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

Performance

PYPY vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Yieldmax PYPL Option Income Strategy ETF (PYPY) 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%40.00%JuneJulyAugustSeptemberOctoberNovember
35.30%
13.23%
PYPY
VOO

Returns By Period

In the year-to-date period, PYPY achieves a 44.31% return, which is significantly higher than VOO's 26.58% return.


PYPY

YTD

44.31%

1M

5.98%

6M

35.30%

1Y

54.56%

5Y (annualized)

N/A

10Y (annualized)

N/A

VOO

YTD

26.58%

1M

3.05%

6M

13.23%

1Y

32.77%

5Y (annualized)

15.74%

10Y (annualized)

13.22%

Key characteristics


PYPYVOO
Sharpe Ratio2.122.69
Sortino Ratio2.653.59
Omega Ratio1.391.50
Calmar Ratio3.713.88
Martin Ratio10.4817.58
Ulcer Index5.21%1.86%
Daily Std Dev25.78%12.19%
Max Drawdown-14.70%-33.99%
Current Drawdown0.00%-0.53%

Compare stocks, funds, or ETFs

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PYPY vs. VOO - Expense Ratio Comparison

PYPY has a 1.01% expense ratio, which is higher than VOO's 0.03% expense ratio.


PYPY
Yieldmax PYPL Option Income Strategy ETF
Expense ratio chart for PYPY: current value at 1.01% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.01%
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

-0.50.00.51.00.4

The correlation between PYPY and VOO is 0.42, 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.

Risk-Adjusted Performance

PYPY vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Yieldmax PYPL Option Income Strategy ETF (PYPY) 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 PYPY, currently valued at 2.12, compared to the broader market0.002.004.002.122.69
The chart of Sortino ratio for PYPY, currently valued at 2.65, compared to the broader market-2.000.002.004.006.008.0010.0012.002.653.59
The chart of Omega ratio for PYPY, currently valued at 1.39, compared to the broader market0.501.001.502.002.503.001.391.50
The chart of Calmar ratio for PYPY, currently valued at 3.71, compared to the broader market0.005.0010.0015.0020.003.713.88
The chart of Martin ratio for PYPY, currently valued at 10.48, compared to the broader market0.0020.0040.0060.0080.00100.0010.4817.58
PYPY
VOO

The current PYPY Sharpe Ratio is 2.12, which is comparable to the VOO Sharpe Ratio of 2.69. The chart below compares the historical Sharpe Ratios of PYPY 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 Ratio1.502.002.503.003.50Sep 29Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10Nov 17
2.12
2.69
PYPY
VOO

Dividends

PYPY vs. VOO - Dividend Comparison

PYPY's dividend yield for the trailing twelve months is around 46.55%, more than VOO's 1.24% yield.


TTM20232022202120202019201820172016201520142013
PYPY
Yieldmax PYPL Option Income Strategy ETF
46.55%5.70%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

PYPY vs. VOO - Drawdown Comparison

The maximum PYPY drawdown since its inception was -14.70%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for PYPY and VOO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.53%
PYPY
VOO

Volatility

PYPY vs. VOO - Volatility Comparison

Yieldmax PYPL Option Income Strategy ETF (PYPY) has a higher volatility of 7.03% compared to Vanguard S&P 500 ETF (VOO) at 3.99%. This indicates that PYPY'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%JuneJulyAugustSeptemberOctoberNovember
7.03%
3.99%
PYPY
VOO