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SHG vs. VOOG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SHG and VOOG is 0.47, 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

SHG vs. VOOG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Shinhan Financial Group Co., Ltd. (SHG) and Vanguard S&P 500 Growth ETF (VOOG). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SHG:

0.26

VOOG:

0.62

Sortino Ratio

SHG:

0.71

VOOG:

1.01

Omega Ratio

SHG:

1.08

VOOG:

1.14

Calmar Ratio

SHG:

0.29

VOOG:

0.70

Martin Ratio

SHG:

0.58

VOOG:

2.34

Ulcer Index

SHG:

17.39%

VOOG:

6.61%

Daily Std Dev

SHG:

33.47%

VOOG:

24.78%

Max Drawdown

SHG:

-81.41%

VOOG:

-32.73%

Current Drawdown

SHG:

-19.21%

VOOG:

-8.94%

Returns By Period

In the year-to-date period, SHG achieves a 11.32% return, which is significantly higher than VOOG's -4.23% return. Over the past 10 years, SHG has underperformed VOOG with an annualized return of 3.09%, while VOOG has yielded a comparatively higher 14.27% annualized return.


SHG

YTD

11.32%

1M

17.80%

6M

-9.74%

1Y

6.77%

5Y*

14.50%

10Y*

3.09%

VOOG

YTD

-4.23%

1M

9.45%

6M

-3.79%

1Y

15.23%

5Y*

16.00%

10Y*

14.27%

*Annualized

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Risk-Adjusted Performance

SHG vs. VOOG — Risk-Adjusted Performance Rank

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

SHG
The Risk-Adjusted Performance Rank of SHG is 6060
Overall Rank
The Sharpe Ratio Rank of SHG is 6363
Sharpe Ratio Rank
The Sortino Ratio Rank of SHG is 5858
Sortino Ratio Rank
The Omega Ratio Rank of SHG is 5656
Omega Ratio Rank
The Calmar Ratio Rank of SHG is 6565
Calmar Ratio Rank
The Martin Ratio Rank of SHG is 5959
Martin Ratio Rank

VOOG
The Risk-Adjusted Performance Rank of VOOG is 6969
Overall Rank
The Sharpe Ratio Rank of VOOG is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of VOOG is 6868
Sortino Ratio Rank
The Omega Ratio Rank of VOOG is 6969
Omega Ratio Rank
The Calmar Ratio Rank of VOOG is 7575
Calmar Ratio Rank
The Martin Ratio Rank of VOOG is 6767
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.

SHG vs. VOOG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Shinhan Financial Group Co., Ltd. (SHG) and Vanguard S&P 500 Growth ETF (VOOG). 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.


The current SHG Sharpe Ratio is 0.26, which is lower than the VOOG Sharpe Ratio of 0.62. The chart below compares the historical Sharpe Ratios of SHG and VOOG, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

SHG vs. VOOG - Dividend Comparison

SHG's dividend yield for the trailing twelve months is around 3.19%, more than VOOG's 0.58% yield.


TTM20242023202220212020201920182017201620152014
SHG
Shinhan Financial Group Co., Ltd.
3.19%5.95%3.87%5.54%5.23%4.47%3.96%3.91%2.91%3.35%3.10%2.14%
VOOG
Vanguard S&P 500 Growth ETF
0.58%0.49%1.12%0.93%0.53%0.88%1.26%1.34%1.32%1.47%1.56%1.28%

Drawdowns

SHG vs. VOOG - Drawdown Comparison

The maximum SHG drawdown since its inception was -81.41%, which is greater than VOOG's maximum drawdown of -32.73%. Use the drawdown chart below to compare losses from any high point for SHG and VOOG. For additional features, visit the drawdowns tool.


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Volatility

SHG vs. VOOG - Volatility Comparison

Shinhan Financial Group Co., Ltd. (SHG) and Vanguard S&P 500 Growth ETF (VOOG) have volatilities of 7.93% and 8.26%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


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