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^SSMI vs. VXUS
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SSMI and VXUS is 0.59, 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.


-0.50.00.51.00.6

Performance

^SSMI vs. VXUS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Swiss Market Index (^SSMI) and Vanguard Total International Stock ETF (VXUS). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-4.29%
0.93%
^SSMI
VXUS

Key characteristics

Sharpe Ratio

^SSMI:

0.28

VXUS:

0.55

Sortino Ratio

^SSMI:

0.45

VXUS:

0.83

Omega Ratio

^SSMI:

1.06

VXUS:

1.10

Calmar Ratio

^SSMI:

0.22

VXUS:

0.74

Martin Ratio

^SSMI:

1.03

VXUS:

2.18

Ulcer Index

^SSMI:

3.10%

VXUS:

3.17%

Daily Std Dev

^SSMI:

11.56%

VXUS:

12.66%

Max Drawdown

^SSMI:

-56.31%

VXUS:

-35.97%

Current Drawdown

^SSMI:

-11.43%

VXUS:

-7.38%

Returns By Period

In the year-to-date period, ^SSMI achieves a 3.15% return, which is significantly lower than VXUS's 6.15% return. Over the past 10 years, ^SSMI has underperformed VXUS with an annualized return of 2.44%, while VXUS has yielded a comparatively higher 5.09% annualized return.


^SSMI

YTD

3.15%

1M

-1.24%

6M

-4.30%

1Y

3.37%

5Y*

1.37%

10Y*

2.44%

VXUS

YTD

6.15%

1M

-0.42%

6M

0.92%

1Y

6.28%

5Y*

4.41%

10Y*

5.09%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

^SSMI vs. VXUS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Swiss Market Index (^SSMI) and Vanguard Total International Stock ETF (VXUS). 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 ^SSMI, currently valued at -0.23, compared to the broader market-0.500.000.501.001.502.002.50-0.230.63
The chart of Sortino ratio for ^SSMI, currently valued at -0.23, compared to the broader market-1.000.001.002.003.00-0.230.94
The chart of Omega ratio for ^SSMI, currently valued at 0.97, compared to the broader market0.901.001.101.201.301.401.500.971.12
The chart of Calmar ratio for ^SSMI, currently valued at -0.21, compared to the broader market0.001.002.003.004.00-0.210.84
The chart of Martin ratio for ^SSMI, currently valued at -0.57, compared to the broader market0.005.0010.0015.0020.00-0.572.50
^SSMI
VXUS

The current ^SSMI Sharpe Ratio is 0.28, which is lower than the VXUS Sharpe Ratio of 0.55. The chart below compares the historical Sharpe Ratios of ^SSMI and VXUS, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.23
0.63
^SSMI
VXUS

Drawdowns

^SSMI vs. VXUS - Drawdown Comparison

The maximum ^SSMI drawdown since its inception was -56.31%, which is greater than VXUS's maximum drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for ^SSMI and VXUS. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-12.80%
-7.38%
^SSMI
VXUS

Volatility

^SSMI vs. VXUS - Volatility Comparison

Swiss Market Index (^SSMI) and Vanguard Total International Stock ETF (VXUS) have volatilities of 3.32% and 3.43%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.32%
3.43%
^SSMI
VXUS
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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