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

Performance

OCIO vs. AOA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ClearShares OCIO ETF (OCIO) and iShares Core Aggressive Allocation ETF (AOA). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
8.05%
7.87%
OCIO
AOA

Returns By Period

In the year-to-date period, OCIO achieves a 14.22% return, which is significantly lower than AOA's 15.71% return.


OCIO

YTD

14.22%

1M

1.74%

6M

8.05%

1Y

18.66%

5Y (annualized)

8.18%

10Y (annualized)

N/A

AOA

YTD

15.71%

1M

1.40%

6M

7.87%

1Y

21.70%

5Y (annualized)

8.87%

10Y (annualized)

7.88%

Key characteristics


OCIOAOA
Sharpe Ratio2.072.25
Sortino Ratio2.883.13
Omega Ratio1.381.41
Calmar Ratio2.833.48
Martin Ratio12.1214.28
Ulcer Index1.56%1.52%
Daily Std Dev9.18%9.61%
Max Drawdown-24.21%-28.38%
Current Drawdown-0.19%-0.53%

Compare stocks, funds, or ETFs

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


OCIO vs. AOA - Expense Ratio Comparison

OCIO has a 0.61% expense ratio, which is higher than AOA's 0.25% expense ratio.


OCIO
ClearShares OCIO ETF
Expense ratio chart for OCIO: current value at 0.61% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.61%
Expense ratio chart for AOA: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Correlation

The correlation between OCIO and AOA is 0.83, 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.


-0.50.00.51.00.8

Risk-Adjusted Performance

OCIO vs. AOA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ClearShares OCIO ETF (OCIO) and iShares Core Aggressive Allocation ETF (AOA). 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 OCIO, currently valued at 2.04, compared to the broader market-2.000.002.004.002.042.25
The chart of Sortino ratio for OCIO, currently valued at 2.85, compared to the broader market-2.000.002.004.006.008.0010.0012.002.853.13
The chart of Omega ratio for OCIO, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.371.41
The chart of Calmar ratio for OCIO, currently valued at 2.79, compared to the broader market0.005.0010.0015.002.793.48
The chart of Martin ratio for OCIO, currently valued at 11.93, compared to the broader market0.0020.0040.0060.0080.00100.0011.9314.28
OCIO
AOA

The current OCIO Sharpe Ratio is 2.07, which is comparable to the AOA Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of OCIO and AOA, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.04
2.25
OCIO
AOA

Dividends

OCIO vs. AOA - Dividend Comparison

OCIO's dividend yield for the trailing twelve months is around 1.88%, less than AOA's 2.09% yield.


TTM20232022202120202019201820172016201520142013
OCIO
ClearShares OCIO ETF
1.88%2.32%3.21%2.83%2.90%2.22%2.16%0.84%0.00%0.00%0.00%0.00%
AOA
iShares Core Aggressive Allocation ETF
2.09%2.22%2.10%1.67%1.71%2.50%2.37%5.09%2.02%2.15%2.18%1.84%

Drawdowns

OCIO vs. AOA - Drawdown Comparison

The maximum OCIO drawdown since its inception was -24.21%, smaller than the maximum AOA drawdown of -28.38%. Use the drawdown chart below to compare losses from any high point for OCIO and AOA. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.19%
-0.53%
OCIO
AOA

Volatility

OCIO vs. AOA - Volatility Comparison

ClearShares OCIO ETF (OCIO) and iShares Core Aggressive Allocation ETF (AOA) have volatilities of 2.61% and 2.57%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%JuneJulyAugustSeptemberOctoberNovember
2.61%
2.57%
OCIO
AOA
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab