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

Performance

STLD vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Steel Dynamics, Inc. (STLD) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
9.33%
13.62%
STLD
VOO

Returns By Period

In the year-to-date period, STLD achieves a 24.04% return, which is significantly lower than VOO's 26.16% return. Over the past 10 years, STLD has outperformed VOO with an annualized return of 22.98%, while VOO has yielded a comparatively lower 13.18% annualized return.


STLD

YTD

24.04%

1M

9.98%

6M

9.33%

1Y

30.44%

5Y (annualized)

37.76%

10Y (annualized)

22.98%

VOO

YTD

26.16%

1M

1.77%

6M

13.62%

1Y

32.33%

5Y (annualized)

15.68%

10Y (annualized)

13.18%

Key characteristics


STLDVOO
Sharpe Ratio0.962.70
Sortino Ratio1.653.60
Omega Ratio1.191.50
Calmar Ratio1.123.90
Martin Ratio2.5217.65
Ulcer Index12.07%1.86%
Daily Std Dev31.84%12.19%
Max Drawdown-87.05%-33.99%
Current Drawdown-6.07%-0.86%

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Correlation

-0.50.00.51.00.5

The correlation between STLD and VOO is 0.54, 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.

Risk-Adjusted Performance

STLD vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Steel Dynamics, Inc. (STLD) 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.


Sharpe ratio
The chart of Sharpe ratio for STLD, currently valued at 0.96, compared to the broader market-4.00-2.000.002.004.000.962.70
The chart of Sortino ratio for STLD, currently valued at 1.65, compared to the broader market-4.00-2.000.002.004.001.653.60
The chart of Omega ratio for STLD, currently valued at 1.19, compared to the broader market0.501.001.502.001.191.50
The chart of Calmar ratio for STLD, currently valued at 1.12, compared to the broader market0.002.004.006.001.123.90
The chart of Martin ratio for STLD, currently valued at 2.52, compared to the broader market0.0010.0020.0030.002.5217.65
STLD
VOO

The current STLD Sharpe Ratio is 0.96, which is lower than the VOO Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of STLD 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.

Rolling 12-month Sharpe Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.96
2.70
STLD
VOO

Dividends

STLD vs. VOO - Dividend Comparison

STLD's dividend yield for the trailing twelve months is around 1.25%, which matches VOO's 1.24% yield.


TTM20232022202120202019201820172016201520142013
STLD
Steel Dynamics, Inc.
1.25%1.44%1.39%1.68%2.71%2.82%2.50%1.44%1.57%3.09%2.33%2.25%
VOO
Vanguard S&P 500 ETF
1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

STLD vs. VOO - Drawdown Comparison

The maximum STLD drawdown since its inception was -87.05%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for STLD and VOO. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.07%
-0.86%
STLD
VOO

Volatility

STLD vs. VOO - Volatility Comparison

Steel Dynamics, Inc. (STLD) has a higher volatility of 15.96% compared to Vanguard S&P 500 ETF (VOO) at 3.99%. This indicates that STLD's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
15.96%
3.99%
STLD
VOO