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

Key characteristics


RELXVOO
YTD Return22.73%27.26%
1Y Return33.94%37.86%
3Y Return (Ann)17.01%10.35%
5Y Return (Ann)17.46%16.03%
10Y Return (Ann)14.04%13.45%
Sharpe Ratio2.123.25
Sortino Ratio2.864.31
Omega Ratio1.361.61
Calmar Ratio4.424.74
Martin Ratio12.0621.63
Ulcer Index2.93%1.85%
Daily Std Dev16.69%12.25%
Max Drawdown-55.06%-33.99%
Current Drawdown-2.17%0.00%

Correlation

-0.50.00.51.00.6

The correlation between RELX and VOO is 0.55, 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

RELX vs. VOO - Performance Comparison

In the year-to-date period, RELX achieves a 22.73% return, which is significantly lower than VOO's 27.26% return. Both investments have delivered pretty close results over the past 10 years, with RELX having a 14.04% annualized return and VOO not far behind at 13.45%. 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%15.00%JuneJulyAugustSeptemberOctoberNovember
12.22%
15.73%
RELX
VOO

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Risk-Adjusted Performance

RELX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for RELX PLC (RELX) 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.


RELX
Sharpe ratio
The chart of Sharpe ratio for RELX, currently valued at 2.12, compared to the broader market-4.00-2.000.002.004.002.12
Sortino ratio
The chart of Sortino ratio for RELX, currently valued at 2.86, compared to the broader market-4.00-2.000.002.004.006.002.86
Omega ratio
The chart of Omega ratio for RELX, currently valued at 1.36, compared to the broader market0.501.001.502.001.36
Calmar ratio
The chart of Calmar ratio for RELX, currently valued at 4.42, compared to the broader market0.002.004.006.004.42
Martin ratio
The chart of Martin ratio for RELX, currently valued at 12.06, compared to the broader market0.0010.0020.0030.0012.06
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.25, compared to the broader market-4.00-2.000.002.004.003.25
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.31, compared to the broader market-4.00-2.000.002.004.006.004.31
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.61, compared to the broader market0.501.001.502.001.61
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.74, compared to the broader market0.002.004.006.004.74
Martin ratio
The chart of Martin ratio for VOO, currently valued at 21.63, compared to the broader market0.0010.0020.0030.0021.63

RELX vs. VOO - Sharpe Ratio Comparison

The current RELX Sharpe Ratio is 2.12, which is lower than the VOO Sharpe Ratio of 3.25. The chart below compares the historical Sharpe Ratios of RELX 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.12
3.25
RELX
VOO

Dividends

RELX vs. VOO - Dividend Comparison

RELX's dividend yield for the trailing twelve months is around 1.59%, more than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
RELX
RELX PLC
1.59%1.73%2.42%2.05%2.39%2.20%2.69%1.99%2.48%3.64%3.96%2.38%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

RELX vs. VOO - Drawdown Comparison

The maximum RELX drawdown since its inception was -55.06%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for RELX and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.17%
0
RELX
VOO

Volatility

RELX vs. VOO - Volatility Comparison

RELX PLC (RELX) has a higher volatility of 5.27% compared to Vanguard S&P 500 ETF (VOO) at 3.92%. This indicates that RELX'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%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
5.27%
3.92%
RELX
VOO