PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
NOBL vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


NOBLVOO
YTD Return11.38%23.64%
1Y Return25.76%42.02%
3Y Return (Ann)5.87%9.92%
5Y Return (Ann)9.96%15.81%
10Y Return (Ann)10.32%13.26%
Sharpe Ratio2.573.62
Sortino Ratio3.644.77
Omega Ratio1.461.68
Calmar Ratio2.224.14
Martin Ratio12.3023.93
Ulcer Index2.19%1.83%
Daily Std Dev10.49%12.09%
Max Drawdown-35.43%-33.99%
Current Drawdown-3.20%-0.48%

Correlation

-0.50.00.51.00.8

The correlation between NOBL and VOO is 0.85, 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.

Performance

NOBL vs. VOO - Performance Comparison

In the year-to-date period, NOBL achieves a 11.38% return, which is significantly lower than VOO's 23.64% return. Over the past 10 years, NOBL has underperformed VOO with an annualized return of 10.32%, while VOO has yielded a comparatively higher 13.26% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
9.29%
16.67%
NOBL
VOO

Compare stocks, funds, or ETFs

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


NOBL vs. VOO - Expense Ratio Comparison

NOBL has a 0.35% expense ratio, which is higher than VOO's 0.03% expense ratio.


NOBL
ProShares S&P 500 Dividend Aristocrats ETF
Expense ratio chart for NOBL: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

NOBL vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares S&P 500 Dividend Aristocrats ETF (NOBL) 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.


NOBL
Sharpe ratio
The chart of Sharpe ratio for NOBL, currently valued at 2.57, compared to the broader market-2.000.002.004.006.002.57
Sortino ratio
The chart of Sortino ratio for NOBL, currently valued at 3.64, compared to the broader market0.005.0010.003.64
Omega ratio
The chart of Omega ratio for NOBL, currently valued at 1.46, compared to the broader market1.001.502.002.503.001.46
Calmar ratio
The chart of Calmar ratio for NOBL, currently valued at 2.22, compared to the broader market0.005.0010.0015.002.22
Martin ratio
The chart of Martin ratio for NOBL, currently valued at 12.30, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.30
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.62, compared to the broader market-2.000.002.004.006.003.62
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.77, compared to the broader market0.005.0010.004.77
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.68, compared to the broader market1.001.502.002.503.001.68
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.14, compared to the broader market0.005.0010.0015.004.14
Martin ratio
The chart of Martin ratio for VOO, currently valued at 23.93, compared to the broader market0.0020.0040.0060.0080.00100.00120.0023.93

NOBL vs. VOO - Sharpe Ratio Comparison

The current NOBL Sharpe Ratio is 2.57, which is comparable to the VOO Sharpe Ratio of 3.62. The chart below compares the historical Sharpe Ratios of NOBL 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 Ratio0.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
2.57
3.62
NOBL
VOO

Dividends

NOBL vs. VOO - Dividend Comparison

NOBL's dividend yield for the trailing twelve months is around 2.02%, more than VOO's 1.27% yield.


TTM20232022202120202019201820172016201520142013
NOBL
ProShares S&P 500 Dividend Aristocrats ETF
2.02%2.09%1.94%1.89%2.14%1.89%2.37%1.74%2.13%2.02%1.59%0.30%
VOO
Vanguard S&P 500 ETF
1.27%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

NOBL vs. VOO - Drawdown Comparison

The maximum NOBL drawdown since its inception was -35.43%, roughly equal to the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for NOBL and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-3.20%
-0.48%
NOBL
VOO

Volatility

NOBL vs. VOO - Volatility Comparison

ProShares S&P 500 Dividend Aristocrats ETF (NOBL) and Vanguard S&P 500 ETF (VOO) have volatilities of 2.71% and 2.68%, 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%MayJuneJulyAugustSeptemberOctober
2.71%
2.68%
NOBL
VOO