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

Key characteristics


VVOAXSPY
YTD Return35.38%27.04%
1Y Return52.65%39.75%
3Y Return (Ann)8.67%10.21%
5Y Return (Ann)13.61%15.93%
10Y Return (Ann)5.45%13.36%
Sharpe Ratio2.903.15
Sortino Ratio3.734.19
Omega Ratio1.511.59
Calmar Ratio3.144.60
Martin Ratio19.0420.85
Ulcer Index2.70%1.85%
Daily Std Dev17.73%12.29%
Max Drawdown-65.29%-55.19%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between VVOAX and SPY is 0.85, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

VVOAX vs. SPY - Performance Comparison

In the year-to-date period, VVOAX achieves a 35.38% return, which is significantly higher than SPY's 27.04% return. Over the past 10 years, VVOAX has underperformed SPY with an annualized return of 5.45%, while SPY has yielded a comparatively higher 13.36% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
17.60%
15.58%
VVOAX
SPY

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VVOAX vs. SPY - Expense Ratio Comparison

VVOAX has a 1.22% expense ratio, which is higher than SPY's 0.09% expense ratio.


VVOAX
Invesco Value Opportunities Fund
Expense ratio chart for VVOAX: current value at 1.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.22%
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

VVOAX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Value Opportunities Fund (VVOAX) 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.


VVOAX
Sharpe ratio
The chart of Sharpe ratio for VVOAX, currently valued at 2.90, compared to the broader market0.002.004.002.90
Sortino ratio
The chart of Sortino ratio for VVOAX, currently valued at 3.73, compared to the broader market0.005.0010.003.73
Omega ratio
The chart of Omega ratio for VVOAX, currently valued at 1.51, compared to the broader market1.002.003.004.001.51
Calmar ratio
The chart of Calmar ratio for VVOAX, currently valued at 3.14, compared to the broader market0.005.0010.0015.0020.0025.003.14
Martin ratio
The chart of Martin ratio for VVOAX, currently valued at 19.04, compared to the broader market0.0020.0040.0060.0080.00100.0019.04
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.15, compared to the broader market0.002.004.003.15
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.19, compared to the broader market0.005.0010.004.19
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.59, compared to the broader market1.002.003.004.001.59
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.60, compared to the broader market0.005.0010.0015.0020.0025.004.60
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.85, compared to the broader market0.0020.0040.0060.0080.00100.0020.85

VVOAX vs. SPY - Sharpe Ratio Comparison

The current VVOAX Sharpe Ratio is 2.90, which is comparable to the SPY Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of VVOAX 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.90
3.15
VVOAX
SPY

Dividends

VVOAX vs. SPY - Dividend Comparison

VVOAX's dividend yield for the trailing twelve months is around 0.15%, less than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
VVOAX
Invesco Value Opportunities Fund
0.15%0.21%0.75%0.60%0.25%0.00%0.00%0.00%0.16%1.15%1.72%1.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

VVOAX vs. SPY - Drawdown Comparison

The maximum VVOAX drawdown since its inception was -65.29%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for VVOAX and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
VVOAX
SPY

Volatility

VVOAX vs. SPY - Volatility Comparison

Invesco Value Opportunities Fund (VVOAX) has a higher volatility of 6.32% compared to SPDR S&P 500 ETF (SPY) at 3.95%. This indicates that VVOAX'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%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
6.32%
3.95%
VVOAX
SPY