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

Correlation

The correlation between ROK and VOO is 0.69, 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.


-0.50.00.51.00.7

Performance

ROK vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Rockwell Automation, Inc. (ROK) 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%15.00%JulyAugustSeptemberOctoberNovemberDecember
9.81%
10.43%
ROK
VOO

Key characteristics

Sharpe Ratio

ROK:

-0.12

VOO:

2.22

Sortino Ratio

ROK:

0.06

VOO:

2.95

Omega Ratio

ROK:

1.01

VOO:

1.42

Calmar Ratio

ROK:

-0.15

VOO:

3.27

Martin Ratio

ROK:

-0.35

VOO:

14.57

Ulcer Index

ROK:

11.37%

VOO:

1.90%

Daily Std Dev

ROK:

32.91%

VOO:

12.47%

Max Drawdown

ROK:

-75.83%

VOO:

-33.99%

Current Drawdown

ROK:

-14.32%

VOO:

-1.77%

Returns By Period

In the year-to-date period, ROK achieves a -5.11% return, which is significantly lower than VOO's 26.92% return. Over the past 10 years, ROK has underperformed VOO with an annualized return of 12.11%, while VOO has yielded a comparatively higher 13.12% annualized return.


ROK

YTD

-5.11%

1M

-0.57%

6M

9.81%

1Y

-4.28%

5Y*

9.30%

10Y*

12.11%

VOO

YTD

26.92%

1M

0.27%

6M

10.43%

1Y

27.36%

5Y*

14.95%

10Y*

13.12%

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Risk-Adjusted Performance

ROK vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Rockwell Automation, Inc. (ROK) 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 ROK, currently valued at -0.12, compared to the broader market-4.00-2.000.002.00-0.122.22
The chart of Sortino ratio for ROK, currently valued at 0.06, compared to the broader market-4.00-2.000.002.004.000.062.95
The chart of Omega ratio for ROK, currently valued at 1.01, compared to the broader market0.501.001.502.001.011.42
The chart of Calmar ratio for ROK, currently valued at -0.15, compared to the broader market0.002.004.006.00-0.153.27
The chart of Martin ratio for ROK, currently valued at -0.35, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.3514.57
ROK
VOO

The current ROK Sharpe Ratio is -0.12, which is lower than the VOO Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of ROK 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 Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.12
2.22
ROK
VOO

Dividends

ROK vs. VOO - Dividend Comparison

ROK's dividend yield for the trailing twelve months is around 1.75%, more than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
ROK
Rockwell Automation, Inc.
1.75%1.54%1.76%1.24%1.65%1.94%2.42%1.59%2.18%2.61%2.15%1.77%
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

ROK vs. VOO - Drawdown Comparison

The maximum ROK drawdown since its inception was -75.83%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ROK and VOO. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-14.32%
-1.77%
ROK
VOO

Volatility

ROK vs. VOO - Volatility Comparison

Rockwell Automation, Inc. (ROK) has a higher volatility of 7.44% compared to Vanguard S&P 500 ETF (VOO) at 3.78%. This indicates that ROK'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%14.00%JulyAugustSeptemberOctoberNovemberDecember
7.44%
3.78%
ROK
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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