PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^BSE500 vs. VOO
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^BSE500 and VOO is 0.23, 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.


-0.50.00.51.00.2

Performance

^BSE500 vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P BSE-500 (^BSE500) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-1.63%
8.89%
^BSE500
VOO

Key characteristics

Sharpe Ratio

^BSE500:

1.02

VOO:

2.21

Sortino Ratio

^BSE500:

1.36

VOO:

2.93

Omega Ratio

^BSE500:

1.22

VOO:

1.41

Calmar Ratio

^BSE500:

1.37

VOO:

3.25

Martin Ratio

^BSE500:

4.38

VOO:

14.47

Ulcer Index

^BSE500:

3.46%

VOO:

1.90%

Daily Std Dev

^BSE500:

14.78%

VOO:

12.43%

Max Drawdown

^BSE500:

-38.39%

VOO:

-33.99%

Current Drawdown

^BSE500:

-9.05%

VOO:

-2.87%

Returns By Period

In the year-to-date period, ^BSE500 achieves a 14.34% return, which is significantly lower than VOO's 25.49% return. Both investments have delivered pretty close results over the past 10 years, with ^BSE500 having a 12.92% annualized return and VOO not far ahead at 13.04%.


^BSE500

YTD

14.34%

1M

1.37%

6M

0.04%

1Y

17.29%

5Y*

17.60%

10Y*

12.92%

VOO

YTD

25.49%

1M

0.01%

6M

8.65%

1Y

27.45%

5Y*

14.70%

10Y*

13.04%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^BSE500 vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P BSE-500 (^BSE500) 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 ^BSE500, currently valued at 0.57, compared to the broader market0.001.002.000.572.05
The chart of Sortino ratio for ^BSE500, currently valued at 0.83, compared to the broader market-1.000.001.002.003.000.832.74
The chart of Omega ratio for ^BSE500, currently valued at 1.13, compared to the broader market0.901.001.101.201.301.401.131.40
The chart of Calmar ratio for ^BSE500, currently valued at 0.72, compared to the broader market0.001.002.003.000.722.98
The chart of Martin ratio for ^BSE500, currently valued at 2.18, compared to the broader market0.005.0010.0015.0020.002.1812.76
^BSE500
VOO

The current ^BSE500 Sharpe Ratio is 1.02, which is lower than the VOO Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of ^BSE500 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.57
2.05
^BSE500
VOO

Drawdowns

^BSE500 vs. VOO - Drawdown Comparison

The maximum ^BSE500 drawdown since its inception was -38.39%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ^BSE500 and VOO. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.56%
-2.87%
^BSE500
VOO

Volatility

^BSE500 vs. VOO - Volatility Comparison

S&P BSE-500 (^BSE500) has a higher volatility of 4.58% compared to Vanguard S&P 500 ETF (VOO) at 3.60%. This indicates that ^BSE500'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.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
4.58%
3.60%
^BSE500
VOO
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab