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

Performance

GXG vs. EPU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X MSCI Colombia ETF (GXG) and iShares MSCI Peru ETF (EPU). The values are adjusted to include any dividend payments, if applicable.

-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-14.92%
-1.90%
GXG
EPU

Returns By Period

In the year-to-date period, GXG achieves a 2.64% return, which is significantly lower than EPU's 27.98% return. Over the past 10 years, GXG has underperformed EPU with an annualized return of -6.22%, while EPU has yielded a comparatively higher 5.31% annualized return.


GXG

YTD

2.64%

1M

-2.63%

6M

-14.53%

1Y

18.56%

5Y (annualized)

-3.51%

10Y (annualized)

-6.22%

EPU

YTD

27.98%

1M

-3.57%

6M

-2.05%

1Y

46.23%

5Y (annualized)

8.38%

10Y (annualized)

5.31%

Key characteristics


GXGEPU
Sharpe Ratio1.132.33
Sortino Ratio1.663.16
Omega Ratio1.201.39
Calmar Ratio0.322.42
Martin Ratio2.329.90
Ulcer Index9.15%4.83%
Daily Std Dev18.69%20.55%
Max Drawdown-78.88%-60.62%
Current Drawdown-60.59%-4.53%

Compare stocks, funds, or ETFs

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


GXG vs. EPU - Expense Ratio Comparison

GXG has a 0.62% expense ratio, which is higher than EPU's 0.59% expense ratio.


GXG
Global X MSCI Colombia ETF
Expense ratio chart for GXG: current value at 0.62% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.62%
Expense ratio chart for EPU: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%

Correlation

-0.50.00.51.00.5

The correlation between GXG and EPU is 0.51, 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.

Risk-Adjusted Performance

GXG vs. EPU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X MSCI Colombia ETF (GXG) and iShares MSCI Peru ETF (EPU). 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 GXG, currently valued at 1.13, compared to the broader market0.002.004.001.132.33
The chart of Sortino ratio for GXG, currently valued at 1.66, compared to the broader market-2.000.002.004.006.008.0010.001.663.16
The chart of Omega ratio for GXG, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.39
The chart of Calmar ratio for GXG, currently valued at 0.32, compared to the broader market0.005.0010.0015.000.322.42
The chart of Martin ratio for GXG, currently valued at 2.32, compared to the broader market0.0020.0040.0060.0080.00100.002.329.90
GXG
EPU

The current GXG Sharpe Ratio is 1.13, which is lower than the EPU Sharpe Ratio of 2.33. The chart below compares the historical Sharpe Ratios of GXG and EPU, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.13
2.33
GXG
EPU

Dividends

GXG vs. EPU - Dividend Comparison

GXG's dividend yield for the trailing twelve months is around 6.78%, more than EPU's 3.96% yield.


TTM20232022202120202019201820172016201520142013
GXG
Global X MSCI Colombia ETF
6.78%7.00%12.55%2.32%3.23%3.04%3.03%1.83%1.48%1.58%3.20%4.10%
EPU
iShares MSCI Peru ETF
3.96%4.17%5.56%3.13%1.91%2.67%1.53%3.30%0.85%1.91%1.66%1.72%

Drawdowns

GXG vs. EPU - Drawdown Comparison

The maximum GXG drawdown since its inception was -78.88%, which is greater than EPU's maximum drawdown of -60.62%. Use the drawdown chart below to compare losses from any high point for GXG and EPU. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-60.59%
-4.53%
GXG
EPU

Volatility

GXG vs. EPU - Volatility Comparison

Global X MSCI Colombia ETF (GXG) has a higher volatility of 5.34% compared to iShares MSCI Peru ETF (EPU) at 4.44%. This indicates that GXG's price experiences larger fluctuations and is considered to be riskier than EPU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.34%
4.44%
GXG
EPU