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

Key characteristics


VGPMXIAU
YTD Return9.31%25.75%
1Y Return18.49%33.15%
3Y Return (Ann)8.97%11.45%
5Y Return (Ann)13.84%11.92%
10Y Return (Ann)5.94%7.91%
Sharpe Ratio1.222.31
Sortino Ratio1.703.05
Omega Ratio1.211.40
Calmar Ratio0.375.01
Martin Ratio6.1114.95
Ulcer Index2.98%2.27%
Daily Std Dev14.87%14.72%
Max Drawdown-79.32%-45.14%
Current Drawdown-39.93%-6.78%

Correlation

-0.50.00.51.00.5

The correlation between VGPMX and IAU is 0.50, 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.

Performance

VGPMX vs. IAU - Performance Comparison

In the year-to-date period, VGPMX achieves a 9.31% return, which is significantly lower than IAU's 25.75% return. Over the past 10 years, VGPMX has underperformed IAU with an annualized return of 5.94%, while IAU has yielded a comparatively higher 7.91% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
0.08%
10.12%
VGPMX
IAU

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VGPMX vs. IAU - Expense Ratio Comparison

VGPMX has a 0.36% expense ratio, which is higher than IAU's 0.25% expense ratio.


VGPMX
Vanguard Global Capital Cycles Fund
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%
Expense ratio chart for IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

VGPMX vs. IAU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Capital Cycles Fund (VGPMX) and iShares Gold Trust (IAU). 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.


VGPMX
Sharpe ratio
The chart of Sharpe ratio for VGPMX, currently valued at 1.22, compared to the broader market0.002.004.001.22
Sortino ratio
The chart of Sortino ratio for VGPMX, currently valued at 1.70, compared to the broader market0.005.0010.001.70
Omega ratio
The chart of Omega ratio for VGPMX, currently valued at 1.21, compared to the broader market1.002.003.004.001.21
Calmar ratio
The chart of Calmar ratio for VGPMX, currently valued at 0.37, compared to the broader market0.005.0010.0015.0020.0025.000.37
Martin ratio
The chart of Martin ratio for VGPMX, currently valued at 6.11, compared to the broader market0.0020.0040.0060.0080.00100.006.11
IAU
Sharpe ratio
The chart of Sharpe ratio for IAU, currently valued at 2.31, compared to the broader market0.002.004.002.31
Sortino ratio
The chart of Sortino ratio for IAU, currently valued at 3.05, compared to the broader market0.005.0010.003.05
Omega ratio
The chart of Omega ratio for IAU, currently valued at 1.40, compared to the broader market1.002.003.004.001.40
Calmar ratio
The chart of Calmar ratio for IAU, currently valued at 5.01, compared to the broader market0.005.0010.0015.0020.0025.005.01
Martin ratio
The chart of Martin ratio for IAU, currently valued at 14.95, compared to the broader market0.0020.0040.0060.0080.00100.0014.95

VGPMX vs. IAU - Sharpe Ratio Comparison

The current VGPMX Sharpe Ratio is 1.22, which is lower than the IAU Sharpe Ratio of 2.31. The chart below compares the historical Sharpe Ratios of VGPMX and IAU, 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
1.22
2.31
VGPMX
IAU

Dividends

VGPMX vs. IAU - Dividend Comparison

VGPMX's dividend yield for the trailing twelve months is around 3.13%, while IAU has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
VGPMX
Vanguard Global Capital Cycles Fund
3.13%3.22%3.27%3.26%2.03%2.39%3.01%0.02%1.71%2.33%0.00%0.08%
IAU
iShares 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. IAU - Drawdown Comparison

The maximum VGPMX drawdown since its inception was -79.32%, which is greater than IAU's maximum drawdown of -45.14%. Use the drawdown chart below to compare losses from any high point for VGPMX and IAU. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-39.93%
-6.78%
VGPMX
IAU

Volatility

VGPMX vs. IAU - Volatility Comparison

The current volatility for Vanguard Global Capital Cycles Fund (VGPMX) is 4.72%, while iShares Gold Trust (IAU) has a volatility of 5.44%. This indicates that VGPMX experiences smaller price fluctuations and is considered to be less risky than IAU 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
4.72%
5.44%
VGPMX
IAU