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GLP vs. VUG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GLP and VUG is 0.24, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.2

Performance

GLP vs. VUG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global Partners LP (GLP) and Vanguard Growth ETF (VUG). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
9.68%
11.56%
GLP
VUG

Key characteristics

Sharpe Ratio

GLP:

0.69

VUG:

2.07

Sortino Ratio

GLP:

1.13

VUG:

2.69

Omega Ratio

GLP:

1.14

VUG:

1.38

Calmar Ratio

GLP:

1.01

VUG:

2.75

Martin Ratio

GLP:

2.68

VUG:

10.80

Ulcer Index

GLP:

9.10%

VUG:

3.31%

Daily Std Dev

GLP:

35.14%

VUG:

17.24%

Max Drawdown

GLP:

-81.17%

VUG:

-50.68%

Current Drawdown

GLP:

-16.11%

VUG:

-2.93%

Returns By Period

In the year-to-date period, GLP achieves a 20.59% return, which is significantly lower than VUG's 34.17% return. Over the past 10 years, GLP has underperformed VUG with an annualized return of 14.12%, while VUG has yielded a comparatively higher 15.80% annualized return.


GLP

YTD

20.59%

1M

-5.32%

6M

9.68%

1Y

23.21%

5Y*

31.47%

10Y*

14.12%

VUG

YTD

34.17%

1M

2.91%

6M

11.45%

1Y

35.73%

5Y*

18.80%

10Y*

15.80%

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Risk-Adjusted Performance

GLP vs. VUG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global Partners LP (GLP) and Vanguard Growth ETF (VUG). 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 GLP, currently valued at 0.69, compared to the broader market-4.00-2.000.002.000.692.07
The chart of Sortino ratio for GLP, currently valued at 1.13, compared to the broader market-4.00-2.000.002.004.001.132.69
The chart of Omega ratio for GLP, currently valued at 1.14, compared to the broader market0.501.001.502.001.141.38
The chart of Calmar ratio for GLP, currently valued at 1.01, compared to the broader market0.002.004.006.001.012.75
The chart of Martin ratio for GLP, currently valued at 2.68, compared to the broader market-5.000.005.0010.0015.0020.0025.002.6810.80
GLP
VUG

The current GLP Sharpe Ratio is 0.69, which is lower than the VUG Sharpe Ratio of 2.07. The chart below compares the historical Sharpe Ratios of GLP and VUG, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
0.69
2.07
GLP
VUG

Dividends

GLP vs. VUG - Dividend Comparison

GLP's dividend yield for the trailing twelve months is around 5.97%, more than VUG's 0.47% yield.


TTM20232022202120202019201820172016201520142013
GLP
Global Partners LP
5.97%9.92%6.93%9.68%11.30%10.14%11.51%11.09%9.52%15.57%7.67%6.61%
VUG
Vanguard Growth ETF
0.33%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%

Drawdowns

GLP vs. VUG - Drawdown Comparison

The maximum GLP drawdown since its inception was -81.17%, which is greater than VUG's maximum drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for GLP and VUG. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-16.11%
-2.93%
GLP
VUG

Volatility

GLP vs. VUG - Volatility Comparison

Global Partners LP (GLP) has a higher volatility of 11.70% compared to Vanguard Growth ETF (VUG) at 4.79%. This indicates that GLP's price experiences larger fluctuations and is considered to be riskier than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%JulyAugustSeptemberOctoberNovemberDecember
11.70%
4.79%
GLP
VUG
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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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