VLO vs. ^GSPC
Compare and contrast key facts about Valero Energy Corporation (VLO) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VLO or ^GSPC.
Performance
VLO vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, VLO achieves a 10.11% return, which is significantly lower than ^GSPC's 23.62% return. Over the past 10 years, VLO has outperformed ^GSPC with an annualized return of 15.27%, while ^GSPC has yielded a comparatively lower 11.16% annualized return.
VLO
10.11%
3.42%
-14.45%
17.41%
11.57%
15.27%
^GSPC
23.62%
0.54%
11.19%
30.63%
13.61%
11.16%
Key characteristics
| VLO | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 0.48 | 2.51 |
| Sortino Ratio | 0.85 | 3.37 |
| Omega Ratio | 1.10 | 1.47 |
| Calmar Ratio | 0.47 | 3.63 |
| Martin Ratio | 0.91 | 16.15 |
| Ulcer Index | 15.19% | 1.91% |
| Daily Std Dev | 29.11% | 12.27% |
| Max Drawdown | -81.92% | -56.78% |
| Current Drawdown | -22.53% | -1.75% |
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Correlation
The correlation between VLO and ^GSPC is 0.36, 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.
Risk-Adjusted Performance
VLO vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Valero Energy Corporation (VLO) and S&P 500 (^GSPC). 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.
Drawdowns
VLO vs. ^GSPC - Drawdown Comparison
The maximum VLO drawdown since its inception was -81.92%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for VLO and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
VLO vs. ^GSPC - Volatility Comparison
Valero Energy Corporation (VLO) has a higher volatility of 7.84% compared to S&P 500 (^GSPC) at 4.07%. This indicates that VLO's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.