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VADDX vs. ^SPXEW
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between VADDX and ^SPXEW is 0.99, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.01.0

Performance

VADDX vs. ^SPXEW - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Equally-Weighted S&P 500 Fund (VADDX) and S&P 500 Equal Weighted Index (^SPXEW). The values are adjusted to include any dividend payments, if applicable.

400.00%500.00%600.00%700.00%JulyAugustSeptemberOctoberNovemberDecember
368.20%
676.53%
VADDX
^SPXEW

Key characteristics

Sharpe Ratio

VADDX:

0.46

^SPXEW:

1.19

Sortino Ratio

VADDX:

0.64

^SPXEW:

1.69

Omega Ratio

VADDX:

1.10

^SPXEW:

1.21

Calmar Ratio

VADDX:

0.45

^SPXEW:

1.90

Martin Ratio

VADDX:

2.36

^SPXEW:

6.06

Ulcer Index

VADDX:

2.74%

^SPXEW:

2.27%

Daily Std Dev

VADDX:

14.23%

^SPXEW:

11.57%

Max Drawdown

VADDX:

-70.42%

^SPXEW:

-60.83%

Current Drawdown

VADDX:

-13.30%

^SPXEW:

-5.96%

Returns By Period

In the year-to-date period, VADDX achieves a 4.29% return, which is significantly lower than ^SPXEW's 11.47% return. Over the past 10 years, VADDX has outperformed ^SPXEW with an annualized return of 9.57%, while ^SPXEW has yielded a comparatively lower 8.09% annualized return.


VADDX

YTD

4.29%

1M

-11.67%

6M

-1.00%

1Y

4.83%

5Y*

10.25%

10Y*

9.57%

^SPXEW

YTD

11.47%

1M

-3.00%

6M

6.66%

1Y

12.37%

5Y*

8.82%

10Y*

8.09%

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Risk-Adjusted Performance

VADDX vs. ^SPXEW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Equally-Weighted S&P 500 Fund (VADDX) and S&P 500 Equal Weighted Index (^SPXEW). 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 VADDX, currently valued at 0.46, compared to the broader market-1.000.001.002.003.004.000.461.19
The chart of Sortino ratio for VADDX, currently valued at 0.64, compared to the broader market-2.000.002.004.006.008.0010.000.641.69
The chart of Omega ratio for VADDX, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.003.501.101.21
The chart of Calmar ratio for VADDX, currently valued at 0.45, compared to the broader market0.002.004.006.008.0010.0012.0014.000.451.90
The chart of Martin ratio for VADDX, currently valued at 2.36, compared to the broader market0.0020.0040.0060.002.366.06
VADDX
^SPXEW

The current VADDX Sharpe Ratio is 0.46, which is lower than the ^SPXEW Sharpe Ratio of 1.19. The chart below compares the historical Sharpe Ratios of VADDX and ^SPXEW, 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 Ratio0.000.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.46
1.19
VADDX
^SPXEW

Drawdowns

VADDX vs. ^SPXEW - Drawdown Comparison

The maximum VADDX drawdown since its inception was -70.42%, which is greater than ^SPXEW's maximum drawdown of -60.83%. Use the drawdown chart below to compare losses from any high point for VADDX and ^SPXEW. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-13.30%
-5.96%
VADDX
^SPXEW

Volatility

VADDX vs. ^SPXEW - Volatility Comparison

Invesco Equally-Weighted S&P 500 Fund (VADDX) has a higher volatility of 9.40% compared to S&P 500 Equal Weighted Index (^SPXEW) at 4.09%. This indicates that VADDX's price experiences larger fluctuations and is considered to be riskier than ^SPXEW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
9.40%
4.09%
VADDX
^SPXEW
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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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