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

Correlation

The correlation between MUFG and VTI is 0.46, 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

MUFG vs. VTI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Mitsubishi UFJ Financial Group, Inc. (MUFG) and Vanguard Total Stock Market ETF (VTI). The values are adjusted to include any dividend payments, if applicable.

100.00%200.00%300.00%400.00%500.00%600.00%700.00%JulyAugustSeptemberOctoberNovemberDecember
119.30%
677.31%
MUFG
VTI

Key characteristics

Sharpe Ratio

MUFG:

1.42

VTI:

2.10

Sortino Ratio

MUFG:

1.92

VTI:

2.80

Omega Ratio

MUFG:

1.26

VTI:

1.39

Calmar Ratio

MUFG:

2.01

VTI:

3.14

Martin Ratio

MUFG:

5.62

VTI:

13.44

Ulcer Index

MUFG:

7.23%

VTI:

2.00%

Daily Std Dev

MUFG:

28.71%

VTI:

12.79%

Max Drawdown

MUFG:

-76.79%

VTI:

-55.45%

Current Drawdown

MUFG:

-6.95%

VTI:

-3.03%

Returns By Period

In the year-to-date period, MUFG achieves a 33.81% return, which is significantly higher than VTI's 24.89% return. Over the past 10 years, MUFG has underperformed VTI with an annualized return of 11.03%, while VTI has yielded a comparatively higher 12.52% annualized return.


MUFG

YTD

33.81%

1M

-2.49%

6M

17.44%

1Y

37.97%

5Y*

20.18%

10Y*

11.03%

VTI

YTD

24.89%

1M

-0.60%

6M

10.03%

1Y

25.20%

5Y*

14.09%

10Y*

12.52%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

MUFG vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Mitsubishi UFJ Financial Group, Inc. (MUFG) and Vanguard Total Stock Market ETF (VTI). 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 MUFG, currently valued at 1.42, compared to the broader market-4.00-2.000.002.001.422.10
The chart of Sortino ratio for MUFG, currently valued at 1.92, compared to the broader market-4.00-2.000.002.004.001.922.80
The chart of Omega ratio for MUFG, currently valued at 1.26, compared to the broader market0.501.001.502.001.261.39
The chart of Calmar ratio for MUFG, currently valued at 2.01, compared to the broader market0.002.004.006.002.013.14
The chart of Martin ratio for MUFG, currently valued at 5.62, compared to the broader market-5.000.005.0010.0015.0020.0025.005.6213.44
MUFG
VTI

The current MUFG Sharpe Ratio is 1.42, which is lower than the VTI Sharpe Ratio of 2.10. The chart below compares the historical Sharpe Ratios of MUFG and VTI, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.42
2.10
MUFG
VTI

Dividends

MUFG vs. VTI - Dividend Comparison

MUFG's dividend yield for the trailing twelve months is around 1.12%, more than VTI's 0.93% yield.


TTM20232022202120202019201820172016201520142013
MUFG
Mitsubishi UFJ Financial Group, Inc.
1.12%2.90%3.36%4.25%5.33%3.99%3.85%2.20%2.70%2.34%2.94%2.08%
VTI
Vanguard Total Stock Market ETF
0.93%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

MUFG vs. VTI - Drawdown Comparison

The maximum MUFG drawdown since its inception was -76.79%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for MUFG and VTI. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.95%
-3.03%
MUFG
VTI

Volatility

MUFG vs. VTI - Volatility Comparison

Mitsubishi UFJ Financial Group, Inc. (MUFG) has a higher volatility of 6.09% compared to Vanguard Total Stock Market ETF (VTI) at 4.00%. This indicates that MUFG's price experiences larger fluctuations and is considered to be riskier than VTI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
6.09%
4.00%
MUFG
VTI
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