PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VCMDX vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VCMDX and VOO is 0.26, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.3

Performance

VCMDX vs. VOO - Performance Comparison

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

60.00%80.00%100.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
55.95%
122.04%
VCMDX
VOO

Key characteristics

Sharpe Ratio

VCMDX:

0.09

VOO:

2.25

Sortino Ratio

VCMDX:

0.19

VOO:

2.98

Omega Ratio

VCMDX:

1.02

VOO:

1.42

Calmar Ratio

VCMDX:

0.04

VOO:

3.31

Martin Ratio

VCMDX:

0.21

VOO:

14.77

Ulcer Index

VCMDX:

4.66%

VOO:

1.90%

Daily Std Dev

VCMDX:

11.08%

VOO:

12.46%

Max Drawdown

VCMDX:

-26.67%

VOO:

-33.99%

Current Drawdown

VCMDX:

-21.78%

VOO:

-2.47%

Returns By Period

In the year-to-date period, VCMDX achieves a 1.46% return, which is significantly lower than VOO's 26.02% return.


VCMDX

YTD

1.46%

1M

-3.69%

6M

-4.13%

1Y

0.85%

5Y*

8.91%

10Y*

N/A

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VCMDX vs. VOO - Expense Ratio Comparison

VCMDX has a 0.20% expense ratio, which is higher than VOO's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


VCMDX
Vanguard Commodity Strategy Fund Admiral Shares
Expense ratio chart for VCMDX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

VCMDX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) 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 VCMDX, currently valued at 0.09, compared to the broader market-1.000.001.002.003.004.000.092.25
The chart of Sortino ratio for VCMDX, currently valued at 0.19, compared to the broader market-2.000.002.004.006.008.0010.000.192.98
The chart of Omega ratio for VCMDX, currently valued at 1.02, compared to the broader market0.501.001.502.002.503.003.501.021.42
The chart of Calmar ratio for VCMDX, currently valued at 0.04, compared to the broader market0.002.004.006.008.0010.0012.0014.000.043.31
The chart of Martin ratio for VCMDX, currently valued at 0.21, compared to the broader market0.0020.0040.0060.000.2114.77
VCMDX
VOO

The current VCMDX Sharpe Ratio is 0.09, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of VCMDX 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.09
2.25
VCMDX
VOO

Dividends

VCMDX vs. VOO - Dividend Comparison

VCMDX has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 0.91%.


TTM20232022202120202019201820172016201520142013
VCMDX
Vanguard Commodity Strategy Fund Admiral Shares
0.00%2.50%14.21%30.56%0.50%0.61%0.00%0.00%0.00%0.00%0.00%0.00%
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

VCMDX vs. VOO - Drawdown Comparison

The maximum VCMDX drawdown since its inception was -26.67%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for VCMDX and VOO. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-21.78%
-2.47%
VCMDX
VOO

Volatility

VCMDX vs. VOO - Volatility Comparison

Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) and Vanguard S&P 500 ETF (VOO) have volatilities of 3.80% and 3.75%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.80%
3.75%
VCMDX
VOO
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab