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

Correlation

The correlation between SLB and VTI is 0.53, 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

SLB vs. VTI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Schlumberger Limited (SLB) and Vanguard Total Stock Market ETF (VTI). The values are adjusted to include any dividend payments, if applicable.

100.00%200.00%300.00%400.00%500.00%600.00%700.00%JulyAugustSeptemberOctoberNovemberDecember
85.03%
677.31%
SLB
VTI

Key characteristics

Sharpe Ratio

SLB:

-1.06

VTI:

2.10

Sortino Ratio

SLB:

-1.44

VTI:

2.80

Omega Ratio

SLB:

0.83

VTI:

1.39

Calmar Ratio

SLB:

-0.48

VTI:

3.14

Martin Ratio

SLB:

-1.71

VTI:

13.44

Ulcer Index

SLB:

16.43%

VTI:

2.00%

Daily Std Dev

SLB:

26.65%

VTI:

12.79%

Max Drawdown

SLB:

-87.63%

VTI:

-55.45%

Current Drawdown

SLB:

-58.41%

VTI:

-3.03%

Returns By Period

In the year-to-date period, SLB achieves a -27.44% return, which is significantly lower than VTI's 24.89% return. Over the past 10 years, SLB has underperformed VTI with an annualized return of -5.67%, while VTI has yielded a comparatively higher 12.52% annualized return.


SLB

YTD

-27.44%

1M

-15.88%

6M

-18.30%

1Y

-28.87%

5Y*

0.16%

10Y*

-5.67%

VTI

YTD

24.89%

1M

-0.60%

6M

10.03%

1Y

25.20%

5Y*

14.09%

10Y*

12.52%

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

SLB vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Schlumberger Limited (SLB) and Vanguard Total Stock Market ETF (VTI). 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 SLB, currently valued at -1.06, compared to the broader market-4.00-2.000.002.00-1.062.10
The chart of Sortino ratio for SLB, currently valued at -1.44, compared to the broader market-4.00-2.000.002.004.00-1.442.80
The chart of Omega ratio for SLB, currently valued at 0.83, compared to the broader market0.501.001.502.000.831.39
The chart of Calmar ratio for SLB, currently valued at -0.48, compared to the broader market0.002.004.006.00-0.483.14
The chart of Martin ratio for SLB, currently valued at -1.71, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.7113.44
SLB
VTI

The current SLB Sharpe Ratio is -1.06, which is lower than the VTI Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of SLB and VTI, 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
-1.06
2.10
SLB
VTI

Dividends

SLB vs. VTI - Dividend Comparison

SLB's dividend yield for the trailing twelve months is around 2.99%, more than VTI's 0.93% yield.


TTM20232022202120202019201820172016201520142013
SLB
Schlumberger Limited
2.99%1.92%1.22%1.67%4.01%4.98%5.54%2.97%2.38%2.87%1.87%1.39%
VTI
Vanguard Total Stock Market ETF
0.93%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

SLB vs. VTI - Drawdown Comparison

The maximum SLB drawdown since its inception was -87.63%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for SLB and VTI. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-58.41%
-3.03%
SLB
VTI

Volatility

SLB vs. VTI - Volatility Comparison

Schlumberger Limited (SLB) has a higher volatility of 6.36% compared to Vanguard Total Stock Market ETF (VTI) at 4.00%. This indicates that SLB's price experiences larger fluctuations and is considered to be riskier than VTI 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%JulyAugustSeptemberOctoberNovemberDecember
6.36%
4.00%
SLB
VTI
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