PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^SP400 vs. VGIT
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SP400 and VGIT is -0.24. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.2

Performance

^SP400 vs. VGIT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 400 (^SP400) and Vanguard Intermediate-Term Treasury ETF (VGIT). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
6.33%
1.25%
^SP400
VGIT

Key characteristics

Sharpe Ratio

^SP400:

0.72

VGIT:

0.38

Sortino Ratio

^SP400:

1.10

VGIT:

0.57

Omega Ratio

^SP400:

1.13

VGIT:

1.07

Calmar Ratio

^SP400:

1.38

VGIT:

0.15

Martin Ratio

^SP400:

3.83

VGIT:

0.98

Ulcer Index

^SP400:

3.01%

VGIT:

1.84%

Daily Std Dev

^SP400:

15.98%

VGIT:

4.72%

Max Drawdown

^SP400:

-56.32%

VGIT:

-16.05%

Current Drawdown

^SP400:

-8.39%

VGIT:

-8.82%

Returns By Period

In the year-to-date period, ^SP400 achieves a 11.66% return, which is significantly higher than VGIT's 1.20% return. Over the past 10 years, ^SP400 has outperformed VGIT with an annualized return of 7.89%, while VGIT has yielded a comparatively lower 1.08% annualized return.


^SP400

YTD

11.66%

1M

-3.44%

6M

6.33%

1Y

13.29%

5Y*

8.52%

10Y*

7.89%

VGIT

YTD

1.20%

1M

-0.19%

6M

1.10%

1Y

1.71%

5Y*

-0.17%

10Y*

1.08%

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

^SP400 vs. VGIT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 400 (^SP400) and Vanguard Intermediate-Term Treasury ETF (VGIT). 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 ^SP400, currently valued at 0.72, compared to the broader market-1.000.001.002.000.720.36
The chart of Sortino ratio for ^SP400, currently valued at 1.10, compared to the broader market-1.000.001.002.003.001.100.54
The chart of Omega ratio for ^SP400, currently valued at 1.13, compared to the broader market0.800.901.001.101.201.301.401.131.06
The chart of Calmar ratio for ^SP400, currently valued at 1.38, compared to the broader market0.001.002.003.004.001.380.14
The chart of Martin ratio for ^SP400, currently valued at 3.83, compared to the broader market0.005.0010.0015.003.830.92
^SP400
VGIT

The current ^SP400 Sharpe Ratio is 0.72, which is higher than the VGIT Sharpe Ratio of 0.38. The chart below compares the historical Sharpe Ratios of ^SP400 and VGIT, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.72
0.36
^SP400
VGIT

Drawdowns

^SP400 vs. VGIT - Drawdown Comparison

The maximum ^SP400 drawdown since its inception was -56.32%, which is greater than VGIT's maximum drawdown of -16.05%. Use the drawdown chart below to compare losses from any high point for ^SP400 and VGIT. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.39%
-8.82%
^SP400
VGIT

Volatility

^SP400 vs. VGIT - Volatility Comparison

S&P 400 (^SP400) has a higher volatility of 5.32% compared to Vanguard Intermediate-Term Treasury ETF (VGIT) at 1.22%. This indicates that ^SP400's price experiences larger fluctuations and is considered to be riskier than VGIT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.32%
1.22%
^SP400
VGIT
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