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

Correlation

The correlation between GXG and VOO is 0.47, 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.


-0.50.00.51.00.5

Performance

GXG vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X MSCI Colombia ETF (GXG) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-3.06%
9.97%
GXG
VOO

Key characteristics

Sharpe Ratio

GXG:

0.47

VOO:

2.22

Sortino Ratio

GXG:

0.77

VOO:

2.95

Omega Ratio

GXG:

1.09

VOO:

1.42

Calmar Ratio

GXG:

0.14

VOO:

3.27

Martin Ratio

GXG:

0.85

VOO:

14.57

Ulcer Index

GXG:

10.02%

VOO:

1.90%

Daily Std Dev

GXG:

18.32%

VOO:

12.47%

Max Drawdown

GXG:

-78.88%

VOO:

-33.99%

Current Drawdown

GXG:

-59.88%

VOO:

-1.77%

Returns By Period

In the year-to-date period, GXG achieves a 4.49% return, which is significantly lower than VOO's 26.92% return. Over the past 10 years, GXG has underperformed VOO with an annualized return of -4.09%, while VOO has yielded a comparatively higher 13.12% annualized return.


GXG

YTD

4.49%

1M

0.25%

6M

-3.07%

1Y

8.52%

5Y*

-4.92%

10Y*

-4.09%

VOO

YTD

26.92%

1M

0.27%

6M

10.43%

1Y

27.36%

5Y*

14.95%

10Y*

13.12%

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. VOO - Expense Ratio Comparison

GXG has a 0.62% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

GXG vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X MSCI Colombia ETF (GXG) and Vanguard S&P 500 ETF (VOO). 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 0.47, compared to the broader market0.002.004.000.472.20
The chart of Sortino ratio for GXG, currently valued at 0.77, compared to the broader market-2.000.002.004.006.008.0010.000.772.93
The chart of Omega ratio for GXG, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.41
The chart of Calmar ratio for GXG, currently valued at 0.14, compared to the broader market0.005.0010.0015.000.143.24
The chart of Martin ratio for GXG, currently valued at 0.85, compared to the broader market0.0020.0040.0060.0080.00100.000.8514.39
GXG
VOO

The current GXG Sharpe Ratio is 0.47, which is lower than the VOO Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of GXG and VOO, 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
0.47
2.20
GXG
VOO

Dividends

GXG vs. VOO - Dividend Comparison

GXG's dividend yield for the trailing twelve months is around 6.66%, more than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
GXG
Global X MSCI Colombia ETF
6.66%7.00%12.55%2.32%3.23%3.04%3.03%1.83%1.48%1.58%3.20%4.10%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

GXG vs. VOO - Drawdown Comparison

The maximum GXG drawdown since its inception was -78.88%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for GXG and VOO. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-59.88%
-1.77%
GXG
VOO

Volatility

GXG vs. VOO - Volatility Comparison

Global X MSCI Colombia ETF (GXG) has a higher volatility of 4.47% compared to Vanguard S&P 500 ETF (VOO) at 3.77%. This indicates that GXG's price experiences larger fluctuations and is considered to be riskier than VOO 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%JulyAugustSeptemberOctoberNovemberDecember
4.47%
3.77%
GXG
VOO
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