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

Correlation

The correlation between SGDM and VUG is 0.14, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.1

Performance

SGDM vs. VUG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Sprott Gold Miners ETF (SGDM) and Vanguard Growth ETF (VUG). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
24.70%
364.76%
SGDM
VUG

Key characteristics

Sharpe Ratio

SGDM:

0.44

VUG:

2.11

Sortino Ratio

SGDM:

0.79

VUG:

2.74

Omega Ratio

SGDM:

1.10

VUG:

1.39

Calmar Ratio

SGDM:

0.30

VUG:

2.81

Martin Ratio

SGDM:

1.52

VUG:

11.02

Ulcer Index

SGDM:

8.61%

VUG:

3.31%

Daily Std Dev

SGDM:

29.99%

VUG:

17.27%

Max Drawdown

SGDM:

-54.95%

VUG:

-50.68%

Current Drawdown

SGDM:

-23.48%

VUG:

-2.41%

Returns By Period

In the year-to-date period, SGDM achieves a 12.99% return, which is significantly lower than VUG's 34.89% return. Over the past 10 years, SGDM has underperformed VUG with an annualized return of 6.09%, while VUG has yielded a comparatively higher 15.88% annualized return.


SGDM

YTD

12.99%

1M

-6.08%

6M

6.01%

1Y

9.94%

5Y*

4.49%

10Y*

6.09%

VUG

YTD

34.89%

1M

3.42%

6M

12.16%

1Y

35.02%

5Y*

18.91%

10Y*

15.88%

Compare stocks, funds, or ETFs

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


SGDM vs. VUG - Expense Ratio Comparison

SGDM has a 0.50% expense ratio, which is higher than VUG's 0.04% expense ratio.


SGDM
Sprott Gold Miners ETF
Expense ratio chart for SGDM: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for VUG: 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

SGDM vs. VUG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Sprott Gold Miners ETF (SGDM) and Vanguard Growth ETF (VUG). 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 SGDM, currently valued at 0.44, compared to the broader market0.002.004.000.442.11
The chart of Sortino ratio for SGDM, currently valued at 0.79, compared to the broader market-2.000.002.004.006.008.0010.000.792.74
The chart of Omega ratio for SGDM, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.101.39
The chart of Calmar ratio for SGDM, currently valued at 0.30, compared to the broader market0.005.0010.0015.000.302.81
The chart of Martin ratio for SGDM, currently valued at 1.52, compared to the broader market0.0020.0040.0060.0080.00100.001.5211.02
SGDM
VUG

The current SGDM Sharpe Ratio is 0.44, which is lower than the VUG Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of SGDM and VUG, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.44
2.11
SGDM
VUG

Dividends

SGDM vs. VUG - Dividend Comparison

SGDM's dividend yield for the trailing twelve months is around 1.04%, more than VUG's 0.33% yield.


TTM20232022202120202019201820172016201520142013
SGDM
Sprott Gold Miners ETF
1.04%1.39%1.42%1.33%0.30%0.25%0.50%0.57%0.02%1.47%0.26%0.00%
VUG
Vanguard Growth ETF
0.33%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%1.19%

Drawdowns

SGDM vs. VUG - Drawdown Comparison

The maximum SGDM drawdown since its inception was -54.95%, which is greater than VUG's maximum drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for SGDM and VUG. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-23.48%
-2.41%
SGDM
VUG

Volatility

SGDM vs. VUG - Volatility Comparison

Sprott Gold Miners ETF (SGDM) has a higher volatility of 9.07% compared to Vanguard Growth ETF (VUG) at 4.86%. This indicates that SGDM's price experiences larger fluctuations and is considered to be riskier than VUG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JulyAugustSeptemberOctoberNovemberDecember
9.07%
4.86%
SGDM
VUG
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