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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.


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.

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Key characteristics

Sharpe Ratio

SNY:

0.43

VTI:

0.66

Sortino Ratio

SNY:

0.72

VTI:

1.12

Omega Ratio

SNY:

1.08

VTI:

1.17

Calmar Ratio

SNY:

0.42

VTI:

0.74

Martin Ratio

SNY:

0.94

VTI:

2.80

Ulcer Index

SNY:

9.65%

VTI:

5.11%

Daily Std Dev

SNY:

24.42%

VTI:

20.23%

Max Drawdown

SNY:

-46.65%

VTI:

-55.45%

Current Drawdown

SNY:

-9.17%

VTI:

-3.14%

Returns By Period

In the year-to-date period, SNY achieves a 11.90% return, which is significantly higher than VTI's 1.31% return. Over the past 10 years, SNY has underperformed VTI with an annualized return of 4.24%, while VTI has yielded a comparatively higher 12.18% annualized return.


SNY

YTD

11.90%

1M

6.74%

6M

12.51%

1Y

10.55%

5Y*

5.95%

10Y*

4.24%

VTI

YTD

1.31%

1M

13.31%

6M

1.46%

1Y

13.20%

5Y*

17.04%

10Y*

12.18%

*Annualized

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Risk-Adjusted Performance

SNY vs. VTI — Risk-Adjusted Performance Rank

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

SNY
The Risk-Adjusted Performance Rank of SNY is 6262
Overall Rank
The Sharpe Ratio Rank of SNY is 6969
Sharpe Ratio Rank
The Sortino Ratio Rank of SNY is 5757
Sortino Ratio Rank
The Omega Ratio Rank of SNY is 5454
Omega Ratio Rank
The Calmar Ratio Rank of SNY is 6969
Calmar Ratio Rank
The Martin Ratio Rank of SNY is 6363
Martin Ratio Rank

VTI
The Risk-Adjusted Performance Rank of VTI is 6868
Overall Rank
The Sharpe Ratio Rank of VTI is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of VTI is 6767
Sortino Ratio Rank
The Omega Ratio Rank of VTI is 7171
Omega Ratio Rank
The Calmar Ratio Rank of VTI is 7070
Calmar Ratio Rank
The Martin Ratio Rank of VTI is 6868
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.

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.


The current SNY Sharpe Ratio is 0.43, which is lower than the VTI Sharpe Ratio of 0.66. 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.


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Dividends

SNY vs. VTI - Dividend Comparison

SNY's dividend yield for the trailing twelve months is around 4.28%, more than VTI's 1.28% yield.


TTM20242023202220212020201920182017201620152014
SNY
Sanofi
4.28%4.22%3.82%4.22%3.80%3.61%3.46%4.29%3.67%4.03%3.77%4.19%
VTI
Vanguard Total Stock Market ETF
1.28%1.27%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%

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.


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Volatility

SNY vs. VTI - Volatility Comparison

Sanofi (SNY) has a higher volatility of 8.48% compared to Vanguard Total Stock Market ETF (VTI) at 5.53%. 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.


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