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

Correlation

The correlation between ZS and VOO is 0.49, 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

ZS vs. VOO - Performance Comparison

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

100.00%200.00%300.00%400.00%500.00%JulyAugustSeptemberOctoberNovemberDecember
462.70%
138.84%
ZS
VOO

Key characteristics

Sharpe Ratio

ZS:

-0.38

VOO:

2.04

Sortino Ratio

ZS:

-0.24

VOO:

2.72

Omega Ratio

ZS:

0.97

VOO:

1.38

Calmar Ratio

ZS:

-0.29

VOO:

3.02

Martin Ratio

ZS:

-0.67

VOO:

13.60

Ulcer Index

ZS:

24.73%

VOO:

1.88%

Daily Std Dev

ZS:

43.42%

VOO:

12.52%

Max Drawdown

ZS:

-76.41%

VOO:

-33.99%

Current Drawdown

ZS:

-49.65%

VOO:

-3.52%

Returns By Period

In the year-to-date period, ZS achieves a -16.19% return, which is significantly lower than VOO's 24.65% return.


ZS

YTD

-16.19%

1M

-8.46%

6M

3.50%

1Y

-17.12%

5Y*

30.57%

10Y*

N/A

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

ZS vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Zscaler, Inc. (ZS) 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 ZS, currently valued at -0.38, compared to the broader market-4.00-2.000.002.00-0.382.04
The chart of Sortino ratio for ZS, currently valued at -0.24, compared to the broader market-4.00-2.000.002.004.00-0.242.72
The chart of Omega ratio for ZS, currently valued at 0.97, compared to the broader market0.501.001.502.000.971.38
The chart of Calmar ratio for ZS, currently valued at -0.29, compared to the broader market0.002.004.006.00-0.293.02
The chart of Martin ratio for ZS, currently valued at -0.67, compared to the broader market0.0010.0020.00-0.6713.60
ZS
VOO

The current ZS Sharpe Ratio is -0.38, which is lower than the VOO Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of ZS 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
-0.38
2.04
ZS
VOO

Dividends

ZS vs. VOO - Dividend Comparison

ZS has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.26%.


TTM20232022202120202019201820172016201520142013
ZS
Zscaler, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.26%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

ZS vs. VOO - Drawdown Comparison

The maximum ZS drawdown since its inception was -76.41%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ZS and VOO. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-49.65%
-3.52%
ZS
VOO

Volatility

ZS vs. VOO - Volatility Comparison

Zscaler, Inc. (ZS) has a higher volatility of 13.67% compared to Vanguard S&P 500 ETF (VOO) at 3.58%. This indicates that ZS'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
13.67%
3.58%
ZS
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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