019.7717.12
MOD
VOO

The current MOD Sharpe Ratio is 2.71, which is comparable to the VOO Sharpe Ratio of 2.62. The chart below compares the historical Sharpe Ratios of MOD 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 Ratio1.002.003.004.005.006.007.008.00JuneJulyAugustSeptemberOctoberNovember
2.71
2.62
MOD
VOO

Dividends

MOD vs. VOO - Dividend Comparison

MOD has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.25%.


TTM20232022202120202019201820172016201520142013
MOD
Modine Manufacturing Company
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.25%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

MOD vs. VOO - Drawdown Comparison

The maximum MOD drawdown since its inception was -97.53%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for MOD and VOO. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.74%
-1.36%
MOD
VOO

Volatility

MOD vs. VOO - Volatility Comparison

Modine Manufacturing Company (MOD) has a higher volatility of 20.02% compared to Vanguard S&P 500 ETF (VOO) at 4.10%. This indicates that MOD'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%25.00%30.00%35.00%JuneJulyAugustSeptemberOctoberNovember
20.02%
4.10%
MOD
VOO