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

Correlation

The correlation between SPRE and VOO is 0.62, 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

SPRE vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SP Funds S&P Global REIT Sharia ETF (SPRE) 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

SPRE:

0.21

VOO:

0.52

Sortino Ratio

SPRE:

0.50

VOO:

0.89

Omega Ratio

SPRE:

1.06

VOO:

1.13

Calmar Ratio

SPRE:

0.16

VOO:

0.57

Martin Ratio

SPRE:

0.71

VOO:

2.18

Ulcer Index

SPRE:

7.24%

VOO:

4.85%

Daily Std Dev

SPRE:

18.54%

VOO:

19.11%

Max Drawdown

SPRE:

-38.34%

VOO:

-33.99%

Current Drawdown

SPRE:

-22.21%

VOO:

-7.67%

Returns By Period

In the year-to-date period, SPRE achieves a -1.24% return, which is significantly higher than VOO's -3.41% return.


SPRE

YTD

-1.24%

1M

7.68%

6M

-6.80%

1Y

3.86%

5Y*

N/A

10Y*

N/A

VOO

YTD

-3.41%

1M

3.92%

6M

-5.06%

1Y

9.92%

5Y*

15.85%

10Y*

12.42%

*Annualized

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SPRE vs. VOO - Expense Ratio Comparison

SPRE has a 0.69% expense ratio, which is higher than VOO's 0.03% expense ratio.


Risk-Adjusted Performance

SPRE vs. VOO — Risk-Adjusted Performance Rank

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

SPRE
The Risk-Adjusted Performance Rank of SPRE is 3434
Overall Rank
The Sharpe Ratio Rank of SPRE is 3232
Sharpe Ratio Rank
The Sortino Ratio Rank of SPRE is 3737
Sortino Ratio Rank
The Omega Ratio Rank of SPRE is 3535
Omega Ratio Rank
The Calmar Ratio Rank of SPRE is 3232
Calmar Ratio Rank
The Martin Ratio Rank of SPRE is 3434
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 6363
Overall Rank
The Sharpe Ratio Rank of VOO is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 6262
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6464
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 6767
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6464
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.

SPRE vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SP Funds S&P Global REIT Sharia ETF (SPRE) 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 SPRE Sharpe Ratio is 0.21, which is lower than the VOO Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of SPRE 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

SPRE vs. VOO - Dividend Comparison

SPRE's dividend yield for the trailing twelve months is around 4.24%, more than VOO's 1.34% yield.


TTM20242023202220212020201920182017201620152014
SPRE
SP Funds S&P Global REIT Sharia ETF
4.24%4.13%4.16%4.17%2.83%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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

SPRE vs. VOO - Drawdown Comparison

The maximum SPRE drawdown since its inception was -38.34%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for SPRE and VOO. For additional features, visit the drawdowns tool.


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Volatility

SPRE vs. VOO - Volatility Comparison


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