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

Correlation

The correlation between OMC and VOO is 0.59, 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.


-0.50.00.51.00.6

Performance

OMC vs. VOO - Performance Comparison

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

300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
270.68%
602.93%
OMC
VOO

Key characteristics

Sharpe Ratio

OMC:

0.33

VOO:

2.25

Sortino Ratio

OMC:

0.55

VOO:

2.98

Omega Ratio

OMC:

1.08

VOO:

1.42

Calmar Ratio

OMC:

0.46

VOO:

3.31

Martin Ratio

OMC:

1.63

VOO:

14.77

Ulcer Index

OMC:

4.73%

VOO:

1.90%

Daily Std Dev

OMC:

23.49%

VOO:

12.46%

Max Drawdown

OMC:

-61.22%

VOO:

-33.99%

Current Drawdown

OMC:

-15.09%

VOO:

-2.47%

Returns By Period

In the year-to-date period, OMC achieves a 5.85% return, which is significantly lower than VOO's 26.02% return. Over the past 10 years, OMC has underperformed VOO with an annualized return of 4.77%, while VOO has yielded a comparatively higher 13.08% annualized return.


OMC

YTD

5.85%

1M

-9.59%

6M

-0.32%

1Y

5.95%

5Y*

5.69%

10Y*

4.77%

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

OMC vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Omnicom Group Inc. (OMC) 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 OMC, currently valued at 0.33, compared to the broader market-4.00-2.000.002.000.332.25
The chart of Sortino ratio for OMC, currently valued at 0.55, compared to the broader market-4.00-2.000.002.004.000.552.98
The chart of Omega ratio for OMC, currently valued at 1.08, compared to the broader market0.501.001.502.001.081.42
The chart of Calmar ratio for OMC, currently valued at 0.46, compared to the broader market0.002.004.006.000.463.31
The chart of Martin ratio for OMC, currently valued at 1.63, compared to the broader market-5.000.005.0010.0015.0020.0025.001.6314.77
OMC
VOO

The current OMC Sharpe Ratio is 0.33, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of OMC 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.33
2.25
OMC
VOO

Dividends

OMC vs. VOO - Dividend Comparison

OMC's dividend yield for the trailing twelve months is around 3.15%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
OMC
Omnicom Group Inc.
3.15%3.24%3.43%3.82%4.17%3.21%3.28%3.09%2.53%2.64%2.45%2.15%
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

OMC vs. VOO - Drawdown Comparison

The maximum OMC drawdown since its inception was -61.22%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for OMC and VOO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-15.09%
-2.47%
OMC
VOO

Volatility

OMC vs. VOO - Volatility Comparison

Omnicom Group Inc. (OMC) has a higher volatility of 12.22% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that OMC'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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
12.22%
3.75%
OMC
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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