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

Performance

VGPMX vs. VTI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Global Capital Cycles Fund (VGPMX) and Vanguard Total Stock Market ETF (VTI). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
2.02%
14.24%
VGPMX
VTI

Returns By Period

In the year-to-date period, VGPMX achieves a 11.36% return, which is significantly lower than VTI's 25.64% return. Over the past 10 years, VGPMX has underperformed VTI with an annualized return of 5.75%, while VTI has yielded a comparatively higher 12.67% annualized return.


VGPMX

YTD

11.36%

1M

-3.13%

6M

2.02%

1Y

15.74%

5Y (annualized)

14.33%

10Y (annualized)

5.75%

VTI

YTD

25.64%

1M

2.57%

6M

14.24%

1Y

32.95%

5Y (annualized)

15.11%

10Y (annualized)

12.67%

Key characteristics


VGPMXVTI
Sharpe Ratio1.072.68
Sortino Ratio1.503.57
Omega Ratio1.191.49
Calmar Ratio0.333.91
Martin Ratio5.0817.13
Ulcer Index3.10%1.96%
Daily Std Dev14.73%12.51%
Max Drawdown-79.32%-55.45%
Current Drawdown-38.80%-0.84%

Compare stocks, funds, or ETFs

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


VGPMX vs. VTI - Expense Ratio Comparison

VGPMX has a 0.36% expense ratio, which is higher than VTI's 0.03% 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 VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.00.5

The correlation between VGPMX and VTI 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.

Risk-Adjusted Performance

VGPMX vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Capital Cycles Fund (VGPMX) 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 VGPMX, currently valued at 1.07, compared to the broader market-1.000.001.002.003.004.005.001.072.68
The chart of Sortino ratio for VGPMX, currently valued at 1.50, compared to the broader market0.005.0010.001.503.57
The chart of Omega ratio for VGPMX, currently valued at 1.19, compared to the broader market1.002.003.004.001.191.49
The chart of Calmar ratio for VGPMX, currently valued at 0.33, compared to the broader market0.005.0010.0015.0020.0025.000.333.91
The chart of Martin ratio for VGPMX, currently valued at 5.08, compared to the broader market0.0020.0040.0060.0080.00100.005.0817.13
VGPMX
VTI

The current VGPMX Sharpe Ratio is 1.07, which is lower than the VTI Sharpe Ratio of 2.68. The chart below compares the historical Sharpe Ratios of VGPMX 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.07
2.68
VGPMX
VTI

Dividends

VGPMX vs. VTI - Dividend Comparison

VGPMX's dividend yield for the trailing twelve months is around 3.07%, more than VTI's 1.27% yield.


TTM20232022202120202019201820172016201520142013
VGPMX
Vanguard Global Capital Cycles Fund
3.07%3.22%3.27%3.26%2.03%2.39%3.01%0.02%1.71%2.33%0.00%0.08%
VTI
Vanguard Total Stock Market ETF
1.27%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

VGPMX vs. VTI - Drawdown Comparison

The maximum VGPMX drawdown since its inception was -79.32%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for VGPMX and VTI. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-38.80%
-0.84%
VGPMX
VTI

Volatility

VGPMX vs. VTI - Volatility Comparison

Vanguard Global Capital Cycles Fund (VGPMX) has a higher volatility of 4.74% compared to Vanguard Total Stock Market ETF (VTI) at 4.19%. This indicates that VGPMX'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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.74%
4.19%
VGPMX
VTI