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

Correlation

The correlation between TU and VOO is 0.43, 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

TU vs. VOO - Performance Comparison

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

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Key characteristics

Sharpe Ratio

TU:

0.22

VOO:

0.52

Sortino Ratio

TU:

0.46

VOO:

0.89

Omega Ratio

TU:

1.06

VOO:

1.13

Calmar Ratio

TU:

0.10

VOO:

0.57

Martin Ratio

TU:

0.50

VOO:

2.18

Ulcer Index

TU:

8.74%

VOO:

4.85%

Daily Std Dev

TU:

20.51%

VOO:

19.11%

Max Drawdown

TU:

-88.49%

VOO:

-33.99%

Current Drawdown

TU:

-30.22%

VOO:

-7.67%

Returns By Period

In the year-to-date period, TU achieves a 20.03% return, which is significantly higher than VOO's -3.41% return. Over the past 10 years, TU has underperformed VOO with an annualized return of 4.20%, while VOO has yielded a comparatively higher 12.42% annualized return.


TU

YTD

20.03%

1M

10.89%

6M

5.85%

1Y

6.54%

5Y*

4.85%

10Y*

4.20%

VOO

YTD

-3.41%

1M

7.59%

6M

-5.06%

1Y

9.79%

5Y*

15.86%

10Y*

12.42%

*Annualized

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Risk-Adjusted Performance

TU vs. VOO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

TU
The Risk-Adjusted Performance Rank of TU is 5555
Overall Rank
The Sharpe Ratio Rank of TU is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of TU is 5050
Sortino Ratio Rank
The Omega Ratio Rank of TU is 5050
Omega Ratio Rank
The Calmar Ratio Rank of TU is 5757
Calmar Ratio Rank
The Martin Ratio Rank of TU is 5858
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 6464
Overall Rank
The Sharpe Ratio Rank of VOO is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 6262
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6565
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 6767
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6565
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

TU vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for TELUS Corporation (TU) 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.


The current TU Sharpe Ratio is 0.22, which is lower than the VOO Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of TU 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.


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Dividends

TU vs. VOO - Dividend Comparison

TU's dividend yield for the trailing twelve months is around 7.08%, more than VOO's 1.34% yield.


TTM20242023202220212020201920182017201620152014
TU
TELUS Corporation
7.08%8.36%6.02%5.39%4.31%4.51%4.73%4.84%4.01%4.42%4.68%3.81%
VOO
Vanguard S&P 500 ETF
1.34%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

TU vs. VOO - Drawdown Comparison

The maximum TU drawdown since its inception was -88.49%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for TU and VOO. For additional features, visit the drawdowns tool.


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Volatility

TU vs. VOO - Volatility Comparison

TELUS Corporation (TU) has a higher volatility of 8.36% compared to Vanguard S&P 500 ETF (VOO) at 6.83%. This indicates that TU'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.


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