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

Key characteristics


VGWAXAOA
YTD Return9.13%16.00%
1Y Return18.00%27.19%
3Y Return (Ann)4.50%4.69%
5Y Return (Ann)7.43%9.14%
Sharpe Ratio2.512.68
Sortino Ratio3.573.76
Omega Ratio1.471.50
Calmar Ratio4.102.63
Martin Ratio15.5817.75
Ulcer Index1.12%1.49%
Daily Std Dev6.92%9.85%
Max Drawdown-25.28%-28.38%
Current Drawdown-1.25%-0.28%

Correlation

-0.50.00.51.00.9

The correlation between VGWAX and AOA is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

VGWAX vs. AOA - Performance Comparison

In the year-to-date period, VGWAX achieves a 9.13% return, which is significantly lower than AOA's 16.00% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


55.00%60.00%65.00%70.00%75.00%JuneJulyAugustSeptemberOctoberNovember
65.22%
74.31%
VGWAX
AOA

Compare stocks, funds, or ETFs

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


VGWAX vs. AOA - Expense Ratio Comparison

VGWAX has a 0.29% expense ratio, which is higher than AOA's 0.25% expense ratio.


VGWAX
Vanguard Global Wellington Fund Admiral Shares
Expense ratio chart for VGWAX: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%
Expense ratio chart for AOA: 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

VGWAX vs. AOA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Global Wellington Fund Admiral Shares (VGWAX) and iShares Core Aggressive Allocation ETF (AOA). 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.


VGWAX
Sharpe ratio
The chart of Sharpe ratio for VGWAX, currently valued at 2.51, compared to the broader market0.002.004.002.51
Sortino ratio
The chart of Sortino ratio for VGWAX, currently valued at 3.57, compared to the broader market0.005.0010.003.57
Omega ratio
The chart of Omega ratio for VGWAX, currently valued at 1.47, compared to the broader market1.002.003.004.001.47
Calmar ratio
The chart of Calmar ratio for VGWAX, currently valued at 4.10, compared to the broader market0.005.0010.0015.0020.0025.004.10
Martin ratio
The chart of Martin ratio for VGWAX, currently valued at 15.58, compared to the broader market0.0020.0040.0060.0080.00100.0015.58
AOA
Sharpe ratio
The chart of Sharpe ratio for AOA, currently valued at 2.68, compared to the broader market0.002.004.002.68
Sortino ratio
The chart of Sortino ratio for AOA, currently valued at 3.76, compared to the broader market0.005.0010.003.76
Omega ratio
The chart of Omega ratio for AOA, currently valued at 1.50, compared to the broader market1.002.003.004.001.50
Calmar ratio
The chart of Calmar ratio for AOA, currently valued at 2.63, compared to the broader market0.005.0010.0015.0020.0025.002.63
Martin ratio
The chart of Martin ratio for AOA, currently valued at 17.75, compared to the broader market0.0020.0040.0060.0080.00100.0017.75

VGWAX vs. AOA - Sharpe Ratio Comparison

The current VGWAX Sharpe Ratio is 2.51, which is comparable to the AOA Sharpe Ratio of 2.68. The chart below compares the historical Sharpe Ratios of VGWAX and AOA, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.51
2.68
VGWAX
AOA

Dividends

VGWAX vs. AOA - Dividend Comparison

VGWAX's dividend yield for the trailing twelve months is around 3.11%, more than AOA's 2.08% yield.


TTM20232022202120202019201820172016201520142013
VGWAX
Vanguard Global Wellington Fund Admiral Shares
3.11%2.62%2.05%1.80%1.64%1.92%2.42%0.23%0.00%0.00%0.00%0.00%
AOA
iShares Core Aggressive Allocation ETF
2.08%2.22%2.10%1.67%1.71%2.50%2.37%5.09%2.02%2.15%2.18%1.84%

Drawdowns

VGWAX vs. AOA - Drawdown Comparison

The maximum VGWAX drawdown since its inception was -25.28%, smaller than the maximum AOA drawdown of -28.38%. Use the drawdown chart below to compare losses from any high point for VGWAX and AOA. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.25%
-0.28%
VGWAX
AOA

Volatility

VGWAX vs. AOA - Volatility Comparison

The current volatility for Vanguard Global Wellington Fund Admiral Shares (VGWAX) is 1.84%, while iShares Core Aggressive Allocation ETF (AOA) has a volatility of 2.69%. This indicates that VGWAX experiences smaller price fluctuations and is considered to be less risky than AOA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
1.84%
2.69%
VGWAX
AOA