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MODL vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between MODL and ^GSPC is 0.95, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.01.0

Performance

MODL vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Victoryshares Westend U.S. Sector ETF (MODL) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

45.00%50.00%55.00%60.00%65.00%70.00%JulyAugustSeptemberOctoberNovemberDecember
66.91%
65.80%
MODL
^GSPC

Key characteristics

Sharpe Ratio

MODL:

2.31

^GSPC:

2.10

Sortino Ratio

MODL:

3.07

^GSPC:

2.80

Omega Ratio

MODL:

1.41

^GSPC:

1.39

Calmar Ratio

MODL:

3.58

^GSPC:

3.09

Martin Ratio

MODL:

15.38

^GSPC:

13.49

Ulcer Index

MODL:

1.81%

^GSPC:

1.94%

Daily Std Dev

MODL:

12.07%

^GSPC:

12.52%

Max Drawdown

MODL:

-10.05%

^GSPC:

-56.78%

Current Drawdown

MODL:

-2.63%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, MODL achieves a 25.90% return, which is significantly higher than ^GSPC's 24.34% return.


MODL

YTD

25.90%

1M

0.85%

6M

9.26%

1Y

26.77%

5Y*

N/A

10Y*

N/A

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

MODL vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Victoryshares Westend U.S. Sector ETF (MODL) and S&P 500 (^GSPC). 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 MODL, currently valued at 2.31, compared to the broader market0.002.004.002.312.10
The chart of Sortino ratio for MODL, currently valued at 3.07, compared to the broader market-2.000.002.004.006.008.0010.003.072.80
The chart of Omega ratio for MODL, currently valued at 1.41, compared to the broader market0.501.001.502.002.503.001.411.39
The chart of Calmar ratio for MODL, currently valued at 3.58, compared to the broader market0.005.0010.0015.003.583.09
The chart of Martin ratio for MODL, currently valued at 15.38, compared to the broader market0.0020.0040.0060.0080.00100.0015.3813.49
MODL
^GSPC

The current MODL Sharpe Ratio is 2.31, which is comparable to the ^GSPC Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of MODL and ^GSPC, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.31
2.10
MODL
^GSPC

Drawdowns

MODL vs. ^GSPC - Drawdown Comparison

The maximum MODL drawdown since its inception was -10.05%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for MODL and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.63%
-2.62%
MODL
^GSPC

Volatility

MODL vs. ^GSPC - Volatility Comparison

Victoryshares Westend U.S. Sector ETF (MODL) and S&P 500 (^GSPC) have volatilities of 3.62% and 3.79%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.62%
3.79%
MODL
^GSPC
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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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