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

Correlation

The correlation between GTIP and VTIP is 0.79, 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.


-0.50.00.51.00.8

Performance

GTIP vs. VTIP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs Access Inflation Protected USD Bond ETF (GTIP) and Vanguard Short-Term Inflation-Protected Securities ETF (VTIP). The values are adjusted to include any dividend payments, if applicable.

-1.00%0.00%1.00%2.00%3.00%4.00%JulyAugustSeptemberOctoberNovemberDecember
0.42%
2.29%
GTIP
VTIP

Key characteristics

Sharpe Ratio

GTIP:

0.35

VTIP:

2.49

Sortino Ratio

GTIP:

0.50

VTIP:

3.79

Omega Ratio

GTIP:

1.06

VTIP:

1.50

Calmar Ratio

GTIP:

0.14

VTIP:

5.97

Martin Ratio

GTIP:

1.18

VTIP:

15.63

Ulcer Index

GTIP:

1.31%

VTIP:

0.29%

Daily Std Dev

GTIP:

4.46%

VTIP:

1.81%

Max Drawdown

GTIP:

-14.31%

VTIP:

-6.27%

Current Drawdown

GTIP:

-7.63%

VTIP:

-0.53%

Returns By Period

In the year-to-date period, GTIP achieves a 1.78% return, which is significantly lower than VTIP's 4.48% return.


GTIP

YTD

1.78%

1M

-0.98%

6M

0.56%

1Y

1.74%

5Y*

1.75%

10Y*

N/A

VTIP

YTD

4.48%

1M

-0.08%

6M

2.29%

1Y

4.59%

5Y*

3.40%

10Y*

2.58%

Compare stocks, funds, or ETFs

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


GTIP vs. VTIP - Expense Ratio Comparison

GTIP has a 0.12% expense ratio, which is higher than VTIP'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%.


GTIP
Goldman Sachs Access Inflation Protected USD Bond ETF
Expense ratio chart for GTIP: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VTIP: 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

GTIP vs. VTIP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Access Inflation Protected USD Bond ETF (GTIP) and Vanguard Short-Term Inflation-Protected Securities ETF (VTIP). 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 GTIP, currently valued at 0.35, compared to the broader market0.002.004.000.352.49
The chart of Sortino ratio for GTIP, currently valued at 0.50, compared to the broader market-2.000.002.004.006.008.0010.000.503.79
The chart of Omega ratio for GTIP, currently valued at 1.06, compared to the broader market0.501.001.502.002.503.001.061.50
The chart of Calmar ratio for GTIP, currently valued at 0.14, compared to the broader market0.005.0010.0015.000.145.97
The chart of Martin ratio for GTIP, currently valued at 1.18, compared to the broader market0.0020.0040.0060.0080.00100.001.1815.63
GTIP
VTIP

The current GTIP Sharpe Ratio is 0.35, which is lower than the VTIP Sharpe Ratio of 2.49. The chart below compares the historical Sharpe Ratios of GTIP and VTIP, 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
0.35
2.49
GTIP
VTIP

Dividends

GTIP vs. VTIP - Dividend Comparison

GTIP's dividend yield for the trailing twelve months is around 3.28%, more than VTIP's 1.60% yield.


TTM20232022202120202019201820172016201520142013
GTIP
Goldman Sachs Access Inflation Protected USD Bond ETF
3.28%2.77%6.47%3.82%1.04%2.34%0.66%0.00%0.00%0.00%0.00%0.00%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
1.60%3.36%6.84%4.68%1.20%1.95%2.45%1.52%0.76%0.00%0.82%0.05%

Drawdowns

GTIP vs. VTIP - Drawdown Comparison

The maximum GTIP drawdown since its inception was -14.31%, which is greater than VTIP's maximum drawdown of -6.27%. Use the drawdown chart below to compare losses from any high point for GTIP and VTIP. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.63%
-0.53%
GTIP
VTIP

Volatility

GTIP vs. VTIP - Volatility Comparison

Goldman Sachs Access Inflation Protected USD Bond ETF (GTIP) has a higher volatility of 1.16% compared to Vanguard Short-Term Inflation-Protected Securities ETF (VTIP) at 0.38%. This indicates that GTIP's price experiences larger fluctuations and is considered to be riskier than VTIP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.20%0.40%0.60%0.80%1.00%1.20%1.40%JulyAugustSeptemberOctoberNovemberDecember
1.16%
0.38%
GTIP
VTIP
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab