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

Correlation

The correlation between PHG and VOO is 0.57, 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

PHG vs. VOO - Performance Comparison

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

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
-4.54%
7.93%
PHG
VOO

Key characteristics

Sharpe Ratio

PHG:

0.26

VOO:

2.04

Sortino Ratio

PHG:

0.80

VOO:

2.72

Omega Ratio

PHG:

1.12

VOO:

1.38

Calmar Ratio

PHG:

0.17

VOO:

3.02

Martin Ratio

PHG:

0.94

VOO:

13.60

Ulcer Index

PHG:

11.27%

VOO:

1.88%

Daily Std Dev

PHG:

40.51%

VOO:

12.52%

Max Drawdown

PHG:

-79.52%

VOO:

-33.99%

Current Drawdown

PHG:

-52.86%

VOO:

-3.52%

Returns By Period

In the year-to-date period, PHG achieves a 10.95% return, which is significantly lower than VOO's 24.65% return. Over the past 10 years, PHG has underperformed VOO with an annualized return of 1.85%, while VOO has yielded a comparatively higher 13.02% annualized return.


PHG

YTD

10.95%

1M

-3.62%

6M

-4.54%

1Y

12.69%

5Y*

-9.14%

10Y*

1.85%

VOO

YTD

24.65%

1M

-0.29%

6M

7.63%

1Y

24.77%

5Y*

14.57%

10Y*

13.02%

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Risk-Adjusted Performance

PHG vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Koninklijke Philips N.V. (PHG) 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 PHG, currently valued at 0.26, compared to the broader market-4.00-2.000.002.000.261.98
The chart of Sortino ratio for PHG, currently valued at 0.80, compared to the broader market-4.00-2.000.002.004.000.802.65
The chart of Omega ratio for PHG, currently valued at 1.12, compared to the broader market0.501.001.502.001.121.37
The chart of Calmar ratio for PHG, currently valued at 0.17, compared to the broader market0.002.004.006.000.172.93
The chart of Martin ratio for PHG, currently valued at 0.94, compared to the broader market0.0010.0020.000.9413.12
PHG
VOO

The current PHG Sharpe Ratio is 0.26, which is lower than the VOO Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of PHG 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
0.26
1.98
PHG
VOO

Dividends

PHG vs. VOO - Dividend Comparison

PHG has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.26%.


TTM20232022202120202019201820172016201520142013
PHG
Koninklijke Philips N.V.
0.00%0.00%6.95%3.03%1.87%2.17%3.11%2.52%3.18%3.94%4.17%2.93%
VOO
Vanguard S&P 500 ETF
0.92%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

PHG vs. VOO - Drawdown Comparison

The maximum PHG drawdown since its inception was -79.52%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for PHG and VOO. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-52.86%
-3.52%
PHG
VOO

Volatility

PHG vs. VOO - Volatility Comparison

Koninklijke Philips N.V. (PHG) has a higher volatility of 5.65% compared to Vanguard S&P 500 ETF (VOO) at 3.56%. This indicates that PHG'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.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
5.65%
3.56%
PHG
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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