WSO vs. VUG

Last updated Jun 16, 2026

WSO (Watsco, Inc.) is a stock, while VUG (Vanguard Growth ETF) is Large Cap Growth Equities fund tracking the CRSP US Large Cap Growth Index. Over the past 10 years, WSO returned 14.68%/yr vs 18.30%/yr for VUG. A 0.54 correlation means they provide meaningful diversification when combined.

Performance

WSO vs. VUG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Watsco, Inc. (WSO) and Vanguard Growth ETF (VUG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, WSO achieves a 16.03% return, which is significantly higher than VUG's 7.94% return. Over the past 10 years, WSO has underperformed VUG with an annualized return of 14.68%, while VUG has yielded a comparatively higher 18.30% annualized return.

WSO

• 1D: 1.14%
• 1M: -4.55%
• YTD: 16.03%
• 6M: 13.46%
• 1Y: -8.15%
• 3Y*: 4.33%
• 5Y*: 9.38%
• 10Y*: 14.68%

VUG

• 1D: 2.81%
• 1M: 0.27%
• YTD: 7.94%
• 6M: 9.17%
• 1Y: 26.29%
• 3Y*: 24.04%
• 5Y*: 14.43%
• 10Y*: 18.30%

*Multi-year figures are annualized to reflect compound growth (CAGR)

WSO vs. VUG - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
WSO Watsco, Inc.	16.03%	-27.02%	13.22%	77.00%	-17.74%	42.09%	30.57%	34.99%	-15.54%	18.36%
VUG Vanguard Growth ETF	7.94%	19.40%	32.69%	46.83%	-33.16%	27.35%	40.25%	37.03%	-3.32%	27.72%

Correlation

The correlation between WSO and VUG is 0.25, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.25
Correlation (3Y) Calculated over the trailing 3-year period	0.40
Correlation (5Y) Calculated over the trailing 5-year period	0.49
Correlation (10Y) Calculated over the trailing 10-year period	0.46
Correlation (All Time) Calculated using the full available price history since Jan 30, 2004	0.54

Over the past year, the correlation between WSO and VUG has dropped to 0.25 - well below their long-term average of 0.54, suggesting their price drivers have been diverging.

Return for Risk

WSO vs. VUG — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

WSO

WSO Risk / Return Rank: 31
WSO Sharpe Ratio Rank: 31
WSO Sortino Ratio Rank: 28
WSO Omega Ratio Rank: 28
WSO Calmar Ratio Rank: 34
WSO Martin Ratio Rank: 35

VUG

VUG Risk / Return Rank: 44
VUG Sharpe Ratio Rank: 51
VUG Sortino Ratio Rank: 48
VUG Omega Ratio Rank: 49
VUG Calmar Ratio Rank: 35
VUG Martin Ratio Rank: 38

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

WSO vs. VUG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Watsco, Inc. (WSO) and Vanguard Growth ETF (VUG). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	WSO	VUG	Difference
Sharpe ratio: Return per unit of total volatility	-0.26	1.59	-1.85
Sortino ratio: Return per unit of downside risk	-0.16	2.16	-2.31
Omega ratio: Gain probability vs. loss probability	0.98	1.28	-0.30
Calmar ratio: Return relative to maximum drawdown	-0.24	1.60	-1.84
Martin ratio: Return relative to average drawdown	-0.41	5.50	-5.91

WSO vs. VUG - Sharpe Ratio Comparison

The current WSO Sharpe Ratio is -0.26, which is lower than the VUG Sharpe Ratio of 1.59. The chart below compares the historical Sharpe Ratios of WSO and VUG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

WSO vs. VUG - Drawdown Comparison

The maximum WSO drawdown since its inception was -64.30%, which is greater than VUG's maximum drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for WSO and VUG.

Drawdown Indicators

	WSO	VUG	Difference
Max Drawdown Largest peak-to-trough decline	-64.30%	-50.68%	-13.62%
Max Drawdown (1Y) Largest decline over 1 year	-33.42%	-16.53%	-16.89%
Max Drawdown (3Y) Largest decline over 3 years	-41.62%	-22.85%	-18.77%
Max Drawdown (5Y) Largest decline over 5 years	-41.62%	-35.61%	-6.01%
Max Drawdown (10Y) Largest decline over 10 years	-41.62%	-35.61%	-6.01%
Current Drawdown Current decline from peak	-29.44%	-2.90%	-26.54%
Average Drawdown Average peak-to-trough decline	-18.06%	-7.09%	-10.97%
Ulcer Index Depth and duration of drawdowns from previous peaks	19.84%	4.79%	+15.05%

Volatility

WSO vs. VUG - Volatility Comparison

Watsco, Inc. (WSO) has a higher volatility of 9.18% compared to Vanguard Growth ETF (VUG) at 6.32%. This indicates that WSO's price experiences larger fluctuations and is considered to be riskier than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	WSO	VUG	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.18%	6.32%	+2.86%
Volatility (6M) Calculated over the trailing 6-month period	22.53%	13.28%	+9.25%
Volatility (1Y) Calculated over the trailing 1-year period	31.51%	16.65%	+14.86%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	30.21%	22.34%	+7.87%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	27.84%	21.51%	+6.33%

Dividends

WSO vs. VUG - Dividend Comparison

WSO's dividend yield for the trailing twelve months is around 3.20%, more than VUG's 0.38% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
VUG Vanguard Growth ETF	0.38%	0.41%	0.47%	0.58%	0.70%	0.48%	0.66%	0.95%	1.32%	1.14%	1.39%	1.30%
WSO Watsco, Inc.	3.20%	3.47%	2.23%	2.29%	3.43%	2.44%	3.06%	3.55%	4.02%	2.71%	2.43%	2.39%

Frequently Asked Questions

Can I hold both WSO and VUG in my portfolio?

WSO and VUG have a correlation of 0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, WSO or VUG?

WSO has higher volatility (9.18%) compared to VUG (6.32%). In terms of maximum drawdown, WSO dropped -64.30% vs VUG's -50.68%.

Which has better risk-adjusted returns?

VUG currently has the higher Sharpe Ratio (1.59 vs -0.26), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.