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VOOL.DE vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VOOL.DESPY
YTD Return-25.10%23.18%
1Y Return-44.16%40.57%
3Y Return (Ann)-32.61%9.72%
5Y Return (Ann)-22.92%15.45%
10Y Return (Ann)-25.76%13.15%
Sharpe Ratio-0.993.45
Sortino Ratio-1.454.57
Omega Ratio0.811.65
Calmar Ratio-0.384.12
Martin Ratio-1.4322.62
Ulcer Index26.36%1.83%
Daily Std Dev38.10%12.01%
Max Drawdown-98.32%-55.19%
Current Drawdown-98.17%-0.78%

Correlation

-0.50.00.51.0-0.4

The correlation between VOOL.DE and SPY is -0.40. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Performance

VOOL.DE vs. SPY - Performance Comparison

In the year-to-date period, VOOL.DE achieves a -25.10% return, which is significantly lower than SPY's 23.18% return. Over the past 10 years, VOOL.DE has underperformed SPY with an annualized return of -25.76%, while SPY has yielded a comparatively higher 13.15% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctober
-17.49%
16.65%
VOOL.DE
SPY

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VOOL.DE vs. SPY - Expense Ratio Comparison

VOOL.DE has a 0.60% expense ratio, which is higher than SPY's 0.09% expense ratio.


VOOL.DE
Amundi S&P 500 Vix Futures Enhanced Roll UCITS ETF Acc
Expense ratio chart for VOOL.DE: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

VOOL.DE vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Amundi S&P 500 Vix Futures Enhanced Roll UCITS ETF Acc (VOOL.DE) 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.


VOOL.DE
Sharpe ratio
The chart of Sharpe ratio for VOOL.DE, currently valued at -0.93, compared to the broader market-2.000.002.004.006.00-0.93
Sortino ratio
The chart of Sortino ratio for VOOL.DE, currently valued at -1.32, compared to the broader market0.005.0010.00-1.32
Omega ratio
The chart of Omega ratio for VOOL.DE, currently valued at 0.82, compared to the broader market1.001.502.002.503.003.500.82
Calmar ratio
The chart of Calmar ratio for VOOL.DE, currently valued at -0.35, compared to the broader market0.005.0010.0015.00-0.35
Martin ratio
The chart of Martin ratio for VOOL.DE, currently valued at -1.47, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.47
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.92, compared to the broader market-2.000.002.004.006.002.92
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.91, compared to the broader market0.005.0010.003.91
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.56, compared to the broader market1.001.502.002.503.003.501.56
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.10, compared to the broader market0.005.0010.0015.004.10
Martin ratio
The chart of Martin ratio for SPY, currently valued at 18.80, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.80

VOOL.DE vs. SPY - Sharpe Ratio Comparison

The current VOOL.DE Sharpe Ratio is -0.99, which is lower than the SPY Sharpe Ratio of 3.45. The chart below compares the historical Sharpe Ratios of VOOL.DE 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 Ratio-2.00-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctober
-0.93
2.92
VOOL.DE
SPY

Dividends

VOOL.DE vs. SPY - Dividend Comparison

VOOL.DE has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.21%.


TTM20232022202120202019201820172016201520142013
VOOL.DE
Amundi S&P 500 Vix Futures Enhanced Roll UCITS ETF Acc
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

VOOL.DE vs. SPY - Drawdown Comparison

The maximum VOOL.DE drawdown since its inception was -98.32%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for VOOL.DE and SPY. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctober
-98.49%
-0.78%
VOOL.DE
SPY

Volatility

VOOL.DE vs. SPY - Volatility Comparison

Amundi S&P 500 Vix Futures Enhanced Roll UCITS ETF Acc (VOOL.DE) has a higher volatility of 5.50% compared to SPDR S&P 500 ETF (SPY) at 2.51%. This indicates that VOOL.DE'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.


0.00%5.00%10.00%15.00%20.00%25.00%30.00%35.00%JuneJulyAugustSeptemberOctober
5.50%
2.51%
VOOL.DE
SPY