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^SP400 vs. VOO
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SP400 and VOO is 0.88, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

^SP400 vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 400 (^SP400) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
308.73%
595.32%
^SP400
VOO

Key characteristics

Sharpe Ratio

^SP400:

0.82

VOO:

2.04

Sortino Ratio

^SP400:

1.23

VOO:

2.72

Omega Ratio

^SP400:

1.15

VOO:

1.38

Calmar Ratio

^SP400:

1.61

VOO:

3.02

Martin Ratio

^SP400:

4.44

VOO:

13.60

Ulcer Index

^SP400:

2.97%

VOO:

1.88%

Daily Std Dev

^SP400:

16.03%

VOO:

12.52%

Max Drawdown

^SP400:

-56.32%

VOO:

-33.99%

Current Drawdown

^SP400:

-8.19%

VOO:

-3.52%

Returns By Period

In the year-to-date period, ^SP400 achieves a 11.90% return, which is significantly lower than VOO's 24.65% return. Over the past 10 years, ^SP400 has underperformed VOO with an annualized return of 7.96%, while VOO has yielded a comparatively higher 13.02% annualized return.


^SP400

YTD

11.90%

1M

-3.14%

6M

6.24%

1Y

11.78%

5Y*

8.57%

10Y*

7.96%

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

^SP400 vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 400 (^SP400) 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 ^SP400, currently valued at 0.82, compared to the broader market-1.000.001.002.000.822.04
The chart of Sortino ratio for ^SP400, currently valued at 1.23, compared to the broader market-1.000.001.002.003.001.232.72
The chart of Omega ratio for ^SP400, currently valued at 1.15, compared to the broader market0.800.901.001.101.201.301.401.151.38
The chart of Calmar ratio for ^SP400, currently valued at 1.61, compared to the broader market0.001.002.003.004.001.613.02
The chart of Martin ratio for ^SP400, currently valued at 4.44, compared to the broader market0.005.0010.0015.004.4413.60
^SP400
VOO

The current ^SP400 Sharpe Ratio is 0.82, which is lower than the VOO Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of ^SP400 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
0.82
2.04
^SP400
VOO

Drawdowns

^SP400 vs. VOO - Drawdown Comparison

The maximum ^SP400 drawdown since its inception was -56.32%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ^SP400 and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.19%
-3.52%
^SP400
VOO

Volatility

^SP400 vs. VOO - Volatility Comparison

S&P 400 (^SP400) has a higher volatility of 5.33% compared to Vanguard S&P 500 ETF (VOO) at 3.58%. This indicates that ^SP400'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%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.33%
3.58%
^SP400
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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