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XEM-USD vs. VOO
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between XEM-USD and VOO is 0.18, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


Performance

XEM-USD vs. VOO - Performance Comparison

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

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Key characteristics

Sharpe Ratio

XEM-USD:

-0.70

VOO:

0.60

Sortino Ratio

XEM-USD:

-0.41

VOO:

0.88

Omega Ratio

XEM-USD:

0.96

VOO:

1.13

Calmar Ratio

XEM-USD:

0.06

VOO:

0.56

Martin Ratio

XEM-USD:

-1.33

VOO:

2.13

Ulcer Index

XEM-USD:

40.57%

VOO:

4.91%

Daily Std Dev

XEM-USD:

86.24%

VOO:

19.46%

Max Drawdown

XEM-USD:

-99.45%

VOO:

-33.99%

Current Drawdown

XEM-USD:

-99.45%

VOO:

-5.22%

Returns By Period

In the year-to-date period, XEM-USD achieves a -57.53% return, which is significantly lower than VOO's -0.85% return. Over the past 10 years, XEM-USD has outperformed VOO with an annualized return of 49.32%, while VOO has yielded a comparatively lower 12.64% annualized return.


XEM-USD

YTD

-57.53%

1M

-57.69%

6M

-61.76%

1Y

-72.76%

3Y*

-40.01%

5Y*

-24.36%

10Y*

49.32%

VOO

YTD

-0.85%

1M

5.19%

6M

-2.42%

1Y

10.85%

3Y*

15.45%

5Y*

16.18%

10Y*

12.64%

*Annualized

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NEM

Vanguard S&P 500 ETF

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

XEM-USD vs. VOO — Risk-Adjusted Performance Rank

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

XEM-USD
The Risk-Adjusted Performance Rank of XEM-USD is 1515
Overall Rank
The Sharpe Ratio Rank of XEM-USD is 77
Sharpe Ratio Rank
The Sortino Ratio Rank of XEM-USD is 55
Sortino Ratio Rank
The Omega Ratio Rank of XEM-USD is 55
Omega Ratio Rank
The Calmar Ratio Rank of XEM-USD is 5555
Calmar Ratio Rank
The Martin Ratio Rank of XEM-USD is 44
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 6262
Overall Rank
The Sharpe Ratio Rank of VOO is 6161
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 5959
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6363
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 6565
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6363
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

XEM-USD vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NEM (XEM-USD) 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.


The current XEM-USD Sharpe Ratio is -0.70, which is lower than the VOO Sharpe Ratio of 0.60. The chart below compares the historical Sharpe Ratios of XEM-USD 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.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Drawdowns

XEM-USD vs. VOO - Drawdown Comparison

The maximum XEM-USD drawdown since its inception was -99.45%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for XEM-USD and VOO.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

XEM-USD vs. VOO - Volatility Comparison

NEM (XEM-USD) has a higher volatility of 35.99% compared to Vanguard S&P 500 ETF (VOO) at 4.44%. This indicates that XEM-USD'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.


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