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VGPMX vs. GLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

VGPMX vs. GLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Global Capital Cycles Fund (VGPMX) and SPDR Gold Trust (GLD). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
0.37%
11.13%
VGPMX
GLD

Returns By Period

In the year-to-date period, VGPMX achieves a 10.70% return, which is significantly lower than GLD's 27.96% return. Over the past 10 years, VGPMX has underperformed GLD with an annualized return of 5.60%, while GLD has yielded a comparatively higher 7.82% annualized return.


VGPMX

YTD

10.70%

1M

-3.63%

6M

0.37%

1Y

15.06%

5Y (annualized)

14.21%

10Y (annualized)

5.60%

GLD

YTD

27.96%

1M

-2.63%

6M

11.14%

1Y

31.98%

5Y (annualized)

12.21%

10Y (annualized)

7.82%

Key characteristics


VGPMXGLD
Sharpe Ratio1.042.25
Sortino Ratio1.472.99
Omega Ratio1.181.39
Calmar Ratio0.324.11
Martin Ratio4.9613.32
Ulcer Index3.09%2.51%
Daily Std Dev14.72%14.87%
Max Drawdown-79.32%-45.56%
Current Drawdown-39.16%-5.00%

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VGPMX vs. GLD - Expense Ratio Comparison

VGPMX has a 0.36% expense ratio, which is lower than GLD's 0.40% expense ratio.


GLD
SPDR Gold Trust
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for VGPMX: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%

Correlation

-0.50.00.51.00.5

The correlation between VGPMX and GLD 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

VGPMX vs. GLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Capital Cycles Fund (VGPMX) and SPDR Gold Trust (GLD). 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 VGPMX, currently valued at 1.04, compared to the broader market-1.000.001.002.003.004.005.001.042.25
The chart of Sortino ratio for VGPMX, currently valued at 1.47, compared to the broader market0.005.0010.001.472.99
The chart of Omega ratio for VGPMX, currently valued at 1.18, compared to the broader market1.002.003.004.001.181.39
The chart of Calmar ratio for VGPMX, currently valued at 0.32, compared to the broader market0.005.0010.0015.0020.0025.000.324.11
The chart of Martin ratio for VGPMX, currently valued at 4.96, compared to the broader market0.0020.0040.0060.0080.00100.004.9613.32
VGPMX
GLD

The current VGPMX Sharpe Ratio is 1.04, which is lower than the GLD Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of VGPMX and GLD, 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
1.04
2.25
VGPMX
GLD

Dividends

VGPMX vs. GLD - Dividend Comparison

VGPMX's dividend yield for the trailing twelve months is around 3.09%, while GLD has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
VGPMX
Vanguard Global Capital Cycles Fund
3.09%3.22%3.27%3.26%2.03%2.39%3.01%0.02%1.71%2.33%0.00%0.08%
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

VGPMX vs. GLD - Drawdown Comparison

The maximum VGPMX drawdown since its inception was -79.32%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for VGPMX and GLD. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-39.16%
-5.00%
VGPMX
GLD

Volatility

VGPMX vs. GLD - Volatility Comparison

The current volatility for Vanguard Global Capital Cycles Fund (VGPMX) is 4.76%, while SPDR Gold Trust (GLD) has a volatility of 5.64%. This indicates that VGPMX experiences smaller price fluctuations and is considered to be less risky than GLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.76%
5.64%
VGPMX
GLD