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

Correlation

The correlation between SGML and VOO is 0.34, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.3

Performance

SGML vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Sigma Lithium Resources Corp (SGML) 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%SeptemberOctoberNovemberDecember2025February
9.41%
10.51%
SGML
VOO

Key characteristics

Sharpe Ratio

SGML:

-0.33

VOO:

1.89

Sortino Ratio

SGML:

-0.08

VOO:

2.54

Omega Ratio

SGML:

0.99

VOO:

1.35

Calmar Ratio

SGML:

-0.26

VOO:

2.83

Martin Ratio

SGML:

-0.67

VOO:

11.83

Ulcer Index

SGML:

31.15%

VOO:

2.02%

Daily Std Dev

SGML:

62.13%

VOO:

12.66%

Max Drawdown

SGML:

-79.50%

VOO:

-33.99%

Current Drawdown

SGML:

-72.33%

VOO:

-0.42%

Returns By Period

In the year-to-date period, SGML achieves a 4.55% return, which is significantly higher than VOO's 4.17% return.


SGML

YTD

4.55%

1M

1.65%

6M

9.42%

1Y

-8.72%

5Y*

N/A

10Y*

N/A

VOO

YTD

4.17%

1M

1.23%

6M

10.51%

1Y

24.45%

5Y*

14.68%

10Y*

13.26%

*Annualized

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Risk-Adjusted Performance

SGML vs. VOO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SGML
The Risk-Adjusted Performance Rank of SGML is 3030
Overall Rank
The Sharpe Ratio Rank of SGML is 2929
Sharpe Ratio Rank
The Sortino Ratio Rank of SGML is 3030
Sortino Ratio Rank
The Omega Ratio Rank of SGML is 3030
Omega Ratio Rank
The Calmar Ratio Rank of SGML is 3131
Calmar Ratio Rank
The Martin Ratio Rank of SGML is 3232
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 7979
Overall Rank
The Sharpe Ratio Rank of VOO is 7979
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 7676
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 7878
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 7979
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 8282
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

SGML vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Sigma Lithium Resources Corp (SGML) 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 SGML, currently valued at -0.33, compared to the broader market-2.000.002.00-0.331.89
The chart of Sortino ratio for SGML, currently valued at -0.08, compared to the broader market-4.00-2.000.002.004.006.00-0.082.54
The chart of Omega ratio for SGML, currently valued at 0.99, compared to the broader market0.501.001.502.000.991.35
The chart of Calmar ratio for SGML, currently valued at -0.26, compared to the broader market0.002.004.006.00-0.262.83
The chart of Martin ratio for SGML, currently valued at -0.67, compared to the broader market-10.000.0010.0020.0030.00-0.6711.83
SGML
VOO

The current SGML Sharpe Ratio is -0.33, which is lower than the VOO Sharpe Ratio of 1.89. The chart below compares the historical Sharpe Ratios of SGML 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-1.000.001.002.003.004.00SeptemberOctoberNovemberDecember2025February
-0.33
1.89
SGML
VOO

Dividends

SGML vs. VOO - Dividend Comparison

SGML has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.19%.


TTM20242023202220212020201920182017201620152014
SGML
Sigma Lithium Resources Corp
0.00%0.00%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
1.19%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

SGML vs. VOO - Drawdown Comparison

The maximum SGML drawdown since its inception was -79.50%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for SGML and VOO. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%SeptemberOctoberNovemberDecember2025February
-72.33%
-0.42%
SGML
VOO

Volatility

SGML vs. VOO - Volatility Comparison

Sigma Lithium Resources Corp (SGML) has a higher volatility of 13.26% compared to Vanguard S&P 500 ETF (VOO) at 2.94%. This indicates that SGML'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%25.00%SeptemberOctoberNovemberDecember2025February
13.26%
2.94%
SGML
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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