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VMI vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between VMI and SPY is 0.43, 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.


-0.50.00.51.00.4

Performance

VMI vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Valmont Industries, Inc. (VMI) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

2,000.00%3,000.00%4,000.00%5,000.00%JulyAugustSeptemberOctoberNovemberDecember
4,582.98%
2,301.81%
VMI
SPY

Key characteristics

Sharpe Ratio

VMI:

1.16

SPY:

2.21

Sortino Ratio

VMI:

2.37

SPY:

2.93

Omega Ratio

VMI:

1.27

SPY:

1.41

Calmar Ratio

VMI:

0.92

SPY:

3.26

Martin Ratio

VMI:

6.34

SPY:

14.43

Ulcer Index

VMI:

5.85%

SPY:

1.90%

Daily Std Dev

VMI:

31.92%

SPY:

12.41%

Max Drawdown

VMI:

-67.92%

SPY:

-55.19%

Current Drawdown

VMI:

-12.48%

SPY:

-2.74%

Returns By Period

In the year-to-date period, VMI achieves a 32.92% return, which is significantly higher than SPY's 25.54% return. Over the past 10 years, VMI has underperformed SPY with an annualized return of 10.33%, while SPY has yielded a comparatively higher 12.97% annualized return.


VMI

YTD

32.92%

1M

-9.01%

6M

13.02%

1Y

33.89%

5Y*

16.71%

10Y*

10.33%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

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Risk-Adjusted Performance

VMI vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Valmont Industries, Inc. (VMI) and SPDR S&P 500 ETF (SPY). 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 VMI, currently valued at 1.16, compared to the broader market-4.00-2.000.002.001.162.21
The chart of Sortino ratio for VMI, currently valued at 2.37, compared to the broader market-4.00-2.000.002.004.002.372.93
The chart of Omega ratio for VMI, currently valued at 1.27, compared to the broader market0.501.001.502.001.271.41
The chart of Calmar ratio for VMI, currently valued at 0.92, compared to the broader market0.002.004.006.000.923.26
The chart of Martin ratio for VMI, currently valued at 6.34, compared to the broader market-5.000.005.0010.0015.0020.0025.006.3414.43
VMI
SPY

The current VMI Sharpe Ratio is 1.16, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of VMI and SPY, 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
1.16
2.21
VMI
SPY

Dividends

VMI vs. SPY - Dividend Comparison

VMI's dividend yield for the trailing twelve months is around 0.78%, less than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
VMI
Valmont Industries, Inc.
0.78%1.03%0.67%0.80%1.03%1.00%1.35%0.90%1.06%1.41%1.08%0.65%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

VMI vs. SPY - Drawdown Comparison

The maximum VMI drawdown since its inception was -67.92%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for VMI and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-12.48%
-2.74%
VMI
SPY

Volatility

VMI vs. SPY - Volatility Comparison

Valmont Industries, Inc. (VMI) has a higher volatility of 6.67% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that VMI's price experiences larger fluctuations and is considered to be riskier than SPY 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%12.00%14.00%JulyAugustSeptemberOctoberNovemberDecember
6.67%
3.72%
VMI
SPY
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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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