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

Correlation

The correlation between SIGI and VOO is 0.51, 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

SIGI vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Selective Insurance Group, Inc. (SIGI) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SIGI:

-0.23

VOO:

0.52

Sortino Ratio

SIGI:

-0.13

VOO:

0.89

Omega Ratio

SIGI:

0.98

VOO:

1.13

Calmar Ratio

SIGI:

-0.32

VOO:

0.57

Martin Ratio

SIGI:

-0.82

VOO:

2.18

Ulcer Index

SIGI:

10.68%

VOO:

4.85%

Daily Std Dev

SIGI:

32.89%

VOO:

19.11%

Max Drawdown

SIGI:

-63.06%

VOO:

-33.99%

Current Drawdown

SIGI:

-16.47%

VOO:

-7.67%

Returns By Period

In the year-to-date period, SIGI achieves a -3.61% return, which is significantly lower than VOO's -3.41% return. Over the past 10 years, SIGI has outperformed VOO with an annualized return of 14.30%, while VOO has yielded a comparatively lower 12.31% annualized return.


SIGI

YTD

-3.61%

1M

3.58%

6M

-9.40%

1Y

-7.15%

5Y*

16.42%

10Y*

14.30%

VOO

YTD

-3.41%

1M

5.73%

6M

-5.06%

1Y

9.79%

5Y*

16.35%

10Y*

12.31%

*Annualized

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Risk-Adjusted Performance

SIGI vs. VOO — Risk-Adjusted Performance Rank

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

SIGI
The Risk-Adjusted Performance Rank of SIGI is 3232
Overall Rank
The Sharpe Ratio Rank of SIGI is 3737
Sharpe Ratio Rank
The Sortino Ratio Rank of SIGI is 3333
Sortino Ratio Rank
The Omega Ratio Rank of SIGI is 3232
Omega Ratio Rank
The Calmar Ratio Rank of SIGI is 2626
Calmar Ratio Rank
The Martin Ratio Rank of SIGI is 2929
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 6868
Overall Rank
The Sharpe Ratio Rank of VOO is 6363
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 6666
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6868
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 7171
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6969
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.

SIGI vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Selective Insurance Group, Inc. (SIGI) 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.


The current SIGI Sharpe Ratio is -0.23, which is lower than the VOO Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of SIGI 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.


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Dividends

SIGI vs. VOO - Dividend Comparison

SIGI's dividend yield for the trailing twelve months is around 1.63%, more than VOO's 1.34% yield.


TTM20242023202220212020201920182017201620152014
SIGI
Selective Insurance Group, Inc.
1.63%1.53%1.26%1.29%1.26%1.40%1.27%1.21%1.12%1.42%1.70%1.95%
VOO
Vanguard S&P 500 ETF
1.34%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

SIGI vs. VOO - Drawdown Comparison

The maximum SIGI drawdown since its inception was -63.06%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for SIGI and VOO. For additional features, visit the drawdowns tool.


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Volatility

SIGI vs. VOO - Volatility Comparison

The current volatility for Selective Insurance Group, Inc. (SIGI) is 5.82%, while Vanguard S&P 500 ETF (VOO) has a volatility of 6.83%. This indicates that SIGI experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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