PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SID vs. VTSAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SID and VTSAX is 0.46, 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.


-0.50.00.51.00.5

Performance

SID vs. VTSAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Companhia Siderúrgica Nacional (SID) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). The values are adjusted to include any dividend payments, if applicable.

1,000.00%2,000.00%3,000.00%4,000.00%5,000.00%6,000.00%JulyAugustSeptemberOctoberNovemberDecember
3,593.05%
631.04%
SID
VTSAX

Key characteristics

Sharpe Ratio

SID:

-1.30

VTSAX:

2.09

Sortino Ratio

SID:

-2.22

VTSAX:

2.78

Omega Ratio

SID:

0.76

VTSAX:

1.39

Calmar Ratio

SID:

-0.67

VTSAX:

3.13

Martin Ratio

SID:

-1.55

VTSAX:

13.34

Ulcer Index

SID:

36.02%

VTSAX:

2.01%

Daily Std Dev

SID:

42.97%

VTSAX:

12.85%

Max Drawdown

SID:

-95.31%

VTSAX:

-55.34%

Current Drawdown

SID:

-83.10%

VTSAX:

-3.10%

Returns By Period

In the year-to-date period, SID achieves a -58.75% return, which is significantly lower than VTSAX's 24.80% return. Over the past 10 years, SID has underperformed VTSAX with an annualized return of 2.29%, while VTSAX has yielded a comparatively higher 12.51% annualized return.


SID

YTD

-58.75%

1M

-21.43%

6M

-33.91%

1Y

-58.22%

5Y*

-8.43%

10Y*

2.29%

VTSAX

YTD

24.80%

1M

-0.64%

6M

9.96%

1Y

25.16%

5Y*

14.07%

10Y*

12.51%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

SID vs. VTSAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Companhia Siderúrgica Nacional (SID) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). 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 SID, currently valued at -1.30, compared to the broader market-4.00-2.000.002.00-1.302.09
The chart of Sortino ratio for SID, currently valued at -2.22, compared to the broader market-4.00-2.000.002.004.00-2.222.78
The chart of Omega ratio for SID, currently valued at 0.76, compared to the broader market0.501.001.502.000.761.39
The chart of Calmar ratio for SID, currently valued at -0.67, compared to the broader market0.002.004.006.00-0.673.13
The chart of Martin ratio for SID, currently valued at -1.55, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.5513.34
SID
VTSAX

The current SID Sharpe Ratio is -1.30, which is lower than the VTSAX Sharpe Ratio of 2.09. The chart below compares the historical Sharpe Ratios of SID and VTSAX, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-1.30
2.09
SID
VTSAX

Dividends

SID vs. VTSAX - Dividend Comparison

SID's dividend yield for the trailing twelve months is around 9.09%, more than VTSAX's 0.93% yield.


TTM20232022202120202019201820172016201520142013
SID
Companhia Siderúrgica Nacional
9.09%12.65%14.31%8.36%0.03%6.90%7.43%0.00%0.00%14.65%5.96%8.53%
VTSAX
Vanguard Total Stock Market Index Fund Admiral Shares
0.93%1.43%1.65%1.20%1.41%1.77%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

SID vs. VTSAX - Drawdown Comparison

The maximum SID drawdown since its inception was -95.31%, which is greater than VTSAX's maximum drawdown of -55.34%. Use the drawdown chart below to compare losses from any high point for SID and VTSAX. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-83.10%
-3.10%
SID
VTSAX

Volatility

SID vs. VTSAX - Volatility Comparison

Companhia Siderúrgica Nacional (SID) has a higher volatility of 16.44% compared to Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) at 4.06%. This indicates that SID's price experiences larger fluctuations and is considered to be riskier than VTSAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
16.44%
4.06%
SID
VTSAX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab