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

Key characteristics


GEQT.TOVTV
YTD Return19.82%17.00%
1Y Return29.26%23.45%
3Y Return (Ann)8.72%10.59%
Sharpe Ratio2.412.22
Daily Std Dev11.93%10.57%
Max Drawdown-23.64%-59.27%
Current Drawdown-0.33%-0.08%

Correlation

-0.50.00.51.00.7

The correlation between GEQT.TO and VTV is 0.67, 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

GEQT.TO vs. VTV - Performance Comparison

In the year-to-date period, GEQT.TO achieves a 19.82% return, which is significantly higher than VTV's 17.00% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%AprilMayJuneJulyAugustSeptember
7.74%
8.72%
GEQT.TO
VTV

Compare stocks, funds, or ETFs

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


GEQT.TO vs. VTV - Expense Ratio Comparison

GEQT.TO has a 0.25% expense ratio, which is higher than VTV's 0.04% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


GEQT.TO
iShares ESG Equity ETF Portfolio
Expense ratio chart for GEQT.TO: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for VTV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

GEQT.TO vs. VTV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Equity ETF Portfolio (GEQT.TO) 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.


GEQT.TO
Sharpe ratio
The chart of Sharpe ratio for GEQT.TO, currently valued at 2.33, compared to the broader market0.002.004.002.33
Sortino ratio
The chart of Sortino ratio for GEQT.TO, currently valued at 3.23, compared to the broader market-2.000.002.004.006.008.0010.0012.003.23
Omega ratio
The chart of Omega ratio for GEQT.TO, currently valued at 1.44, compared to the broader market0.501.001.502.002.503.003.501.44
Calmar ratio
The chart of Calmar ratio for GEQT.TO, currently valued at 1.68, compared to the broader market0.005.0010.0015.001.68
Martin ratio
The chart of Martin ratio for GEQT.TO, currently valued at 14.57, compared to the broader market0.0020.0040.0060.0080.00100.00120.0014.57
VTV
Sharpe ratio
The chart of Sharpe ratio for VTV, currently valued at 2.49, compared to the broader market0.002.004.002.49
Sortino ratio
The chart of Sortino ratio for VTV, currently valued at 3.44, compared to the broader market-2.000.002.004.006.008.0010.0012.003.44
Omega ratio
The chart of Omega ratio for VTV, currently valued at 1.44, compared to the broader market0.501.001.502.002.503.003.501.44
Calmar ratio
The chart of Calmar ratio for VTV, currently valued at 2.64, compared to the broader market0.005.0010.0015.002.64
Martin ratio
The chart of Martin ratio for VTV, currently valued at 14.15, compared to the broader market0.0020.0040.0060.0080.00100.00120.0014.15

GEQT.TO vs. VTV - Sharpe Ratio Comparison

The current GEQT.TO Sharpe Ratio is 2.41, which roughly equals the VTV Sharpe Ratio of 2.22. The chart below compares the 12-month rolling Sharpe Ratio of GEQT.TO and VTV.


Rolling 12-month Sharpe Ratio1.201.401.601.802.002.202.40AprilMayJuneJulyAugustSeptember
2.33
2.49
GEQT.TO
VTV

Dividends

GEQT.TO vs. VTV - Dividend Comparison

GEQT.TO's dividend yield for the trailing twelve months is around 1.42%, less than VTV's 2.29% yield.


TTM20232022202120202019201820172016201520142013
GEQT.TO
iShares ESG Equity ETF Portfolio
1.42%1.58%1.82%1.32%0.87%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VTV
Vanguard Value ETF
2.29%2.46%2.52%2.15%2.56%2.50%2.73%2.29%2.44%2.60%2.22%2.21%

Drawdowns

GEQT.TO vs. VTV - Drawdown Comparison

The maximum GEQT.TO drawdown since its inception was -23.64%, smaller than the maximum VTV drawdown of -59.27%. Use the drawdown chart below to compare losses from any high point for GEQT.TO and VTV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-0.40%
-0.08%
GEQT.TO
VTV

Volatility

GEQT.TO vs. VTV - Volatility Comparison

iShares ESG Equity ETF Portfolio (GEQT.TO) has a higher volatility of 4.31% compared to Vanguard Value ETF (VTV) at 3.01%. This indicates that GEQT.TO'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%6.00%7.00%AprilMayJuneJulyAugustSeptember
4.31%
3.01%
GEQT.TO
VTV