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

Correlation

The correlation between WMS and VOO is 0.53, 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.


-0.50.00.51.00.5

Performance

WMS vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Advanced Drainage Systems, Inc. (WMS) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-30.00%-20.00%-10.00%0.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-31.07%
7.93%
WMS
VOO

Key characteristics

Sharpe Ratio

WMS:

-0.37

VOO:

2.04

Sortino Ratio

WMS:

-0.31

VOO:

2.72

Omega Ratio

WMS:

0.96

VOO:

1.38

Calmar Ratio

WMS:

-0.40

VOO:

3.02

Martin Ratio

WMS:

-1.07

VOO:

13.60

Ulcer Index

WMS:

13.03%

VOO:

1.88%

Daily Std Dev

WMS:

37.22%

VOO:

12.52%

Max Drawdown

WMS:

-53.58%

VOO:

-33.99%

Current Drawdown

WMS:

-34.68%

VOO:

-3.52%

Returns By Period

In the year-to-date period, WMS achieves a -16.68% return, which is significantly lower than VOO's 24.65% return. Over the past 10 years, WMS has outperformed VOO with an annualized return of 19.22%, while VOO has yielded a comparatively lower 13.02% annualized return.


WMS

YTD

-16.68%

1M

-12.30%

6M

-33.96%

1Y

-15.80%

5Y*

24.70%

10Y*

19.22%

VOO

YTD

24.65%

1M

-0.29%

6M

7.63%

1Y

24.77%

5Y*

14.57%

10Y*

13.02%

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Risk-Adjusted Performance

WMS vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Advanced Drainage Systems, Inc. (WMS) 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 WMS, currently valued at -0.37, compared to the broader market-4.00-2.000.002.00-0.372.04
The chart of Sortino ratio for WMS, currently valued at -0.31, compared to the broader market-4.00-2.000.002.004.00-0.312.72
The chart of Omega ratio for WMS, currently valued at 0.96, compared to the broader market0.501.001.502.000.961.38
The chart of Calmar ratio for WMS, currently valued at -0.40, compared to the broader market0.002.004.006.00-0.403.02
The chart of Martin ratio for WMS, currently valued at -1.07, compared to the broader market0.0010.0020.00-1.0713.60
WMS
VOO

The current WMS Sharpe Ratio is -0.37, which is lower than the VOO Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of WMS 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.37
2.04
WMS
VOO

Dividends

WMS vs. VOO - Dividend Comparison

WMS's dividend yield for the trailing twelve months is around 0.53%, less than VOO's 1.26% yield.


TTM20232022202120202019201820172016201520142013
WMS
Advanced Drainage Systems, Inc.
0.53%0.38%0.57%0.31%0.43%3.48%1.28%1.13%1.12%0.79%0.17%0.00%
VOO
Vanguard S&P 500 ETF
0.92%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

WMS vs. VOO - Drawdown Comparison

The maximum WMS drawdown since its inception was -53.58%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for WMS and VOO. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-34.68%
-3.52%
WMS
VOO

Volatility

WMS vs. VOO - Volatility Comparison

Advanced Drainage Systems, Inc. (WMS) has a higher volatility of 8.53% compared to Vanguard S&P 500 ETF (VOO) at 3.58%. This indicates that WMS'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.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
8.53%
3.58%
WMS
VOO
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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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