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

Key characteristics


ONEOVOO
YTD Return14.04%21.11%
1Y Return27.38%32.98%
3Y Return (Ann)5.28%8.44%
5Y Return (Ann)11.15%15.04%
Sharpe Ratio2.532.84
Sortino Ratio3.513.76
Omega Ratio1.431.53
Calmar Ratio2.674.05
Martin Ratio12.9218.51
Ulcer Index2.64%1.85%
Daily Std Dev13.22%12.06%
Max Drawdown-40.86%-33.99%
Current Drawdown-2.91%-2.52%

Correlation

-0.50.00.51.00.9

The correlation between ONEO 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

ONEO vs. VOO - Performance Comparison

In the year-to-date period, ONEO achieves a 14.04% return, which is significantly lower than VOO's 21.11% 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%JuneJulyAugustSeptemberOctoberNovember
7.02%
11.08%
ONEO
VOO

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ONEO vs. VOO - Expense Ratio Comparison

ONEO has a 0.20% expense ratio, which is higher than VOO's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


ONEO
SPDR Russell 1000 Momentum Focus ETF
Expense ratio chart for ONEO: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
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

ONEO vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Russell 1000 Momentum Focus ETF (ONEO) 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.


ONEO
Sharpe ratio
The chart of Sharpe ratio for ONEO, currently valued at 2.24, compared to the broader market0.002.004.006.002.24
Sortino ratio
The chart of Sortino ratio for ONEO, currently valued at 3.12, compared to the broader market0.005.0010.003.12
Omega ratio
The chart of Omega ratio for ONEO, currently valued at 1.38, compared to the broader market1.001.502.002.503.003.501.38
Calmar ratio
The chart of Calmar ratio for ONEO, currently valued at 2.69, compared to the broader market0.005.0010.0015.0020.002.69
Martin ratio
The chart of Martin ratio for ONEO, currently valued at 11.24, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.24
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 2.84, compared to the broader market0.002.004.006.002.84
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 3.76, compared to the broader market0.005.0010.003.76
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.53, compared to the broader market1.001.502.002.503.003.501.53
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.05, compared to the broader market0.005.0010.0015.0020.004.05
Martin ratio
The chart of Martin ratio for VOO, currently valued at 18.51, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.51

ONEO vs. VOO - Sharpe Ratio Comparison

The current ONEO Sharpe Ratio is 2.53, which is comparable to the VOO Sharpe Ratio of 2.84. The chart below compares the historical Sharpe Ratios of ONEO 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.24
2.84
ONEO
VOO

Dividends

ONEO vs. VOO - Dividend Comparison

ONEO's dividend yield for the trailing twelve months is around 1.27%, less than VOO's 1.29% yield.


TTM20232022202120202019201820172016201520142013
ONEO
SPDR Russell 1000 Momentum Focus ETF
1.27%1.56%1.73%1.19%1.28%1.64%1.72%7.69%1.82%0.10%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.29%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

ONEO vs. VOO - Drawdown Comparison

The maximum ONEO drawdown since its inception was -40.86%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ONEO and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.91%
-2.52%
ONEO
VOO

Volatility

ONEO vs. VOO - Volatility Comparison

The current volatility for SPDR Russell 1000 Momentum Focus ETF (ONEO) is 2.82%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.15%. This indicates that ONEO experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.82%
3.15%
ONEO
VOO