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DNL vs. VIGI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DNL and VIGI is 0.75, 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

DNL vs. VIGI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree Global ex-U.S. Quality Dividend Growth Fund (DNL) and Vanguard International Dividend Appreciation ETF (VIGI). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

DNL:

-0.06

VIGI:

0.63

Sortino Ratio

DNL:

0.22

VIGI:

1.12

Omega Ratio

DNL:

1.03

VIGI:

1.15

Calmar Ratio

DNL:

0.06

VIGI:

0.77

Martin Ratio

DNL:

0.16

VIGI:

2.20

Ulcer Index

DNL:

7.45%

VIGI:

5.05%

Daily Std Dev

DNL:

18.57%

VIGI:

15.31%

Max Drawdown

DNL:

-44.54%

VIGI:

-31.01%

Current Drawdown

DNL:

-4.01%

VIGI:

-0.43%

Returns By Period

In the year-to-date period, DNL achieves a 7.78% return, which is significantly lower than VIGI's 10.29% return.


DNL

YTD

7.78%

1M

9.89%

6M

7.22%

1Y

-1.09%

5Y*

8.78%

10Y*

6.08%

VIGI

YTD

10.29%

1M

7.02%

6M

7.63%

1Y

9.60%

5Y*

10.90%

10Y*

N/A

*Annualized

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DNL vs. VIGI - Expense Ratio Comparison

DNL has a 0.58% expense ratio, which is higher than VIGI's 0.15% expense ratio.


Risk-Adjusted Performance

DNL vs. VIGI — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DNL
The Risk-Adjusted Performance Rank of DNL is 1818
Overall Rank
The Sharpe Ratio Rank of DNL is 1515
Sharpe Ratio Rank
The Sortino Ratio Rank of DNL is 1919
Sortino Ratio Rank
The Omega Ratio Rank of DNL is 1919
Omega Ratio Rank
The Calmar Ratio Rank of DNL is 2020
Calmar Ratio Rank
The Martin Ratio Rank of DNL is 1919
Martin Ratio Rank

VIGI
The Risk-Adjusted Performance Rank of VIGI is 6666
Overall Rank
The Sharpe Ratio Rank of VIGI is 6161
Sharpe Ratio Rank
The Sortino Ratio Rank of VIGI is 6969
Sortino Ratio Rank
The Omega Ratio Rank of VIGI is 6565
Omega Ratio Rank
The Calmar Ratio Rank of VIGI is 7373
Calmar Ratio Rank
The Martin Ratio Rank of VIGI is 6060
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

DNL vs. VIGI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Global ex-U.S. Quality Dividend Growth Fund (DNL) and Vanguard International Dividend Appreciation ETF (VIGI). 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.


The current DNL Sharpe Ratio is -0.06, which is lower than the VIGI Sharpe Ratio of 0.63. The chart below compares the historical Sharpe Ratios of DNL and VIGI, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

DNL vs. VIGI - Dividend Comparison

DNL's dividend yield for the trailing twelve months is around 2.01%, more than VIGI's 1.86% yield.


TTM20242023202220212020201920182017201620152014
DNL
WisdomTree Global ex-U.S. Quality Dividend Growth Fund
2.01%2.30%1.81%4.82%1.37%1.76%1.93%2.55%1.86%2.51%1.98%2.37%
VIGI
Vanguard International Dividend Appreciation ETF
1.86%1.93%1.92%2.06%7.02%1.29%1.83%1.99%1.75%0.98%0.00%0.00%

Drawdowns

DNL vs. VIGI - Drawdown Comparison

The maximum DNL drawdown since its inception was -44.54%, which is greater than VIGI's maximum drawdown of -31.01%. Use the drawdown chart below to compare losses from any high point for DNL and VIGI. For additional features, visit the drawdowns tool.


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Volatility

DNL vs. VIGI - Volatility Comparison

WisdomTree Global ex-U.S. Quality Dividend Growth Fund (DNL) has a higher volatility of 4.37% compared to Vanguard International Dividend Appreciation ETF (VIGI) at 3.58%. This indicates that DNL's price experiences larger fluctuations and is considered to be riskier than VIGI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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