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XAU.TO vs. VTI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XAU.TOVTI
YTD Return18.57%26.70%
1Y Return11.57%38.81%
3Y Return (Ann)-9.94%8.86%
5Y Return (Ann)-1.93%15.46%
10Y Return (Ann)194.55%12.95%
Sharpe Ratio0.323.23
Sortino Ratio0.754.29
Omega Ratio1.091.60
Calmar Ratio0.134.77
Martin Ratio1.1321.07
Ulcer Index9.60%1.94%
Daily Std Dev34.46%12.59%
Max Drawdown-83.45%-55.45%
Current Drawdown-76.24%0.00%

Correlation

-0.50.00.51.00.1

The correlation between XAU.TO and VTI 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.

Performance

XAU.TO vs. VTI - Performance Comparison

In the year-to-date period, XAU.TO achieves a 18.57% return, which is significantly lower than VTI's 26.70% return. Over the past 10 years, XAU.TO has outperformed VTI with an annualized return of 194.55%, while VTI has yielded a comparatively lower 12.95% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
16.37%
15.44%
XAU.TO
VTI

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Risk-Adjusted Performance

XAU.TO vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldmoney Inc. (XAU.TO) 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.


XAU.TO
Sharpe ratio
The chart of Sharpe ratio for XAU.TO, currently valued at 0.36, compared to the broader market-4.00-2.000.002.004.000.36
Sortino ratio
The chart of Sortino ratio for XAU.TO, currently valued at 0.81, compared to the broader market-4.00-2.000.002.004.006.000.81
Omega ratio
The chart of Omega ratio for XAU.TO, currently valued at 1.10, compared to the broader market0.501.001.502.001.10
Calmar ratio
The chart of Calmar ratio for XAU.TO, currently valued at 0.15, compared to the broader market0.002.004.006.000.15
Martin ratio
The chart of Martin ratio for XAU.TO, currently valued at 1.28, compared to the broader market0.0010.0020.0030.001.28
VTI
Sharpe ratio
The chart of Sharpe ratio for VTI, currently valued at 2.88, compared to the broader market-4.00-2.000.002.004.002.88
Sortino ratio
The chart of Sortino ratio for VTI, currently valued at 3.82, compared to the broader market-4.00-2.000.002.004.006.003.82
Omega ratio
The chart of Omega ratio for VTI, currently valued at 1.54, compared to the broader market0.501.001.502.001.54
Calmar ratio
The chart of Calmar ratio for VTI, currently valued at 4.16, compared to the broader market0.002.004.006.004.16
Martin ratio
The chart of Martin ratio for VTI, currently valued at 18.37, compared to the broader market0.0010.0020.0030.0018.37

XAU.TO vs. VTI - Sharpe Ratio Comparison

The current XAU.TO Sharpe Ratio is 0.32, which is lower than the VTI Sharpe Ratio of 3.23. The chart below compares the historical Sharpe Ratios of XAU.TO 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 Ratio-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.36
2.88
XAU.TO
VTI

Dividends

XAU.TO vs. VTI - Dividend Comparison

XAU.TO has not paid dividends to shareholders, while VTI's dividend yield for the trailing twelve months is around 1.26%.


TTM20232022202120202019201820172016201520142013
XAU.TO
Goldmoney Inc.
0.00%0.00%0.00%0.00%0.00%2,139,037.43%0.00%0.00%0.00%0.00%0.00%0.00%
VTI
Vanguard Total Stock Market ETF
1.26%1.44%1.67%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

XAU.TO vs. VTI - Drawdown Comparison

The maximum XAU.TO drawdown since its inception was -83.45%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for XAU.TO and VTI. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-78.07%
0
XAU.TO
VTI

Volatility

XAU.TO vs. VTI - Volatility Comparison

Goldmoney Inc. (XAU.TO) has a higher volatility of 5.91% compared to Vanguard Total Stock Market ETF (VTI) at 4.07%. This indicates that XAU.TO'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.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
5.91%
4.07%
XAU.TO
VTI