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VPN vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VPN vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X Data Center REITs & Digital Infrastructure ETF (VPN) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
12.33%
11.73%
VPN
VOO

Returns By Period

In the year-to-date period, VPN achieves a 15.43% return, which is significantly lower than VOO's 25.02% return.


VPN

YTD

15.43%

1M

-4.71%

6M

12.33%

1Y

23.16%

5Y (annualized)

N/A

10Y (annualized)

N/A

VOO

YTD

25.02%

1M

0.63%

6M

11.74%

1Y

32.35%

5Y (annualized)

15.50%

10Y (annualized)

13.11%

Key characteristics


VPNVOO
Sharpe Ratio1.332.67
Sortino Ratio1.973.56
Omega Ratio1.231.50
Calmar Ratio1.023.85
Martin Ratio4.8717.51
Ulcer Index4.83%1.86%
Daily Std Dev17.69%12.23%
Max Drawdown-39.01%-33.99%
Current Drawdown-5.46%-1.76%

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VPN vs. VOO - Expense Ratio Comparison

VPN has a 0.50% expense ratio, which is higher than VOO's 0.03% expense ratio.


VPN
Global X Data Center REITs & Digital Infrastructure ETF
Expense ratio chart for VPN: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.7

The correlation between VPN and VOO is 0.68, 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

VPN vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X Data Center REITs & Digital Infrastructure ETF (VPN) and Vanguard S&P 500 ETF (VOO). 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 VPN, currently valued at 1.30, compared to the broader market0.002.004.006.001.302.67
The chart of Sortino ratio for VPN, currently valued at 1.93, compared to the broader market-2.000.002.004.006.008.0010.001.933.56
The chart of Omega ratio for VPN, currently valued at 1.23, compared to the broader market0.501.001.502.002.503.001.231.50
The chart of Calmar ratio for VPN, currently valued at 1.00, compared to the broader market0.005.0010.0015.001.003.85
The chart of Martin ratio for VPN, currently valued at 4.77, compared to the broader market0.0020.0040.0060.0080.00100.004.7717.51
VPN
VOO

The current VPN Sharpe Ratio is 1.33, which is lower than the VOO Sharpe Ratio of 2.67. The chart below compares the historical Sharpe Ratios of VPN and VOO, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.30
2.67
VPN
VOO

Dividends

VPN vs. VOO - Dividend Comparison

VPN's dividend yield for the trailing twelve months is around 1.22%, less than VOO's 1.25% yield.


TTM20232022202120202019201820172016201520142013
VPN
Global X Data Center REITs & Digital Infrastructure ETF
1.22%1.18%2.57%0.85%0.30%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.25%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

VPN vs. VOO - Drawdown Comparison

The maximum VPN drawdown since its inception was -39.01%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for VPN and VOO. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.46%
-1.76%
VPN
VOO

Volatility

VPN vs. VOO - Volatility Comparison

Global X Data Center REITs & Digital Infrastructure ETF (VPN) has a higher volatility of 5.79% compared to Vanguard S&P 500 ETF (VOO) at 4.09%. This indicates that VPN's price experiences larger fluctuations and is considered to be riskier than VOO 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%7.00%JuneJulyAugustSeptemberOctoberNovember
5.79%
4.09%
VPN
VOO