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

Performance

ONEO vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Russell 1000 Momentum Focus ETF (ONEO) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
9.58%
11.74%
ONEO
VOO

Returns By Period

In the year-to-date period, ONEO achieves a 18.78% return, which is significantly lower than VOO's 25.02% return.


ONEO

YTD

18.78%

1M

1.13%

6M

9.58%

1Y

28.90%

5Y (annualized)

11.83%

10Y (annualized)

N/A

VOO

YTD

25.02%

1M

0.63%

6M

11.74%

1Y

32.35%

5Y (annualized)

15.50%

10Y (annualized)

13.11%

Key characteristics


ONEOVOO
Sharpe Ratio2.182.67
Sortino Ratio3.033.56
Omega Ratio1.371.50
Calmar Ratio3.823.85
Martin Ratio10.9317.51
Ulcer Index2.65%1.86%
Daily Std Dev13.26%12.23%
Max Drawdown-40.86%-33.99%
Current Drawdown-2.30%-1.76%

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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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for ONEO, currently valued at 2.25, compared to the broader market0.002.004.002.252.67
The chart of Sortino ratio for ONEO, currently valued at 3.12, compared to the broader market-2.000.002.004.006.008.0010.003.123.56
The chart of Omega ratio for ONEO, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.001.381.50
The chart of Calmar ratio for ONEO, currently valued at 4.26, compared to the broader market0.005.0010.0015.004.263.85
The chart of Martin ratio for ONEO, currently valued at 11.24, compared to the broader market0.0020.0040.0060.0080.00100.0011.2417.51
ONEO
VOO

The current ONEO Sharpe Ratio is 2.18, which is comparable to the VOO Sharpe Ratio of 2.67. 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
2.25
2.67
ONEO
VOO

Dividends

ONEO vs. VOO - Dividend Comparison

ONEO's dividend yield for the trailing twelve months is around 1.22%, less than VOO's 1.25% yield.


TTM20232022202120202019201820172016201520142013
ONEO
SPDR Russell 1000 Momentum Focus ETF
1.22%1.56%1.74%1.19%1.28%1.63%1.72%7.69%1.82%0.10%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.25%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
-2.30%
-1.76%
ONEO
VOO

Volatility

ONEO vs. VOO - Volatility Comparison

SPDR Russell 1000 Momentum Focus ETF (ONEO) and Vanguard S&P 500 ETF (VOO) have volatilities of 4.17% and 4.09%, 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%JuneJulyAugustSeptemberOctoberNovember
4.17%
4.09%
ONEO
VOO