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

Correlation

The correlation between IXC and VDE is 0.96, 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.


-0.50.00.51.01.0

Performance

IXC vs. VDE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Global Energy ETF (IXC) and Vanguard Energy ETF (VDE). The values are adjusted to include any dividend payments, if applicable.

200.00%250.00%300.00%350.00%JulyAugustSeptemberOctoberNovemberDecember
204.42%
289.01%
IXC
VDE

Key characteristics

Sharpe Ratio

IXC:

-0.03

VDE:

0.17

Sortino Ratio

IXC:

0.07

VDE:

0.35

Omega Ratio

IXC:

1.01

VDE:

1.04

Calmar Ratio

IXC:

-0.04

VDE:

0.22

Martin Ratio

IXC:

-0.09

VDE:

0.51

Ulcer Index

IXC:

5.22%

VDE:

5.92%

Daily Std Dev

IXC:

16.12%

VDE:

18.08%

Max Drawdown

IXC:

-67.88%

VDE:

-74.16%

Current Drawdown

IXC:

-13.18%

VDE:

-13.23%

Returns By Period

In the year-to-date period, IXC achieves a -0.64% return, which is significantly lower than VDE's 3.61% return. Both investments have delivered pretty close results over the past 10 years, with IXC having a 3.96% annualized return and VDE not far ahead at 4.00%.


IXC

YTD

-0.64%

1M

-10.68%

6M

-6.05%

1Y

-1.27%

5Y*

8.53%

10Y*

3.96%

VDE

YTD

3.61%

1M

-12.80%

6M

-3.74%

1Y

2.18%

5Y*

12.03%

10Y*

4.00%

Compare stocks, funds, or ETFs

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


IXC vs. VDE - Expense Ratio Comparison

IXC has a 0.46% expense ratio, which is higher than VDE's 0.10% expense ratio.


IXC
iShares Global Energy ETF
Expense ratio chart for IXC: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
Expense ratio chart for VDE: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

IXC vs. VDE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Global Energy ETF (IXC) and Vanguard Energy ETF (VDE). 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 IXC, currently valued at -0.03, compared to the broader market0.002.004.00-0.030.17
The chart of Sortino ratio for IXC, currently valued at 0.07, compared to the broader market-2.000.002.004.006.008.0010.000.070.35
The chart of Omega ratio for IXC, currently valued at 1.01, compared to the broader market0.501.001.502.002.503.001.011.04
The chart of Calmar ratio for IXC, currently valued at -0.04, compared to the broader market0.005.0010.0015.00-0.040.22
The chart of Martin ratio for IXC, currently valued at -0.09, compared to the broader market0.0020.0040.0060.0080.00100.00-0.090.51
IXC
VDE

The current IXC Sharpe Ratio is -0.03, which is lower than the VDE Sharpe Ratio of 0.17. The chart below compares the historical Sharpe Ratios of IXC and VDE, 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 Ratio0.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-0.03
0.17
IXC
VDE

Dividends

IXC vs. VDE - Dividend Comparison

IXC's dividend yield for the trailing twelve months is around 4.68%, more than VDE's 3.33% yield.


TTM20232022202120202019201820172016201520142013
IXC
iShares Global Energy ETF
4.68%3.45%4.76%3.98%4.86%7.00%3.51%3.05%2.86%3.77%3.02%2.48%
VDE
Vanguard Energy ETF
3.33%3.34%3.65%4.13%4.76%3.59%3.35%2.90%2.31%3.17%1.98%1.74%

Drawdowns

IXC vs. VDE - Drawdown Comparison

The maximum IXC drawdown since its inception was -67.88%, smaller than the maximum VDE drawdown of -74.16%. Use the drawdown chart below to compare losses from any high point for IXC and VDE. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-13.18%
-13.23%
IXC
VDE

Volatility

IXC vs. VDE - Volatility Comparison

The current volatility for iShares Global Energy ETF (IXC) is 4.66%, while Vanguard Energy ETF (VDE) has a volatility of 5.03%. This indicates that IXC experiences smaller price fluctuations and is considered to be less risky than VDE 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%JulyAugustSeptemberOctoberNovemberDecember
4.66%
5.03%
IXC
VDE
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