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

Correlation

The correlation between ACWX and VXUS is 0.99, 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.


-0.50.00.51.01.0

Performance

ACWX vs. VXUS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI ACWI ex U.S. ETF (ACWX) and Vanguard Total International Stock ETF (VXUS). The values are adjusted to include any dividend payments, if applicable.

65.00%70.00%75.00%80.00%85.00%90.00%95.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
73.69%
81.86%
ACWX
VXUS

Key characteristics

Sharpe Ratio

ACWX:

0.63

VXUS:

0.64

Sortino Ratio

ACWX:

0.94

VXUS:

0.96

Omega Ratio

ACWX:

1.12

VXUS:

1.12

Calmar Ratio

ACWX:

0.78

VXUS:

0.87

Martin Ratio

ACWX:

2.56

VXUS:

2.67

Ulcer Index

ACWX:

3.15%

VXUS:

3.06%

Daily Std Dev

ACWX:

12.80%

VXUS:

12.77%

Max Drawdown

ACWX:

-60.39%

VXUS:

-35.97%

Current Drawdown

ACWX:

-8.59%

VXUS:

-8.39%

Returns By Period

The year-to-date returns for both stocks are quite close, with ACWX having a 5.05% return and VXUS slightly lower at 4.99%. Over the past 10 years, ACWX has underperformed VXUS with an annualized return of 4.61%, while VXUS has yielded a comparatively higher 4.99% annualized return.


ACWX

YTD

5.05%

1M

-1.43%

6M

-0.08%

1Y

6.26%

5Y*

4.02%

10Y*

4.61%

VXUS

YTD

4.99%

1M

-1.34%

6M

0.14%

1Y

6.27%

5Y*

4.38%

10Y*

4.99%

Compare stocks, funds, or ETFs

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


ACWX vs. VXUS - Expense Ratio Comparison

ACWX has a 0.32% expense ratio, which is higher than VXUS's 0.07% expense ratio.


ACWX
iShares MSCI ACWI ex U.S. ETF
Expense ratio chart for ACWX: current value at 0.32% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.32%
Expense ratio chart for VXUS: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

ACWX vs. VXUS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI ACWI ex U.S. ETF (ACWX) 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 ACWX, currently valued at 0.63, compared to the broader market0.002.004.000.630.64
The chart of Sortino ratio for ACWX, currently valued at 0.94, compared to the broader market-2.000.002.004.006.008.0010.000.940.96
The chart of Omega ratio for ACWX, currently valued at 1.12, compared to the broader market0.501.001.502.002.503.001.121.12
The chart of Calmar ratio for ACWX, currently valued at 0.78, compared to the broader market0.005.0010.0015.000.780.87
The chart of Martin ratio for ACWX, currently valued at 2.56, compared to the broader market0.0020.0040.0060.0080.00100.002.562.67
ACWX
VXUS

The current ACWX Sharpe Ratio is 0.63, which is comparable to the VXUS Sharpe Ratio of 0.64. The chart below compares the historical Sharpe Ratios of ACWX 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.63
0.64
ACWX
VXUS

Dividends

ACWX vs. VXUS - Dividend Comparison

ACWX's dividend yield for the trailing twelve months is around 2.98%, less than VXUS's 3.37% yield.


TTM20232022202120202019201820172016201520142013
ACWX
iShares MSCI ACWI ex U.S. ETF
2.98%2.96%2.68%2.73%1.88%3.22%2.65%2.40%2.77%2.51%3.18%2.69%
VXUS
Vanguard Total International Stock ETF
3.37%3.25%3.09%3.10%2.14%3.06%3.17%2.73%2.93%2.83%3.40%2.70%

Drawdowns

ACWX vs. VXUS - Drawdown Comparison

The maximum ACWX drawdown since its inception was -60.39%, which is greater than VXUS's maximum drawdown of -35.97%. Use the drawdown chart below to compare losses from any high point for ACWX and VXUS. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.59%
-8.39%
ACWX
VXUS

Volatility

ACWX vs. VXUS - Volatility Comparison

iShares MSCI ACWI ex U.S. ETF (ACWX) and Vanguard Total International Stock ETF (VXUS) have volatilities of 3.34% and 3.42%, 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
3.34%
3.42%
ACWX
VXUS
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab