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

Key characteristics


STLDVOO
YTD Return27.11%27.15%
1Y Return38.59%39.90%
3Y Return (Ann)33.42%10.28%
5Y Return (Ann)39.25%16.00%
10Y Return (Ann)23.71%13.43%
Sharpe Ratio1.203.15
Sortino Ratio1.974.19
Omega Ratio1.231.59
Calmar Ratio1.394.60
Martin Ratio3.1721.00
Ulcer Index11.98%1.85%
Daily Std Dev31.64%12.34%
Max Drawdown-87.05%-33.99%
Current Drawdown-3.74%0.00%

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.

Performance

STLD vs. VOO - Performance Comparison

The year-to-date returns for both investments are quite close, with STLD having a 27.11% return and VOO slightly higher at 27.15%. Over the past 10 years, STLD has outperformed VOO with an annualized return of 23.71%, while VOO has yielded a comparatively lower 13.43% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
10.70%
15.64%
STLD
VOO

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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.


STLD
Sharpe ratio
The chart of Sharpe ratio for STLD, currently valued at 1.20, compared to the broader market-4.00-2.000.002.004.001.20
Sortino ratio
The chart of Sortino ratio for STLD, currently valued at 1.97, compared to the broader market-4.00-2.000.002.004.006.001.97
Omega ratio
The chart of Omega ratio for STLD, currently valued at 1.23, compared to the broader market0.501.001.502.001.23
Calmar ratio
The chart of Calmar ratio for STLD, currently valued at 1.39, compared to the broader market0.002.004.006.001.39
Martin ratio
The chart of Martin ratio for STLD, currently valued at 3.17, compared to the broader market0.0010.0020.0030.003.17
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.15, compared to the broader market-4.00-2.000.002.004.003.15
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.19, compared to the broader market-4.00-2.000.002.004.006.004.19
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.59, compared to the broader market0.501.001.502.001.59
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.60, compared to the broader market0.002.004.006.004.60
Martin ratio
The chart of Martin ratio for VOO, currently valued at 21.00, compared to the broader market0.0010.0020.0030.0021.00

STLD vs. VOO - Sharpe Ratio Comparison

The current STLD Sharpe Ratio is 1.20, which is lower than the VOO Sharpe Ratio of 3.15. 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
1.20
3.15
STLD
VOO

Dividends

STLD vs. VOO - Dividend Comparison

STLD's dividend yield for the trailing twelve months is around 1.22%, which matches VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
STLD
Steel Dynamics, Inc.
1.22%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
1.23%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
-3.74%
0
STLD
VOO

Volatility

STLD vs. VOO - Volatility Comparison

Steel Dynamics, Inc. (STLD) has a higher volatility of 16.06% compared to Vanguard S&P 500 ETF (VOO) at 3.95%. 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
16.06%
3.95%
STLD
VOO