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DGT vs. VT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DGTVT
YTD Return15.71%18.43%
1Y Return23.80%26.74%
3Y Return (Ann)8.89%5.61%
5Y Return (Ann)12.13%11.17%
10Y Return (Ann)9.86%9.42%
Sharpe Ratio2.412.52
Sortino Ratio3.243.45
Omega Ratio1.431.46
Calmar Ratio3.743.65
Martin Ratio16.3816.54
Ulcer Index1.61%1.79%
Daily Std Dev10.92%11.78%
Max Drawdown-55.36%-50.27%
Current Drawdown-2.37%-1.17%

Correlation

-0.50.00.51.00.9

The correlation between DGT and VT is 0.88, 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

DGT vs. VT - Performance Comparison

In the year-to-date period, DGT achieves a 15.71% return, which is significantly lower than VT's 18.43% return. Both investments have delivered pretty close results over the past 10 years, with DGT having a 9.86% annualized return and VT not far behind at 9.42%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.63%
7.86%
DGT
VT

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DGT vs. VT - Expense Ratio Comparison

DGT has a 0.50% expense ratio, which is higher than VT's 0.07% expense ratio.


DGT
SPDR Global Dow ETF
Expense ratio chart for DGT: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for VT: 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

DGT vs. VT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Global Dow ETF (DGT) and Vanguard Total World Stock ETF (VT). 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.


DGT
Sharpe ratio
The chart of Sharpe ratio for DGT, currently valued at 2.41, compared to the broader market-2.000.002.004.006.002.41
Sortino ratio
The chart of Sortino ratio for DGT, currently valued at 3.24, compared to the broader market-2.000.002.004.006.008.0010.0012.003.24
Omega ratio
The chart of Omega ratio for DGT, currently valued at 1.43, compared to the broader market1.001.502.002.503.001.43
Calmar ratio
The chart of Calmar ratio for DGT, currently valued at 3.74, compared to the broader market0.005.0010.0015.003.74
Martin ratio
The chart of Martin ratio for DGT, currently valued at 16.38, compared to the broader market0.0020.0040.0060.0080.00100.00120.0016.38
VT
Sharpe ratio
The chart of Sharpe ratio for VT, currently valued at 2.52, compared to the broader market-2.000.002.004.006.002.52
Sortino ratio
The chart of Sortino ratio for VT, currently valued at 3.45, compared to the broader market-2.000.002.004.006.008.0010.0012.003.45
Omega ratio
The chart of Omega ratio for VT, currently valued at 1.46, compared to the broader market1.001.502.002.503.001.46
Calmar ratio
The chart of Calmar ratio for VT, currently valued at 3.65, compared to the broader market0.005.0010.0015.003.65
Martin ratio
The chart of Martin ratio for VT, currently valued at 16.54, compared to the broader market0.0020.0040.0060.0080.00100.00120.0016.54

DGT vs. VT - Sharpe Ratio Comparison

The current DGT Sharpe Ratio is 2.41, which is comparable to the VT Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of DGT and VT, 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
2.41
2.52
DGT
VT

Dividends

DGT vs. VT - Dividend Comparison

DGT's dividend yield for the trailing twelve months is around 2.31%, more than VT's 1.84% yield.


TTM20232022202120202019201820172016201520142013
DGT
SPDR Global Dow ETF
2.31%2.53%3.15%2.66%1.97%2.76%2.50%1.93%2.31%2.37%2.67%2.18%
VT
Vanguard Total World Stock ETF
1.84%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%

Drawdowns

DGT vs. VT - Drawdown Comparison

The maximum DGT drawdown since its inception was -55.36%, which is greater than VT's maximum drawdown of -50.27%. Use the drawdown chart below to compare losses from any high point for DGT and VT. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.37%
-1.17%
DGT
VT

Volatility

DGT vs. VT - Volatility Comparison

SPDR Global Dow ETF (DGT) and Vanguard Total World Stock ETF (VT) have volatilities of 3.08% and 3.14%, 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%JuneJulyAugustSeptemberOctoberNovember
3.08%
3.14%
DGT
VT