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SPSC vs. VGT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPSC and VGT 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

SPSC vs. VGT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPS Commerce, Inc. (SPSC) and Vanguard Information Technology ETF (VGT). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
2.78%
9.09%
SPSC
VGT

Key characteristics

Sharpe Ratio

SPSC:

0.03

VGT:

1.51

Sortino Ratio

SPSC:

0.29

VGT:

2.01

Omega Ratio

SPSC:

1.04

VGT:

1.27

Calmar Ratio

SPSC:

0.04

VGT:

2.13

Martin Ratio

SPSC:

0.08

VGT:

7.60

Ulcer Index

SPSC:

11.77%

VGT:

4.26%

Daily Std Dev

SPSC:

35.11%

VGT:

21.41%

Max Drawdown

SPSC:

-49.97%

VGT:

-54.63%

Current Drawdown

SPSC:

-11.19%

VGT:

-3.01%

Returns By Period

In the year-to-date period, SPSC achieves a -1.31% return, which is significantly lower than VGT's 30.53% return. Both investments have delivered pretty close results over the past 10 years, with SPSC having a 21.01% annualized return and VGT not far behind at 20.71%.


SPSC

YTD

-1.31%

1M

7.76%

6M

5.18%

1Y

0.96%

5Y*

27.37%

10Y*

21.01%

VGT

YTD

30.53%

1M

2.66%

6M

8.53%

1Y

32.39%

5Y*

21.92%

10Y*

20.71%

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Risk-Adjusted Performance

SPSC vs. VGT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPS Commerce, Inc. (SPSC) and Vanguard Information Technology ETF (VGT). 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 SPSC, currently valued at 0.03, compared to the broader market-4.00-2.000.002.000.031.51
The chart of Sortino ratio for SPSC, currently valued at 0.29, compared to the broader market-4.00-2.000.002.004.000.292.01
The chart of Omega ratio for SPSC, currently valued at 1.04, compared to the broader market0.501.001.502.001.041.27
The chart of Calmar ratio for SPSC, currently valued at 0.04, compared to the broader market0.002.004.006.000.042.13
The chart of Martin ratio for SPSC, currently valued at 0.08, compared to the broader market0.0010.0020.000.087.60
SPSC
VGT

The current SPSC Sharpe Ratio is 0.03, which is lower than the VGT Sharpe Ratio of 1.51. The chart below compares the historical Sharpe Ratios of SPSC and VGT, 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.03
1.51
SPSC
VGT

Dividends

SPSC vs. VGT - Dividend Comparison

SPSC has not paid dividends to shareholders, while VGT's dividend yield for the trailing twelve months is around 0.59%.


TTM20232022202120202019201820172016201520142013
SPSC
SPS Commerce, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VGT
Vanguard Information Technology ETF
0.59%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.05%

Drawdowns

SPSC vs. VGT - Drawdown Comparison

The maximum SPSC drawdown since its inception was -49.97%, smaller than the maximum VGT drawdown of -54.63%. Use the drawdown chart below to compare losses from any high point for SPSC and VGT. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.19%
-3.01%
SPSC
VGT

Volatility

SPSC vs. VGT - Volatility Comparison

SPS Commerce, Inc. (SPSC) has a higher volatility of 8.34% compared to Vanguard Information Technology ETF (VGT) at 5.49%. This indicates that SPSC's price experiences larger fluctuations and is considered to be riskier than VGT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%JulyAugustSeptemberOctoberNovemberDecember
8.34%
5.49%
SPSC
VGT
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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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