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VFLO vs. ^SP500TR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

VFLO vs. ^SP500TR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Victoryshares Free Cash Flow ETF (VFLO) and S&P 500 Total Return (^SP500TR). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
17.55%
13.28%
VFLO
^SP500TR

Returns By Period

In the year-to-date period, VFLO achieves a 30.21% return, which is significantly higher than ^SP500TR's 26.70% return.


VFLO

YTD

30.21%

1M

10.81%

6M

17.55%

1Y

38.63%

5Y (annualized)

N/A

10Y (annualized)

N/A

^SP500TR

YTD

26.70%

1M

3.09%

6M

13.28%

1Y

32.85%

5Y (annualized)

15.78%

10Y (annualized)

13.26%

Key characteristics


VFLO^SP500TR
Sharpe Ratio3.002.68
Sortino Ratio4.273.58
Omega Ratio1.521.50
Calmar Ratio6.023.89
Martin Ratio15.7017.49
Ulcer Index2.46%1.88%
Daily Std Dev12.87%12.24%
Max Drawdown-8.36%-55.25%
Current Drawdown0.00%-0.46%

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Correlation

-0.50.00.51.00.7

The correlation between VFLO and ^SP500TR is 0.66, 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.

Risk-Adjusted Performance

VFLO vs. ^SP500TR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Victoryshares Free Cash Flow ETF (VFLO) and S&P 500 Total Return (^SP500TR). 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 VFLO, currently valued at 3.00, compared to the broader market0.002.004.003.002.68
The chart of Sortino ratio for VFLO, currently valued at 4.27, compared to the broader market-2.000.002.004.006.008.0010.0012.004.273.58
The chart of Omega ratio for VFLO, currently valued at 1.52, compared to the broader market0.501.001.502.002.503.001.521.50
The chart of Calmar ratio for VFLO, currently valued at 6.02, compared to the broader market0.005.0010.0015.0020.006.023.89
The chart of Martin ratio for VFLO, currently valued at 15.70, compared to the broader market0.0020.0040.0060.0080.00100.0015.7017.49
VFLO
^SP500TR

The current VFLO Sharpe Ratio is 3.00, which is comparable to the ^SP500TR Sharpe Ratio of 2.68. The chart below compares the historical Sharpe Ratios of VFLO and ^SP500TR, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovember
3.00
2.68
VFLO
^SP500TR

Drawdowns

VFLO vs. ^SP500TR - Drawdown Comparison

The maximum VFLO drawdown since its inception was -8.36%, smaller than the maximum ^SP500TR drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for VFLO and ^SP500TR. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.46%
VFLO
^SP500TR

Volatility

VFLO vs. ^SP500TR - Volatility Comparison

Victoryshares Free Cash Flow ETF (VFLO) has a higher volatility of 4.31% compared to S&P 500 Total Return (^SP500TR) at 3.96%. This indicates that VFLO's price experiences larger fluctuations and is considered to be riskier than ^SP500TR 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%JuneJulyAugustSeptemberOctoberNovember
4.31%
3.96%
VFLO
^SP500TR