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GPIQ vs. GPIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


GPIQGPIX
YTD Return22.83%23.04%
1Y Return28.73%29.95%
Sharpe Ratio2.123.07
Sortino Ratio2.824.12
Omega Ratio1.411.62
Calmar Ratio2.654.58
Martin Ratio10.8221.71
Ulcer Index2.86%1.47%
Daily Std Dev14.61%10.42%
Max Drawdown-11.66%-6.97%
Current Drawdown-0.22%0.00%

Correlation

-0.50.00.51.00.9

The correlation between GPIQ and GPIX 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.

Performance

GPIQ vs. GPIX - Performance Comparison

The year-to-date returns for both investments are quite close, with GPIQ having a 22.83% return and GPIX slightly higher at 23.04%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.97%
12.60%
GPIQ
GPIX

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GPIQ vs. GPIX - Expense Ratio Comparison

Both GPIQ and GPIX have an expense ratio of 0.29%.


GPIQ
Goldman Sachs Nasdaq-100 Core Premium Income ETF
Expense ratio chart for GPIQ: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
Expense ratio chart for GPIX: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Risk-Adjusted Performance

GPIQ vs. GPIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Nasdaq-100 Core Premium Income ETF (GPIQ) and Goldman Sachs S&P 500 Core Premium Income ETF (GPIX). 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.


GPIQ
Sharpe ratio
The chart of Sharpe ratio for GPIQ, currently valued at 2.12, compared to the broader market-2.000.002.004.002.12
Sortino ratio
The chart of Sortino ratio for GPIQ, currently valued at 2.82, compared to the broader market0.005.0010.002.82
Omega ratio
The chart of Omega ratio for GPIQ, currently valued at 1.41, compared to the broader market1.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for GPIQ, currently valued at 2.65, compared to the broader market0.005.0010.0015.002.65
Martin ratio
The chart of Martin ratio for GPIQ, currently valued at 10.82, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.82
GPIX
Sharpe ratio
The chart of Sharpe ratio for GPIX, currently valued at 3.07, compared to the broader market-2.000.002.004.003.07
Sortino ratio
The chart of Sortino ratio for GPIX, currently valued at 4.12, compared to the broader market0.005.0010.004.12
Omega ratio
The chart of Omega ratio for GPIX, currently valued at 1.62, compared to the broader market1.001.502.002.503.001.62
Calmar ratio
The chart of Calmar ratio for GPIX, currently valued at 4.58, compared to the broader market0.005.0010.0015.004.58
Martin ratio
The chart of Martin ratio for GPIX, currently valued at 21.71, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.71

GPIQ vs. GPIX - Sharpe Ratio Comparison

The current GPIQ Sharpe Ratio is 2.12, which is lower than the GPIX Sharpe Ratio of 3.07. The chart below compares the historical Sharpe Ratios of GPIQ and GPIX, 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 Ratio2.002.503.003.50Wed 30NovemberNov 03Tue 05Thu 07Sat 09Mon 11Wed 13
2.12
3.07
GPIQ
GPIX

Dividends

GPIQ vs. GPIX - Dividend Comparison

GPIQ's dividend yield for the trailing twelve months is around 9.80%, more than GPIX's 7.84% yield.


TTM2023
GPIQ
Goldman Sachs Nasdaq-100 Core Premium Income ETF
9.80%1.74%
GPIX
Goldman Sachs S&P 500 Core Premium Income ETF
7.84%1.40%

Drawdowns

GPIQ vs. GPIX - Drawdown Comparison

The maximum GPIQ drawdown since its inception was -11.66%, which is greater than GPIX's maximum drawdown of -6.97%. Use the drawdown chart below to compare losses from any high point for GPIQ and GPIX. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.22%
0
GPIQ
GPIX

Volatility

GPIQ vs. GPIX - Volatility Comparison

Goldman Sachs Nasdaq-100 Core Premium Income ETF (GPIQ) has a higher volatility of 4.04% compared to Goldman Sachs S&P 500 Core Premium Income ETF (GPIX) at 3.08%. This indicates that GPIQ's price experiences larger fluctuations and is considered to be riskier than GPIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.04%
3.08%
GPIQ
GPIX