PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ORCL vs. VTSAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ORCLVTSAX
YTD Return18.20%9.80%
1Y Return19.37%26.48%
3Y Return (Ann)18.13%7.62%
5Y Return (Ann)21.58%14.89%
10Y Return (Ann)13.18%12.03%
Sharpe Ratio0.652.24
Daily Std Dev31.80%11.82%
Max Drawdown-84.19%-55.34%
Current Drawdown-3.95%-1.29%

Correlation

-0.50.00.51.00.6

The correlation between ORCL and VTSAX is 0.63, 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.

Performance

ORCL vs. VTSAX - Performance Comparison

In the year-to-date period, ORCL achieves a 18.20% return, which is significantly higher than VTSAX's 9.80% return. Over the past 10 years, ORCL has outperformed VTSAX with an annualized return of 13.18%, while VTSAX has yielded a comparatively lower 12.03% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


400.00%450.00%500.00%550.00%December2024FebruaryMarchAprilMay
514.50%
543.18%
ORCL
VTSAX

Compare stocks, funds, or ETFs

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


Oracle Corporation

Vanguard Total Stock Market Index Fund Admiral Shares

Risk-Adjusted Performance

ORCL vs. VTSAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Oracle Corporation (ORCL) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). 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.


ORCL
Sharpe ratio
The chart of Sharpe ratio for ORCL, currently valued at 0.65, compared to the broader market-2.00-1.000.001.002.003.004.000.65
Sortino ratio
The chart of Sortino ratio for ORCL, currently valued at 1.01, compared to the broader market-4.00-2.000.002.004.006.001.01
Omega ratio
The chart of Omega ratio for ORCL, currently valued at 1.17, compared to the broader market0.501.001.502.001.17
Calmar ratio
The chart of Calmar ratio for ORCL, currently valued at 1.00, compared to the broader market0.002.004.006.001.00
Martin ratio
The chart of Martin ratio for ORCL, currently valued at 1.96, compared to the broader market0.0010.0020.0030.001.96
VTSAX
Sharpe ratio
The chart of Sharpe ratio for VTSAX, currently valued at 2.24, compared to the broader market-2.00-1.000.001.002.003.004.002.24
Sortino ratio
The chart of Sortino ratio for VTSAX, currently valued at 3.18, compared to the broader market-4.00-2.000.002.004.006.003.18
Omega ratio
The chart of Omega ratio for VTSAX, currently valued at 1.39, compared to the broader market0.501.001.502.001.39
Calmar ratio
The chart of Calmar ratio for VTSAX, currently valued at 1.88, compared to the broader market0.002.004.006.001.88
Martin ratio
The chart of Martin ratio for VTSAX, currently valued at 8.28, compared to the broader market0.0010.0020.0030.008.28

ORCL vs. VTSAX - Sharpe Ratio Comparison

The current ORCL Sharpe Ratio is 0.65, which is lower than the VTSAX Sharpe Ratio of 2.24. The chart below compares the 12-month rolling Sharpe Ratio of ORCL and VTSAX.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00December2024FebruaryMarchAprilMay
0.65
2.24
ORCL
VTSAX

Dividends

ORCL vs. VTSAX - Dividend Comparison

ORCL's dividend yield for the trailing twelve months is around 1.29%, less than VTSAX's 1.35% yield.


TTM20232022202120202019201820172016201520142013
ORCL
Oracle Corporation
1.29%1.44%1.57%1.38%1.48%1.72%1.68%1.52%1.56%1.56%1.07%0.63%
VTSAX
Vanguard Total Stock Market Index Fund Admiral Shares
1.35%1.43%1.65%1.20%1.41%1.76%2.03%1.71%1.92%1.98%1.76%1.74%

Drawdowns

ORCL vs. VTSAX - Drawdown Comparison

The maximum ORCL drawdown since its inception was -84.19%, which is greater than VTSAX's maximum drawdown of -55.34%. Use the drawdown chart below to compare losses from any high point for ORCL and VTSAX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%December2024FebruaryMarchAprilMay
-3.95%
-1.29%
ORCL
VTSAX

Volatility

ORCL vs. VTSAX - Volatility Comparison

Oracle Corporation (ORCL) has a higher volatility of 5.67% compared to Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) at 3.26%. This indicates that ORCL's price experiences larger fluctuations and is considered to be riskier than VTSAX 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%16.00%December2024FebruaryMarchAprilMay
5.67%
3.26%
ORCL
VTSAX