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^SPXEW vs. VTV
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SPXEW and VTV is 0.95, 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

^SPXEW vs. VTV - Performance Comparison

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

0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.66%
6.04%
^SPXEW
VTV

Key characteristics

Sharpe Ratio

^SPXEW:

1.19

VTV:

1.74

Sortino Ratio

^SPXEW:

1.69

VTV:

2.46

Omega Ratio

^SPXEW:

1.21

VTV:

1.31

Calmar Ratio

^SPXEW:

1.90

VTV:

2.41

Martin Ratio

^SPXEW:

6.06

VTV:

9.52

Ulcer Index

^SPXEW:

2.27%

VTV:

1.88%

Daily Std Dev

^SPXEW:

11.57%

VTV:

10.33%

Max Drawdown

^SPXEW:

-60.83%

VTV:

-59.27%

Current Drawdown

^SPXEW:

-5.96%

VTV:

-6.67%

Returns By Period

In the year-to-date period, ^SPXEW achieves a 11.47% return, which is significantly lower than VTV's 15.59% return. Over the past 10 years, ^SPXEW has underperformed VTV with an annualized return of 8.09%, while VTV has yielded a comparatively higher 9.88% annualized return.


^SPXEW

YTD

11.47%

1M

-3.00%

6M

6.66%

1Y

12.37%

5Y*

8.82%

10Y*

8.09%

VTV

YTD

15.59%

1M

-3.70%

6M

5.79%

1Y

17.93%

5Y*

9.90%

10Y*

9.88%

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

^SPXEW vs. VTV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Equal Weighted Index (^SPXEW) and Vanguard Value ETF (VTV). 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 ^SPXEW, currently valued at 1.19, compared to the broader market0.001.002.001.191.74
The chart of Sortino ratio for ^SPXEW, currently valued at 1.69, compared to the broader market-1.000.001.002.003.001.692.46
The chart of Omega ratio for ^SPXEW, currently valued at 1.21, compared to the broader market0.901.001.101.201.301.401.211.31
The chart of Calmar ratio for ^SPXEW, currently valued at 1.90, compared to the broader market0.001.002.003.001.902.41
The chart of Martin ratio for ^SPXEW, currently valued at 6.06, compared to the broader market0.005.0010.0015.0020.006.069.52
^SPXEW
VTV

The current ^SPXEW Sharpe Ratio is 1.19, which is lower than the VTV Sharpe Ratio of 1.74. The chart below compares the historical Sharpe Ratios of ^SPXEW and VTV, 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
1.19
1.74
^SPXEW
VTV

Drawdowns

^SPXEW vs. VTV - Drawdown Comparison

The maximum ^SPXEW drawdown since its inception was -60.83%, roughly equal to the maximum VTV drawdown of -59.27%. Use the drawdown chart below to compare losses from any high point for ^SPXEW and VTV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.96%
-6.67%
^SPXEW
VTV

Volatility

^SPXEW vs. VTV - Volatility Comparison

S&P 500 Equal Weighted Index (^SPXEW) has a higher volatility of 4.09% compared to Vanguard Value ETF (VTV) at 3.52%. This indicates that ^SPXEW's price experiences larger fluctuations and is considered to be riskier than VTV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
4.09%
3.52%
^SPXEW
VTV
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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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