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

Correlation

The correlation between STG and VTSAX is 0.08, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.1

Performance

STG vs. VTSAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Sunlands Technology Group (STG) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). The values are adjusted to include any dividend payments, if applicable.

-40.00%-20.00%0.00%20.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
-16.94%
8.75%
STG
VTSAX

Key characteristics

Sharpe Ratio

STG:

-0.23

VTSAX:

1.82

Sortino Ratio

STG:

0.38

VTSAX:

2.45

Omega Ratio

STG:

1.05

VTSAX:

1.34

Calmar Ratio

STG:

-0.23

VTSAX:

2.75

Martin Ratio

STG:

-0.72

VTSAX:

11.75

Ulcer Index

STG:

31.23%

VTSAX:

2.00%

Daily Std Dev

STG:

99.89%

VTSAX:

12.91%

Max Drawdown

STG:

-98.23%

VTSAX:

-55.34%

Current Drawdown

STG:

-95.00%

VTSAX:

-4.17%

Returns By Period

In the year-to-date period, STG achieves a -39.82% return, which is significantly lower than VTSAX's 23.43% return.


STG

YTD

-39.82%

1M

-7.79%

6M

-12.32%

1Y

-20.21%

5Y*

-26.00%

10Y*

N/A

VTSAX

YTD

23.43%

1M

-1.00%

6M

8.64%

1Y

25.44%

5Y*

13.84%

10Y*

12.40%

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

STG vs. VTSAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Sunlands Technology Group (STG) and Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX). 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 STG, currently valued at -0.23, compared to the broader market-4.00-2.000.002.00-0.231.82
The chart of Sortino ratio for STG, currently valued at 0.38, compared to the broader market-4.00-2.000.002.004.000.382.45
The chart of Omega ratio for STG, currently valued at 1.05, compared to the broader market0.501.001.502.001.051.34
The chart of Calmar ratio for STG, currently valued at -0.23, compared to the broader market0.002.004.006.00-0.232.75
The chart of Martin ratio for STG, currently valued at -0.72, compared to the broader market-5.000.005.0010.0015.0020.0025.00-0.7211.75
STG
VTSAX

The current STG Sharpe Ratio is -0.23, which is lower than the VTSAX Sharpe Ratio of 1.82. The chart below compares the historical Sharpe Ratios of STG and VTSAX, 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
-0.23
1.82
STG
VTSAX

Dividends

STG vs. VTSAX - Dividend Comparison

STG has not paid dividends to shareholders, while VTSAX's dividend yield for the trailing twelve months is around 0.94%.


TTM20232022202120202019201820172016201520142013
STG
Sunlands Technology Group
0.00%0.00%9.33%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VTSAX
Vanguard Total Stock Market Index Fund Admiral Shares
0.94%1.43%1.65%1.20%1.41%1.77%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

STG vs. VTSAX - Drawdown Comparison

The maximum STG drawdown since its inception was -98.23%, which is greater than VTSAX's maximum drawdown of -55.34%. Use the drawdown chart below to compare losses from any high point for STG and VTSAX. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-95.00%
-4.17%
STG
VTSAX

Volatility

STG vs. VTSAX - Volatility Comparison

Sunlands Technology Group (STG) has a higher volatility of 20.24% compared to Vanguard Total Stock Market Index Fund Admiral Shares (VTSAX) at 3.89%. This indicates that STG's price experiences larger fluctuations and is considered to be riskier than VTSAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%50.00%60.00%70.00%JulyAugustSeptemberOctoberNovemberDecember
20.24%
3.89%
STG
VTSAX
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