LMGEX vs. VGK

Last updated Jun 23, 2026

LMGEX (Franklin International Equity Fund) and VGK (Vanguard FTSE Europe ETF) are both funds - LMGEX is a Foreign Large Cap Equities fund managed by Legg Mason, while VGK is a Europe Equities fund tracking the FTSE Developed Europe All Cap Index. Over the past 10 years, LMGEX returned 8.29%/yr vs 10.52%/yr for VGK. Their correlation of 0.91 suggests significant overlap in exposure. LMGEX charges 2.05%/yr vs 0.06%/yr for VGK.

Performance

LMGEX vs. VGK - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Franklin International Equity Fund (LMGEX) and Vanguard FTSE Europe ETF (VGK). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, LMGEX achieves a 9.43% return, which is significantly higher than VGK's 7.49% return. Over the past 10 years, LMGEX has underperformed VGK with an annualized return of 8.29%, while VGK has yielded a comparatively higher 10.52% annualized return.

LMGEX

• 1D: 0.49%
• 1M: 2.89%
• YTD: 9.43%
• 6M: 9.64%
• 1Y: 23.22%
• 3Y*: 16.45%
• 5Y*: 9.42%
• 10Y*: 8.29%

VGK

• 1D: -0.02%
• 1M: 1.12%
• YTD: 7.49%
• 6M: 7.98%
• 1Y: 21.63%
• 3Y*: 17.25%
• 5Y*: 9.05%
• 10Y*: 10.52%

*Multi-year figures are annualized to reflect compound growth (CAGR)

LMGEX vs. VGK - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
LMGEX Franklin International Equity Fund	9.43%	32.05%	3.42%	18.48%	-13.55%	12.87%	2.74%	17.61%	-16.67%	23.58%
VGK Vanguard FTSE Europe ETF	7.49%	35.83%	1.88%	20.19%	-15.98%	16.89%	5.43%	24.85%	-14.89%	26.98%

Correlation

The correlation between LMGEX and VGK is 0.96 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.96
Correlation (3Y) Calculated over the trailing 3-year period	0.95
Correlation (5Y) Calculated over the trailing 5-year period	0.95
Correlation (10Y) Calculated over the trailing 10-year period	0.95
Correlation (All Time) Calculated using the full available price history since Mar 10, 2005	0.91

The correlation between LMGEX and VGK has been stable across timeframes, ranging from 0.91 to 0.96 - a consistent structural relationship.

Return for Risk

LMGEX vs. VGK — Risk / Return Rank

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

LMGEX

LMGEX Risk / Return Rank: 29
LMGEX Sharpe Ratio Rank: 28
LMGEX Sortino Ratio Rank: 28
LMGEX Omega Ratio Rank: 27
LMGEX Calmar Ratio Rank: 29
LMGEX Martin Ratio Rank: 32

VGK

VGK Risk / Return Rank: 39
VGK Sharpe Ratio Rank: 40
VGK Sortino Ratio Rank: 40
VGK Omega Ratio Rank: 38
VGK Calmar Ratio Rank: 37
VGK Martin Ratio Rank: 43

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

LMGEX vs. VGK - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Franklin International Equity Fund (LMGEX) and Vanguard FTSE Europe ETF (VGK). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	LMGEX	VGK	Difference
Sharpe ratio: Return per unit of total volatility	1.42	1.38	+0.04
Sortino ratio: Return per unit of downside risk	2.05	2.00	+0.05
Omega ratio: Gain probability vs. loss probability	1.26	1.25	+0.01
Calmar ratio: Return relative to maximum drawdown	1.90	1.80	+0.10
Martin ratio: Return relative to average drawdown	6.74	6.67	+0.06

LMGEX vs. VGK - Sharpe Ratio Comparison

The current LMGEX Sharpe Ratio is 1.42, which is comparable to the VGK Sharpe Ratio of 1.38. The chart below compares the historical Sharpe Ratios of LMGEX and VGK, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

LMGEX vs. VGK - Drawdown Comparison

The maximum LMGEX drawdown since its inception was -63.37%, roughly equal to the maximum VGK drawdown of -63.61%. Use the drawdown chart below to compare losses from any high point for LMGEX and VGK.

Drawdown Indicators

	LMGEX	VGK	Difference
Max Drawdown Largest peak-to-trough decline	-63.37%	-63.61%	+0.24%
Max Drawdown (1Y) Largest decline over 1 year	-11.64%	-12.09%	+0.45%
Max Drawdown (3Y) Largest decline over 3 years	-13.05%	-14.31%	+1.26%
Max Drawdown (5Y) Largest decline over 5 years	-28.98%	-32.74%	+3.76%
Max Drawdown (10Y) Largest decline over 10 years	-39.79%	-37.24%	-2.55%
Current Drawdown Current decline from peak	-0.44%	-0.68%	+0.24%
Average Drawdown Average peak-to-trough decline	-18.19%	-13.31%	-4.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.28%	3.25%	+0.03%

Volatility

LMGEX vs. VGK - Volatility Comparison

Franklin International Equity Fund (LMGEX) and Vanguard FTSE Europe ETF (VGK) have volatilities of 4.88% and 4.82%, 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.

Volatility by Period

	LMGEX	VGK	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.88%	4.82%	+0.06%
Volatility (6M) Calculated over the trailing 6-month period	12.88%	13.33%	-0.45%
Volatility (1Y) Calculated over the trailing 1-year period	15.55%	15.79%	-0.24%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.89%	17.96%	-2.07%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.19%	18.90%	-2.71%

LMGEX vs. VGK - Expense Ratio Comparison

LMGEX has a 2.05% expense ratio, which is higher than VGK's 0.06% expense ratio.

Dividends

LMGEX vs. VGK - Dividend Comparison

LMGEX's dividend yield for the trailing twelve months is around 7.57%, more than VGK's 2.91% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
LMGEX Franklin International Equity Fund	7.57%	8.28%	5.68%	1.51%	2.88%	5.10%	0.58%	0.49%	1.62%	1.60%	1.30%	0.91%
VGK Vanguard FTSE Europe ETF	2.91%	2.86%	3.61%	3.15%	3.25%	3.05%	2.11%	3.27%	3.95%	2.70%	3.52%	3.25%

Frequently Asked Questions

Can I hold both LMGEX and VGK in my portfolio?

With a correlation of 0.96, LMGEX and VGK move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, LMGEX or VGK?

LMGEX has higher volatility (4.88%) compared to VGK (4.82%). In terms of maximum drawdown, LMGEX dropped -63.37% vs VGK's -63.61%.

Which has better risk-adjusted returns?

LMGEX currently has the higher Sharpe Ratio (1.42 vs 1.38), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.