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ZURN.SW vs. VOOG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ZURN.SWVOOG
YTD Return26.14%35.02%
1Y Return28.66%43.89%
3Y Return (Ann)15.23%8.08%
5Y Return (Ann)12.26%18.07%
10Y Return (Ann)12.27%15.23%
Sharpe Ratio2.132.72
Sortino Ratio2.953.46
Omega Ratio1.381.50
Calmar Ratio4.013.05
Martin Ratio12.7814.43
Ulcer Index2.22%3.21%
Daily Std Dev13.34%16.98%
Max Drawdown-88.78%-32.73%
Current Drawdown-0.68%-0.18%

Correlation

-0.50.00.51.00.3

The correlation between ZURN.SW and VOOG is 0.31, 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

ZURN.SW vs. VOOG - Performance Comparison

In the year-to-date period, ZURN.SW achieves a 26.14% return, which is significantly lower than VOOG's 35.02% return. Over the past 10 years, ZURN.SW has underperformed VOOG with an annualized return of 12.27%, while VOOG has yielded a comparatively higher 15.23% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
19.16%
18.72%
ZURN.SW
VOOG

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Risk-Adjusted Performance

ZURN.SW vs. VOOG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Zurich Insurance Group AG (ZURN.SW) and Vanguard S&P 500 Growth ETF (VOOG). 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.


ZURN.SW
Sharpe ratio
The chart of Sharpe ratio for ZURN.SW, currently valued at 2.11, compared to the broader market-4.00-2.000.002.004.002.11
Sortino ratio
The chart of Sortino ratio for ZURN.SW, currently valued at 2.94, compared to the broader market-4.00-2.000.002.004.006.002.94
Omega ratio
The chart of Omega ratio for ZURN.SW, currently valued at 1.36, compared to the broader market0.501.001.502.001.36
Calmar ratio
The chart of Calmar ratio for ZURN.SW, currently valued at 3.42, compared to the broader market0.002.004.006.003.42
Martin ratio
The chart of Martin ratio for ZURN.SW, currently valued at 9.84, compared to the broader market0.0010.0020.0030.009.84
VOOG
Sharpe ratio
The chart of Sharpe ratio for VOOG, currently valued at 2.37, compared to the broader market-4.00-2.000.002.004.002.37
Sortino ratio
The chart of Sortino ratio for VOOG, currently valued at 3.07, compared to the broader market-4.00-2.000.002.004.006.003.07
Omega ratio
The chart of Omega ratio for VOOG, currently valued at 1.44, compared to the broader market0.501.001.502.001.44
Calmar ratio
The chart of Calmar ratio for VOOG, currently valued at 2.99, compared to the broader market0.002.004.006.002.99
Martin ratio
The chart of Martin ratio for VOOG, currently valued at 12.41, compared to the broader market0.0010.0020.0030.0012.41

ZURN.SW vs. VOOG - Sharpe Ratio Comparison

The current ZURN.SW Sharpe Ratio is 2.13, which is comparable to the VOOG Sharpe Ratio of 2.72. The chart below compares the historical Sharpe Ratios of ZURN.SW and VOOG, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.11
2.37
ZURN.SW
VOOG

Dividends

ZURN.SW vs. VOOG - Dividend Comparison

ZURN.SW's dividend yield for the trailing twelve months is around 4.96%, more than VOOG's 0.59% yield.


TTM20232022202120202019201820172016201520142013
ZURN.SW
Zurich Insurance Group AG
4.96%5.46%4.97%5.00%5.35%4.78%6.14%3.81%6.06%6.58%5.45%6.58%
VOOG
Vanguard S&P 500 Growth ETF
0.59%1.12%0.93%0.53%0.88%1.26%1.34%1.32%1.47%1.56%1.28%1.46%

Drawdowns

ZURN.SW vs. VOOG - Drawdown Comparison

The maximum ZURN.SW drawdown since its inception was -88.78%, which is greater than VOOG's maximum drawdown of -32.73%. Use the drawdown chart below to compare losses from any high point for ZURN.SW and VOOG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.53%
-0.18%
ZURN.SW
VOOG

Volatility

ZURN.SW vs. VOOG - Volatility Comparison

The current volatility for Zurich Insurance Group AG (ZURN.SW) is 3.14%, while Vanguard S&P 500 Growth ETF (VOOG) has a volatility of 5.26%. This indicates that ZURN.SW experiences smaller price fluctuations and is considered to be less risky than VOOG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
3.14%
5.26%
ZURN.SW
VOOG