PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
GARP vs. VIGI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


GARPVIGI
YTD Return36.97%7.82%
1Y Return51.19%19.28%
3Y Return (Ann)13.07%1.20%
Sharpe Ratio2.781.68
Sortino Ratio3.562.44
Omega Ratio1.501.29
Calmar Ratio3.731.33
Martin Ratio14.318.74
Ulcer Index3.50%2.20%
Daily Std Dev18.02%11.42%
Max Drawdown-31.34%-31.01%
Current Drawdown0.00%-5.24%

Correlation

-0.50.00.51.00.7

The correlation between GARP and VIGI is 0.70, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

GARP vs. VIGI - Performance Comparison

In the year-to-date period, GARP achieves a 36.97% return, which is significantly higher than VIGI's 7.82% 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
18.21%
5.73%
GARP
VIGI

Compare stocks, funds, or ETFs

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


GARP vs. VIGI - Expense Ratio Comparison

Both GARP and VIGI have an expense ratio of 0.15%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


GARP
iShares MSCI USA Quality GARP ETF
Expense ratio chart for GARP: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VIGI: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

GARP vs. VIGI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Quality GARP ETF (GARP) and Vanguard International Dividend Appreciation ETF (VIGI). 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.


GARP
Sharpe ratio
The chart of Sharpe ratio for GARP, currently valued at 2.78, compared to the broader market-2.000.002.004.006.002.78
Sortino ratio
The chart of Sortino ratio for GARP, currently valued at 3.56, compared to the broader market0.005.0010.003.56
Omega ratio
The chart of Omega ratio for GARP, currently valued at 1.50, compared to the broader market1.001.502.002.503.001.50
Calmar ratio
The chart of Calmar ratio for GARP, currently valued at 3.73, compared to the broader market0.005.0010.0015.003.73
Martin ratio
The chart of Martin ratio for GARP, currently valued at 14.31, compared to the broader market0.0020.0040.0060.0080.00100.0014.31
VIGI
Sharpe ratio
The chart of Sharpe ratio for VIGI, currently valued at 1.68, compared to the broader market-2.000.002.004.006.001.68
Sortino ratio
The chart of Sortino ratio for VIGI, currently valued at 2.44, compared to the broader market0.005.0010.002.44
Omega ratio
The chart of Omega ratio for VIGI, currently valued at 1.29, compared to the broader market1.001.502.002.503.001.29
Calmar ratio
The chart of Calmar ratio for VIGI, currently valued at 1.33, compared to the broader market0.005.0010.0015.001.33
Martin ratio
The chart of Martin ratio for VIGI, currently valued at 8.74, compared to the broader market0.0020.0040.0060.0080.00100.008.74

GARP vs. VIGI - Sharpe Ratio Comparison

The current GARP Sharpe Ratio is 2.78, which is higher than the VIGI Sharpe Ratio of 1.68. The chart below compares the historical Sharpe Ratios of GARP and VIGI, 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
2.78
1.68
GARP
VIGI

Dividends

GARP vs. VIGI - Dividend Comparison

GARP's dividend yield for the trailing twelve months is around 0.37%, less than VIGI's 1.97% yield.


TTM20232022202120202019201820172016
GARP
iShares MSCI USA Quality GARP ETF
0.37%0.75%1.85%0.67%0.75%0.00%0.00%0.00%0.00%
VIGI
Vanguard International Dividend Appreciation ETF
1.97%1.92%2.06%7.02%1.29%1.83%1.99%1.75%0.98%

Drawdowns

GARP vs. VIGI - Drawdown Comparison

The maximum GARP drawdown since its inception was -31.34%, roughly equal to the maximum VIGI drawdown of -31.01%. Use the drawdown chart below to compare losses from any high point for GARP and VIGI. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-5.24%
GARP
VIGI

Volatility

GARP vs. VIGI - Volatility Comparison

iShares MSCI USA Quality GARP ETF (GARP) has a higher volatility of 5.97% compared to Vanguard International Dividend Appreciation ETF (VIGI) at 3.23%. This indicates that GARP's price experiences larger fluctuations and is considered to be riskier than VIGI 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%JuneJulyAugustSeptemberOctoberNovember
5.97%
3.23%
GARP
VIGI