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SNY vs. VTI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SNY and VTI is 0.48, 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

SNY vs. VTI - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
0.53%
9.67%
SNY
VTI

Key characteristics

Sharpe Ratio

SNY:

-0.07

VTI:

2.07

Sortino Ratio

SNY:

0.06

VTI:

2.76

Omega Ratio

SNY:

1.01

VTI:

1.38

Calmar Ratio

SNY:

-0.07

VTI:

3.09

Martin Ratio

SNY:

-0.18

VTI:

13.22

Ulcer Index

SNY:

8.86%

VTI:

2.00%

Daily Std Dev

SNY:

22.20%

VTI:

12.77%

Max Drawdown

SNY:

-46.65%

VTI:

-55.45%

Current Drawdown

SNY:

-18.91%

VTI:

-3.35%

Returns By Period

In the year-to-date period, SNY achieves a -4.56% return, which is significantly lower than VTI's 24.48% return. Over the past 10 years, SNY has underperformed VTI with an annualized return of 3.87%, while VTI has yielded a comparatively higher 12.50% annualized return.


SNY

YTD

-4.56%

1M

-1.13%

6M

1.30%

1Y

-1.56%

5Y*

1.77%

10Y*

3.87%

VTI

YTD

24.48%

1M

-0.18%

6M

9.50%

1Y

26.46%

5Y*

14.02%

10Y*

12.50%

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Risk-Adjusted Performance

SNY vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Sanofi (SNY) 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 SNY, currently valued at -0.07, compared to the broader market-4.00-2.000.002.00-0.072.07
The chart of Sortino ratio for SNY, currently valued at 0.06, compared to the broader market-4.00-2.000.002.004.000.062.76
The chart of Omega ratio for SNY, currently valued at 1.01, compared to the broader market0.501.001.502.001.011.38
The chart of Calmar ratio for SNY, currently valued at -0.07, compared to the broader market0.002.004.006.00-0.073.09
The chart of Martin ratio for SNY, currently valued at -0.18, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.1813.22
SNY
VTI

The current SNY Sharpe Ratio is -0.07, which is lower than the VTI Sharpe Ratio of 2.07. The chart below compares the historical Sharpe Ratios of SNY 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.07
2.07
SNY
VTI

Dividends

SNY vs. VTI - Dividend Comparison

SNY's dividend yield for the trailing twelve months is around 4.29%, more than VTI's 1.28% yield.


TTM20232022202120202019201820172016201520142013
SNY
Sanofi
4.29%3.83%4.22%3.80%3.61%3.46%4.29%3.67%4.03%3.79%4.19%3.47%
VTI
Vanguard Total Stock Market ETF
0.94%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

SNY vs. VTI - Drawdown Comparison

The maximum SNY drawdown since its inception was -46.65%, smaller than the maximum VTI drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for SNY and VTI. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-18.91%
-3.35%
SNY
VTI

Volatility

SNY vs. VTI - Volatility Comparison

Sanofi (SNY) has a higher volatility of 8.69% compared to Vanguard Total Stock Market ETF (VTI) at 3.91%. This indicates that SNY'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%JulyAugustSeptemberOctoberNovemberDecember
8.69%
3.91%
SNY
VTI
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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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