PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
VFLO vs. ^SP500TR
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between VFLO and ^SP500TR is 0.67, 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.


-0.50.00.51.00.7

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.

-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
9.33%
10.38%
VFLO
^SP500TR

Key characteristics

Sharpe Ratio

VFLO:

1.70

^SP500TR:

2.21

Sortino Ratio

VFLO:

2.45

^SP500TR:

2.93

Omega Ratio

VFLO:

1.30

^SP500TR:

1.41

Calmar Ratio

VFLO:

2.60

^SP500TR:

3.27

Martin Ratio

VFLO:

8.14

^SP500TR:

14.42

Ulcer Index

VFLO:

2.73%

^SP500TR:

1.91%

Daily Std Dev

VFLO:

13.06%

^SP500TR:

12.53%

Max Drawdown

VFLO:

-8.54%

^SP500TR:

-55.25%

Current Drawdown

VFLO:

-6.60%

^SP500TR:

-1.85%

Returns By Period

In the year-to-date period, VFLO achieves a 22.05% return, which is significantly lower than ^SP500TR's 26.95% return.


VFLO

YTD

22.05%

1M

-6.27%

6M

9.32%

1Y

21.77%

5Y*

N/A

10Y*

N/A

^SP500TR

YTD

26.95%

1M

0.19%

6M

10.38%

1Y

27.39%

5Y*

14.97%

10Y*

13.15%

Compare stocks, funds, or ETFs

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


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 1.70, compared to the broader market0.002.004.001.702.21
The chart of Sortino ratio for VFLO, currently valued at 2.45, compared to the broader market-2.000.002.004.006.008.0010.002.452.93
The chart of Omega ratio for VFLO, currently valued at 1.30, compared to the broader market0.501.001.502.002.503.001.301.41
The chart of Calmar ratio for VFLO, currently valued at 2.60, compared to the broader market0.005.0010.0015.002.603.27
The chart of Martin ratio for VFLO, currently valued at 8.14, compared to the broader market0.0020.0040.0060.0080.00100.008.1414.42
VFLO
^SP500TR

The current VFLO Sharpe Ratio is 1.70, which is comparable to the ^SP500TR Sharpe Ratio of 2.21. 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.70
2.21
VFLO
^SP500TR

Drawdowns

VFLO vs. ^SP500TR - Drawdown Comparison

The maximum VFLO drawdown since its inception was -8.54%, 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%JulyAugustSeptemberOctoberNovemberDecember
-6.60%
-1.85%
VFLO
^SP500TR

Volatility

VFLO vs. ^SP500TR - Volatility Comparison

Victoryshares Free Cash Flow ETF (VFLO) has a higher volatility of 4.26% compared to S&P 500 Total Return (^SP500TR) at 3.82%. 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%JulyAugustSeptemberOctoberNovemberDecember
4.26%
3.82%
VFLO
^SP500TR
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