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

Correlation

The correlation between TD and VOO is 0.61, 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.


-0.50.00.51.00.6

Performance

TD vs. VOO - Performance Comparison

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

200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
156.70%
602.93%
TD
VOO

Key characteristics

Sharpe Ratio

TD:

-0.62

VOO:

2.25

Sortino Ratio

TD:

-0.70

VOO:

2.98

Omega Ratio

TD:

0.90

VOO:

1.42

Calmar Ratio

TD:

-0.38

VOO:

3.31

Martin Ratio

TD:

-1.25

VOO:

14.77

Ulcer Index

TD:

9.52%

VOO:

1.90%

Daily Std Dev

TD:

19.10%

VOO:

12.46%

Max Drawdown

TD:

-64.16%

VOO:

-33.99%

Current Drawdown

TD:

-30.25%

VOO:

-2.47%

Returns By Period

In the year-to-date period, TD achieves a -15.02% return, which is significantly lower than VOO's 26.02% return. Over the past 10 years, TD has underperformed VOO with an annualized return of 5.15%, while VOO has yielded a comparatively higher 13.08% annualized return.


TD

YTD

-15.02%

1M

-6.53%

6M

-0.80%

1Y

-14.44%

5Y*

3.16%

10Y*

5.15%

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

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Risk-Adjusted Performance

TD vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for The Toronto-Dominion Bank (TD) 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 TD, currently valued at -0.62, compared to the broader market-4.00-2.000.002.00-0.622.25
The chart of Sortino ratio for TD, currently valued at -0.70, compared to the broader market-4.00-2.000.002.004.00-0.702.98
The chart of Omega ratio for TD, currently valued at 0.90, compared to the broader market0.501.001.502.000.901.42
The chart of Calmar ratio for TD, currently valued at -0.38, compared to the broader market0.002.004.006.00-0.383.31
The chart of Martin ratio for TD, currently valued at -1.25, compared to the broader market-5.000.005.0010.0015.0020.0025.00-1.2514.77
TD
VOO

The current TD Sharpe Ratio is -0.62, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of TD 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 Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.62
2.25
TD
VOO

Dividends

TD vs. VOO - Dividend Comparison

TD's dividend yield for the trailing twelve months is around 5.76%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
TD
The Toronto-Dominion Bank
5.76%4.40%4.24%3.27%4.10%3.89%4.09%3.08%3.29%4.07%3.54%3.35%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

TD vs. VOO - Drawdown Comparison

The maximum TD drawdown since its inception was -64.16%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for TD and VOO. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-30.25%
-2.47%
TD
VOO

Volatility

TD vs. VOO - Volatility Comparison

The Toronto-Dominion Bank (TD) has a higher volatility of 7.88% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that TD'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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
7.88%
3.75%
TD
VOO
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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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