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

Correlation

The correlation between NGVT and VOO 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.


-0.50.00.51.00.5

Performance

NGVT vs. VOO - Performance Comparison

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

50.00%100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
73.62%
231.60%
NGVT
VOO

Key characteristics

Sharpe Ratio

NGVT:

-0.21

VOO:

2.25

Sortino Ratio

NGVT:

0.05

VOO:

2.98

Omega Ratio

NGVT:

1.01

VOO:

1.42

Calmar Ratio

NGVT:

-0.14

VOO:

3.31

Martin Ratio

NGVT:

-0.51

VOO:

14.77

Ulcer Index

NGVT:

20.40%

VOO:

1.90%

Daily Std Dev

NGVT:

50.22%

VOO:

12.46%

Max Drawdown

NGVT:

-76.22%

VOO:

-33.99%

Current Drawdown

NGVT:

-65.15%

VOO:

-2.47%

Returns By Period

In the year-to-date period, NGVT achieves a -13.60% return, which is significantly lower than VOO's 26.02% return.


NGVT

YTD

-13.60%

1M

-11.76%

6M

-7.06%

1Y

-11.90%

5Y*

-14.07%

10Y*

N/A

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

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Risk-Adjusted Performance

NGVT vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Ingevity Corporation (NGVT) 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 NGVT, currently valued at -0.21, compared to the broader market-4.00-2.000.002.00-0.212.25
The chart of Sortino ratio for NGVT, currently valued at 0.05, compared to the broader market-4.00-2.000.002.004.000.052.98
The chart of Omega ratio for NGVT, currently valued at 1.01, compared to the broader market0.501.001.502.001.011.42
The chart of Calmar ratio for NGVT, currently valued at -0.14, compared to the broader market0.002.004.006.00-0.143.31
The chart of Martin ratio for NGVT, currently valued at -0.51, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.5114.77
NGVT
VOO

The current NGVT Sharpe Ratio is -0.21, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of NGVT 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 Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.21
2.25
NGVT
VOO

Dividends

NGVT vs. VOO - Dividend Comparison

NGVT has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 0.91%.


TTM20232022202120202019201820172016201520142013
NGVT
Ingevity Corporation
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
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

NGVT vs. VOO - Drawdown Comparison

The maximum NGVT drawdown since its inception was -76.22%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for NGVT and VOO. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-65.15%
-2.47%
NGVT
VOO

Volatility

NGVT vs. VOO - Volatility Comparison

Ingevity Corporation (NGVT) has a higher volatility of 12.02% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that NGVT'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%JulyAugustSeptemberOctoberNovemberDecember
12.02%
3.75%
NGVT
VOO
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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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